Non-Farm Payrolls Report Market Performance

by: Chad Gassaway


Market performance surrounding the non-farm payrolls report.

NFP release days have had a bullish bias over the past two years.

The week following NFP releases the market has struggled in recent times.

Non-farm payrolls will be released on Friday and is expected to come in at 240,000, or 8,000 below the September report. The unemployment rate is expected to stay flat at 5.9%. However, for investors this tells us very little about how the market has tended to react. The chart below shows SPY performance surrounding the NFP release.

Image courtesy of Chad Gassaway, CMT.

Over the past two years the market has opened higher 75% of the time with an average opening gap of 0.30% on NFP day. It has then added to those gains 66.67% of the time. On a closing basis, the market has closed higher 79.17% of the time with an average return of 0.41%.

The following day has been mixed over the past two years with an average loss of -0.03% and win rate of 56.52%. However, two days later the market has been higher only 37.50% of the time. Furthermore, of the last thirteen reports, only twice has the market been higher two sessions later (15.39%).

Moving out three, four, and five days later the market has been mixed over the past two years. However, the past eight reports have not been kind to the market over this time frame. Three sessions later the market has fallen -0.21% with a 25% win rate over the past eight reports. Moreover, the market has closed lower four sessions later eight of eight times with an average return of -1.07%. Finally, five sessions later the market has only closed higher once out of the past eight with an average return of -1.21%.

In conclusion, while NFP has been a positive for the market on the release date, in recent times the market has struggled over the following week.

Disclosure: The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

The author wrote this article themselves, and it expresses their own opinions. The author is not receiving compensation for it. The author has no business relationship with any company whose stock is mentioned in this article.