Economic data sets that can have potential implications on monetary policy, reflect the state of the economy, pace of inflation and conditions in the labor market tend to impact markets in varying degrees. The timing of these data sets’ release can also be crucial in influencing investors with their portfolio decisions.
For instance, there is now a growing focus on the next step in the Federal Reserve’s path on monetary policy amid the uncertainties of trade policy, so particular attention is given to its interest-rate setting meetings. Which economic data sets get the most attention among investors in driving trading volumes in interest rate futures and options – inflation, employment or other data like retail sales?
When economic data is announced, traders, and their algorithmic tools, immediately compare the actual figures versus consensus market forecasts. The difference, often called the “surprise,” can trigger volatility as traders adjust their outlooks and rebalance positions.
Our analysis uses the multiple linear regression (MLR) statistical technique to assess how the “surprise” in U.S. data series (difference between market expectations and actual outcomes) correspond to subsequent trading volume from January 2021 to January 2025. While details on the full analysis and methodology can be found here, five key findings are summarized below.
- Despite the 2021-2022 inflation surge, traders reacted more to employment reports than to headline or core CPI surprises over the past four years. They also traded more on surprises in retail sales – consumer spending accounts for more than two-thirds of U.S. economic activity – than on CPI.
- Surprises in labor, inflation and retail sales data consistently showed statistically significant impacts on trading volumes in the first one, five and 10 minutes.
The 1-minute results were particularly striking. On days with no economic data releases or when data showed no surprises versus consensus, in the first minute after the report (8:30:00 - 8:30:59), on average about 20,663 interest rate futures contracts were traded. A one standard deviation surprise in NFP in either direction led to 174,173 additional contracts traded above average between 8:30:00 - 8:30:59.
In the minute after the reports’ releases, surprises in related labor market data, such as the unemployment rate and average hourly earnings, also produced strong impacts on interest rate volumes, as did initial jobless claims, ranging from 80,000 to 145,000 in additional futures volumes for a one standard deviation miss from consensus. The impact on options volumes during the first minute after the releases were typically much smaller.
3. Retail sales have been the second most influential piece of data after the employment numbers. A one standard deviation surprise versus forecasts on retail sales typically produced an additional 80,000 contracts of futures volume in the minute after release.
4. Despite the post-pandemic surge in inflation, market reactions to surprises in CPI, core CPI and PPI, although still statistically significant, tended to be more muted, adding only 20,000 to 30,000 contacts to the futures trading volume within a minute of their release. They tended to have a mixed and negligible immediate impact upon options volumes.
5. Recognising that FOMC policy announcements can significantly influence trading activity, we included a dummy variable to account for these days. Interest rate options daily trading volume is, on average, 1,747,832 contracts higher on FOMC announcement days compared to non-FOMC days.
2021-2025: A Period of Change
Since 2021, financial markets have experienced significant uncertainty about future interest rates, mostly because inflation rose sharply after the pandemic. Core PCE, the Fed’s preferred inflation measure, exceeded the 2% target, hitting 3.1% in May 2021 and peaked at 5.3% in March 2022. Core PCE was 2.9% in January 2025.
To control inflation, the U.S. Fed started raising interest rates from March 2022 onward and was followed by many of its peers around the world:
In analyzing these dynamics, market participants can gain a better understanding of market reactions to economic data, which may ultimately support more informed decision-making.
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All examples are hypothetical interpretations of situations and are used for explanation purposes only. The views expressed in OpenMarkets articles reflect solely those of their respective authors and not necessarily those of CME Group or its affiliated institutions. OpenMarkets and the information herein should not be considered investment advice or the results of actual market experience. Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade. BrokerTec Americas LLC (“BAL”) is a registered broker-dealer with the U.S. Securities and Exchange Commission, is a member of the Financial Industry Regulatory Authority, Inc. (www.FINRA.org), and is a member of the Securities Investor Protection Corporation (www.SIPC.org). BAL does not provide services to private or retail customers.. In the United Kingdom, BrokerTec Europe Limited is authorised and regulated by the Financial Conduct Authority. CME Amsterdam B.V. is regulated in the Netherlands by the Dutch Authority for the Financial Markets (AFM) (www.AFM.nl). CME Investment Firm B.V. is also incorporated in the Netherlands and regulated by the Dutch Authority for the Financial Markets (AFM), as well as the Central Bank of the Netherlands (DNB).
