Liquidity Insights: October 2018 Employment Numbers

  • 12 Nov 2018
  • By CME Group

The Employment Situation report provides U.S. payroll employment as well as unemployment numbers representing the full U.S. economy. The statistics within the report are important economic indicators for rates and equity markets and their announcement can be a market-moving event if the data is considered a surprise.

The Employment Situation report is published precisely at 8:30 am US Eastern Time (7:30 am Chicago), usually on the first Friday of each month. Often the impact of employment data on markets can unfold slowly throughout the trading session, as traders work to fully digest the dense news release and understand the implications on their portfolios. While economists regularly provide their forecasts for these, which can help set market expectations, the forecasts represent a wide range of theories and inaccuracies are common.

Once the report is published, markets often respond quickly to the news if it is outside of expectations. Several products are impacted by the release of The Employment Situation, but CME Group’s E-Mini S&P 500 Future contract is widely seen as capturing the broader market response to the news.

Employment Data Release Case Study: October 5, 2018

Employment Data

On October 5, 2018, the U.S. employment figures came in lower than expected, with 134,000 jobs added, against the consensus expectation of 180,000. The July payroll figure was revised upward to 165,000 and August was revised upward to 270,000, a total of 87,000 higher than original reports. These positive revisions altered the interpretation of September’s figures.

Other major figures in the report were positive. The unemployment rate decreased 0.2 percentage points to 3.7% in September and average hourly earnings increased, up 2.8% over the year.

Market Indicators Respond

Equity markets broadly ended the day, and week, down after the payroll numbers were released. The S&P500® was down 16 points for the day, about 0.5%, a continuation of a week-long slide. The index was down 1.3% for the week, losing 39 points since October 1. The Dow Jones Industrial Average and Nasdaq index were also down on October 5, losing 0.7% and 1.1%, respectively. Both were lower on the week also.

Conversely, the 10-year Treasury Note yield increased slightly, ending the day at 3.23%, the highest yield seen in 2018. This was a significant increase from where it started the week at 3.08%.

The CME FedWatch Tool recorded a slight change in expectations for the December 19 FOMC meeting, where most expect another increase in the Fed Funds rate. The probability of an increase to an upper bound of 2.5% increased slightly after October 5, from 77% before the release to over 80% in the days following – both of which were in line with the prior month’s probabilities. This probability as of 1 November 2018 was 77.5%.

E-Mini S&P 500 Liquidity

Volumes picked up on October 5 starting at 7:00 am Chicago time. This is earlier than normal, as a typical day will see higher volumes starting later in the morning, around 8:00 am or 9:00 am. There was also a spike in volumes at 2:00 pm (14:00), as traders recalibrated their portfolios ahead of the end of the CME Globex session at 4:15 pm Chicago time.1

Prices clearly reacted to the jobs numbers as well. While average trading price remained fairly steady ahead of the announcement, prices did fall in the middle of the day. A slight recovery ahead of the end of the trading session left prices down more than 1%.

Figure 1 – Average Price and Volume

Price Movements and Gaps

The maximum and minimum prices during each hour of trading reflect a similar pattern as seen in the average trade price, with notable movements starting at 7:00 am. Specifically, the minimum price drops at 7:00 am, when the data was announced, even as maximum prices increased slightly. The resulting gap can be seen in Figure 2. As maximum and average prices fell through the morning, minimum prices dropped faster, creating a sustained gap between the maximum and minimum prices. This deviation may be indicative of uncertainty in the market as traders absorbed the employment news and weighed the potential implications of the data.

Figure 2 - Maximum and Minimum Prices

Note: Price Range is calculated as: (Maximum Price - Minimum Price)/Minimum Price

Bid and Ask Order Availability

In addition to price, market liquidity is key signal of how traders responded to the employment news. One indication of the liquidity throughout the day is the amount of bid and ask orders and quantities available on an hourly average basis. Similar to the price data, these metrics began picking up in the early Chicago morning, though the increase in quantities and orders is visible well before the start of the traditional Chicago trading day. This suggests that sufficient liquidity was available for traders to position themselves well ahead of the pending news. Orders and quantities remained elevated throughout the Globex session, providing significant liquidity for traders before and after the unemployment news was announced.

Figure 3 – Level 1 Order and Quantities

Implementation Costs

Another major concern for traders facing a volatile day is the implementation costs for placing their trades. Below, we see that these remained nearly at the minimum 1 tick throughout the Chicago trading day. Even the larger lot sizes barely cracked 1.05 during Asian trading hours (starting at 19:00 Chicago time). As trading began in London around 1:00 am Chicago time, costs decreased further, even for larger lot sizes. The E-Mini S&P 500 didn’t experience any notable change in implementation costs ahead of the unemployment data announcement even as the other measures of volatility increased.

Figure 4 – Implementation Costs

Note: minimum increment for the 10-Year Note is 1 tick


Monthly U.S. payroll data is highly anticipated by market participants for its potential to move markets as the numbers are considered a snapshot of the country’s economic health. E-Mini S&P 500 futures are almost always the primary market where traders register their response to the jobs report as they prepare for the new market dynamics. As volatility typically escalates after the data is released, liquidity is critical for participants to be able to manage their risk effectively.

Despite the uncertainty and volatility, we see in the price data, order book, and low implementation costs that traders had the necessary elements to execute trades efficiently throughout the trading session. This is corroborated by the volume spikes throughout the day after the unemployment figures were released.

Bottom Line

  • Markets are poised to respond to scheduled market events, such as the U.S. jobs report, even when there is disagreement about what the release will say.
  • Uncertainty may last throughout the trading session as markets absorb the full weight of the report.
  • Market liquidity remained robust before and after the unemployment release, as illustrated in the number of bid / ask order and quantity levels throughout the day, as well as the low implementation costs.
  • Intraday volatility does not appear to have created any limitations on trading activity.



All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author(s) and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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