7. Futures, commodities and energy

How a stock reacts on macro days (MDAY)

MDAY compares how a US listing moves on CPI, jobs and Fed decision days with a normal day, over up to five years, and lists every release day with its move.

  • 4 min
  • 3 questions
  • Lesson 7 of 7

Why you would care

How much does this stock react to macro releases? Some stocks barely notice an inflation report; others swing twice as much as usual. Rate-sensitive names (banks, real estate, fast growers) often react most. Knowing a name's macro sensitivity helps you size a position before a known date, the same way you check earnings dates.

The idea from scratch

Three scheduled releases move all markets (chapter 01, The macro machine):

  • CPI

    the monthly consumer price index, 8:30 New York time, before the open.

  • Jobs report (Employment Situation, nonfarm payrolls)

    usually the first Friday of the month, 8:30.

  • FOMC

    the Fed's rate decision, eight scheduled meetings a year, statement at 14:00.

For each release day, measure the move: the previous close to the release day's close. Take the absolute value (size, ignoring direction), average it, and compare with the average absolute move on all other days.

A release on a day the market was closed (a jobs report on Good Friday) is measured on the next session.

Diagram: Release calendar: CPI, jobs, FOMC leads to Release days; Daily closes, up to 5 years leads to Release days; Daily closes, up to 5 years leads to All other days = normal; Release days leads to Average absolute move on release days; All other days = normal leads to Average absolute move on normal days; Average absolute move on release days leads to Multiple: release vs normal; Average absolute move on normal days leads to Multiple: release vs normal.
Wide diagram: scroll sideways to see all of it.

See it in Gloom

Gloom screenshot: MDAY SPY, All releases, 5-year lookback
MDAY SPY, All releases, 5-year lookback: average moves on CPI, jobs and FOMC days against a normal day, then each release day with its move and multiple. Historical example.

open ittype MDAY SPY. Tabs All, CPI, Jobs, FOMC; Lookback up to 5 years.

  1. Normal day 0.74% avg |move|: SPY's average absolute move on non-release days.
  2. CPI day 0.97% 1.3x normal, Jobs day 0.94% 1.3x, FOMC day 1.01% 1.4x: all three days move SPY more than a normal day, FOMC most.
  3. Row 2026-06-05 Jobs -2.58% 3.5x: a jobs report that moved SPY 3.5 times a normal day.
  4. Row 2026-04-03 → 04-06 Jobs: released on a market holiday, measured on the next session.
  5. Many release days show small moves (0.0x, 0.1x): the average hides a few big days.

Practice and recap

Try it3 tasks
  1. In the screenshot, which release type moves SPY the most on average? (FOMC, 1.4x.)
  2. Find the largest move in the visible rows. (2026-06-05 jobs, -2.58%.)
  3. A bank stock shows CPI days at 2.2x normal. What does that suggest? (It is unusually sensitive to inflation surprises, probably through rate expectations.)
Common mistakes4 mistakes
  • Reading the average as typical: a few big days drive it.
  • Ignoring direction: MDAY's headline uses absolute moves.
  • Forgetting other news on the same day (earnings, geopolitics).
  • Comparing names with very different normal volatility using raw moves instead of the multiple.
Check yourself3 questions
  1. How is a release-day move measured?
  2. What does "1.4x normal" mean?
  3. Why are absolute moves used?
Answers
  1. From the previous session's close to the release day's close.
  2. The average absolute move on those days is 1.4 times the average on normal days.
  3. To measure the size of reactions regardless of direction, so ups and downs do not cancel.
Words in this lesson5 words
macro day
A day with a major scheduled economic release.
jobs report (nonfarm payrolls)
The monthly US employment release.
FOMC
The Fed committee that sets the policy rate.
absolute move
The size of a move, ignoring its sign.
normal day
Any session that is not a release day in the lookback.

Educational material about reading market data, not investment advice.