In 2005, we published a study that analyzed the average pip movement of the U.S. dollar on the day of various economic releases, using 2004 data. The study found the average daily trading range of the U.S. dollar vs. the euro on days when non-farm payrolls were released was 193 pips. At the time, the ISM report release did not even make the list of market moving economic releases.
In August of this year we updated the study and found the payroll number had fallen to the number two slot while the ISM report had jumped to first place. Most of the reports from the 2004 report are still on the 2006 list, but there have been some important shifts. The Treasury International Capital (TICS) flow report, which was the third most market-moving indicator, has fallen to the bottom of the list, while retail sales has moved from seventh up to fourth.
It is also important to mention that payrolls still has the biggest “kneejerk” reaction, which we quantified as the trading range 60 minutes after the release. Yet on a day-to- day basis, ISM has a more lasting effect.
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