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Stats › Intraday and market microstructure › Release second

Volume in the ten seconds after the payrolls release runs seventeen times its usual level

E-mini 10 seconds before: 48+48E-mini10 seconds beforeE-mini 10 seconds after: 817+817E-mini10 seconds after10 year note 10 seconds before: 146+14610 year note10 seconds before10 year note 10 seconds after: 1590+159010 year note10 seconds after

Average contracts traded in ten second windows around the monthly US employment release, from exchange transaction data, release dates November 2012 to September 2015. Non-event windows average 62 contracts for the E-mini and 129 for the note, so the pre-release window is already slightly quieter than normal.

In the ten seconds after the monthly US employment release, E-mini S&P 500 volume rises from 48 contracts to 817 and the number of distinct accounts from 13 to 88. The Treasury note contract goes from 146 contracts to 1,590.

48 to 817E-mini volume in the ten seconds before and after the release
13 to 88Distinct accounts trading in that window
146 to 1,590Ten year note volume over the same window
26 to 225E-mini volume over a five minute window

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