Non-Farm Payrolls and Futures: 69 NFP Days Exposed Across 4 Instruments

Non-Farm Payrolls is the single most volatile scheduled event for US index futures. Everyone knows this — but very few have actually measured it. We analyzed 69 NFP releases across nearly six years of 1-minute data on four futures contracts: NQ (Nasdaq 100), ES (S&P 500), YM (Dow Jones), and RTY (Russell 2000).

This is not a guide on how to trade non-farm payrolls. This is what actually happens in the data — delivery, fakeouts, volatility decay, and everything the headline number does and does not predict.

What Is the Non-Farm Payrolls Report?

The Non-Farm Payrolls report (NFP) is a monthly employment report published by the U.S. Bureau of Labor Statistics (BLS). It is released on the first Friday of each month at 8:30 AM ET and reports the total number of paid workers in the U.S. economy, excluding farm employees, government workers, and a few other categories.

The headline number — Total Nonfarm — is the figure that moves markets. Alongside it, the report includes the unemployment rate, average hourly earnings, and labor force participation rate. For futures traders, NFP is the most closely watched scheduled data release because of the magnitude and speed of the price reaction it produces.

The consensus forecast is published before the release by major financial institutions and wire services. The difference between the actual number and the forecast — the surprise — is what most traders focus on. As we will show below, the relationship between the surprise and the actual price move is far less straightforward than commonly assumed.

How Much Does NFP Move Futures?

This is the most basic question, and the answer depends on both the instrument and the timeframe. We measured delivery — how many points price moved in the direction of the day’s trend, starting from the last price before the 8:30 AM release (the reference price). If NQ was at 20,000 when the report dropped and ended the day at 20,200, that’s 200 points of delivery. We use the median rather than the average because it is more resistant to outliers — a single extreme event does not distort the picture.

We measured delivery at four intervals: 30 minutes, 1 hour, 2 hours, and by RTH close (RTH = Regular Trading Hours, 09:30–16:00 ET — the main NYSE/NASDAQ session).

Median NFP Delivery by Instrument and Timeframe

Timeframe	NQ (pts)	NQ (%)	ES (pts)	ES (%)	YM (pts)	YM (%)	RTY (pts)	RTY (%)
30 min	59.8	0.36%	14.2	0.28%	106.0	0.29%	13.2	0.65%
1 hour	66.5	0.41%	15.0	0.32%	142.0	0.40%	15.2	0.73%
2 hours	141.8	0.84%	33.0	0.65%	220.0	0.62%	22.1	1.16%
RTH Close	202.2	1.33%	43.5	0.90%	330.0	0.86%	28.9	1.41%

Median values across 69 NFP events (June 2020 – February 2026). All four instruments cover the same 69 release dates.

Two things stand out immediately.

First, RTY is the most reactive instrument in percentage terms. Its median 30-minute delivery of 0.65% is more than double the ES figure (0.28%) and nearly double NQ (0.36%). The Russell 2000 moves disproportionately more on employment data than the large-cap indices.

Second, delivery does not stop after the initial spike — but the growth is not linear. On NQ, the 30-minute and 1-hour medians are nearly identical (59.8 vs 66.5 pts), suggesting a consolidation phase in the first hour. Between 1 hour and 2 hours, delivery more than doubles (66.5 → 141.8 pts), indicating a second leg of movement. By RTH close, NQ delivery reaches 202 pts — more than 3x the 30-minute figure.

Wick and Full Range

The wick is the initial fake-out spike in the first minute after 8:30 — price shoots in one direction, then reverses and ends the day going the other way. For example, if NQ spikes 30 points up at 8:30 but finishes the day down, those 30 points are the wick. The full range is the high-to-low of the entire session after the release. In absolute terms, YM wicks appear largest (37 pts) and RTY smallest (2.6 pts) — but in percentage terms, all four instruments produce nearly identical wicks of 0.10–0.15%. The full range tells a different story: RTY leads at 2.01%, confirming its outsized reaction to employment data.

The Initial Wick — Fakeout or Real Move?

One of the most commonly repeated warnings about NFP is that the first move is often a fakeout. Our data confirms this on NQ and YM, and quantifies it precisely.

On NQ, 71% of NFP days feature a significant counter-wick (greater than 5 points) in the first minute after the release. On YM, the figure is 80%. ES shows a fakeout rate of 58%. RTY is the exception at 42%, though this is partly a function of the absolute threshold — RTY’s smaller point values mean fewer wicks exceed 5 points.

Wick Fakeout Rate by Instrument

NQ Wick Size Distribution

The distribution is bimodal. The largest bucket is 50+ points (33% of events), meaning that one in three NFP days produces a wick larger than 50 NQ points in the first minute. At the same time, 29% of events have no significant wick at all. Medium-sized wicks (5–50 pts) are actually less common than extreme ones.

This does not mean the initial move is always wrong. It means that in the majority of cases, the first bar contains movement in both directions, and the counter-wick is more common than not.

Initial Balance on NFP Days

The Initial Balance (IB) is the price range established during the first hour of a trading session — the distance between the highest high and lowest low of that window. Once price breaks above the IB high (IBH) or below the IB low (IBL), the breakout direction and how far price extends beyond the IB are key measures of follow-through.

On NFP days, we track two versions. The Event IB covers the first hour after the release (8:30–9:30 AM ET). The Classic IB covers the traditional first hour of Regular Trading Hours (9:30–10:30 AM ET).

Event IB (8:30–9:30)

Metric	NQ	ES	YM	RTY
Median Range	131 pts (0.77%)	31 pts (0.64%)	202 pts (0.56%)	23 pts (1.12%)
IBH Hit Rate	71%	74%	80%	59%
IBL Hit Rate	62%	52%	59%	57%
Both Hit	39%	32%	42%	28%
First Break: IBH	58%	68%	63%	57%
IBH Extension (med)	79 pts (0.52%)	19 pts (0.42%)	118 pts (0.32%)	13 pts (0.61%)
IBL Extension (med)	123 pts (0.80%)	34 pts (0.74%)	166 pts (0.45%)	16 pts (0.74%)

Event IB = 8:30–9:30 AM ET (first hour after NFP release). Extension = how far price travels beyond IBH or IBL after the breakout.

The most striking pattern is the upward breakout bias. On ES, 68% of first breakouts from the Event IB are to the upside. On YM it is 63%, and on NQ 58%. This is consistent with the overall LONG directional bias of NFP days.

IBL extensions are consistently larger than IBH extensions across all four instruments. On NQ, when price breaks below the Event IB low, the median extension is 123 pts (0.80%) — compared to 79 pts (0.52%) for an upward IBH break. On YM, the gap is even wider: 166 pts vs 118 pts. In percentage terms, RTY shows the largest extensions relative to its price (0.61–0.74%), while YM is the smallest (0.32–0.45%). Downside breakouts on NFP days are less frequent, but when they occur, they tend to be more aggressive.

NFP Days vs. Normal Days

Metric	NQ	ES	YM	RTY
Range Ratio (NFP / normal)	1.23x	1.33x	1.30x	1.31x
IB Ratio (NFP / normal)	1.26x	1.32x	1.26x	1.12x
Both-Hit Rate: NFP	20%	23%	22%	16%
Both-Hit Rate: Normal	22%	30%	24%	16%

Baseline = median of 30 non-NFP trading days before each event. Classic IB (9:30–10:30) used for comparison.

NFP days produce ranges only 1.23–1.33x larger than normal trading days — less dramatic than the intraday volatility spikes might suggest. The Classic IB is only 1.12–1.32x the normal IB size. Most surprisingly, the rate at which both IBH and IBL get hit is nearly identical on NFP days and normal days (20% vs 22% on NQ, 23% vs 30% on ES). NFP changes the magnitude of the range, but not the structural behavior of the IB.

Does the Surprise Size Predict the Move?

When the NFP report comes in far above or below the consensus forecast, conventional thinking says the price move should be proportionally larger. We tested this directly.

The correlation between the absolute surprise (|actual − forecast|) and the 30-minute delivery ranges from r = −0.10 (NQ) to r = +0.25 (YM) — none of the four instruments show a statistically meaningful relationship. The correlation with the full day range is equally weak (r = −0.09 to +0.10).

Surprise Buckets vs. Median Delivery (NQ)

Surprise Bucket	Number of Events	Med Delivery 30m	Med Full Range
Small (<30K)	18	64 pts	273 pts
Medium (30–80K)	18	75 pts	323 pts
Large (80K+)	32	48 pts	254 pts

The bucket with the largest surprises (80K+ jobs above or below forecast) actually produced the smallest median delivery — 48 pts vs 64–75 pts for smaller surprises. The market’s reaction depends on the broader context — positioning, prior trend, and what other data is embedded in the report — not the headline number alone.

Beat vs. Miss — Can the Report Predict Direction?

If the NFP number beats the forecast (more jobs than expected), conventional logic suggests the stock market should sell off — the reasoning being that a strong labor market gives the Fed less reason to cut rates. Under this framework, beat = SHORT and miss = LONG.

We tested this across all four instruments. The accuracy of this rule ranges from 43% to 56% depending on the instrument — statistically indistinguishable from a coin flip.

Beat/Miss Direction Accuracy

Instrument	Overall Accuracy	Beat → SHORT	Miss → LONG
NQ	47% (32/68)	20 of 44	12 of 24
ES	43% (29/68)	18 of 44	11 of 24
YM	46% (31/68)	19 of 44	12 of 24
RTY	56% (38/68)	24 of 44	14 of 24

Beat = actual > forecast, Miss = actual < forecast. Direction = RTH close vs 8:30 reference price. 68 events with both actual and forecast available.

The beat/miss framework does not reliably predict the direction of the NFP day on any instrument. Even RTY’s 56% — the highest in the group — is within the range expected from random chance over 68 trials. The headline number alone, whether it is bigger or smaller than the forecast, does not determine what happens to futures.

Pre-Release Drift — A Contrarian Signal?

In the 30 minutes before the 8:30 AM release (08:00–08:29 ET), futures are already moving. We measured whether this pre-release drift predicts the eventual NFP day direction.

On NQ, the pre-release drift predicted the correct direction in only 39% of events. On YM, the figure is 43%, and on ES 44%. All three are below 50%, suggesting a weak contrarian tendency — the drift more often pointed in the opposite direction of the post-NFP move.

RTY is the exception at 52% — essentially random. On the three large-cap instruments, the pre-release drift is slightly contrarian: when the market drifts higher before the NFP release, the subsequent move is more likely to be down, and vice versa.

How Long Does NFP Volatility Last?

NFP produces an immediate volatility spike, but how quickly does it decay? We divided each NFP day into time blocks and measured the ATR (Average True Range) per 1-minute bar in each block — essentially, how large each individual candle is. A higher ATR means price is swinging more aggressively within each minute.

To account for NQ’s price doubling over five years (from ~10,000 to ~20,000), we normalized each day individually: every block is expressed as a percentage of that day’s 08:30–08:34 baseline.

NQ Normalized Volatility Decay (Median Across 69 Events)

Time Block	Median (% of Baseline)
08:30–08:34	100%
08:35–08:44	43%
08:45–08:59	32%
09:00–09:29	27%
09:30–09:59	57%
10:00–10:59	47%
11:00–11:59	34%
12:00–13:59	27%
14:00–15:59	25%

The first five minutes after the release are the highest-volatility window. By 09:00, ATR drops to roughly 27% of the initial spike. The 09:30 block shows a secondary bump to 57% — this is the RTH open effect. At 09:30 ET, the main stock exchanges (NYSE, NASDAQ) open for the day, bringing a wave of additional volume and order flow that amplifies volatility on top of the ongoing NFP reaction.

After 10:00, volatility resumes its decline and settles near 25–34% of the baseline for the rest of the session. The first 30 minutes contain the majority of the NFP-specific volatility expansion, and this portion of the decay curve (08:30–09:00) is consistent across years with a spread of less than 20 percentage points.

The afternoon portion (after 09:30) is more regime-dependent. In 2020, afternoon volatility stayed above 60% of baseline. In 2023, it dropped below 20%.

When Does the Session Extreme Form?

On an NFP day, when does the session extreme — the highest high of the day (for LONG days) or the lowest low (for SHORT days) — actually print? The answer varies significantly by instrument.

Median Time to Peak After 8:30 AM

Instrument	Median Time to Peak	Peaks < 30 min	Peaks 4+ hrs
NQ	270 min (4.5 hrs)	7 (10%)	37 (54%)
ES	254 min (4.2 hrs)	6 (9%)	35 (51%)
YM	242 min (4.0 hrs)	6 (9%)	35 (51%)
RTY	135 min (2.3 hrs)	10 (14%)	23 (33%)

NQ tends to form its session extreme late — roughly 4.5 hours after the release, with more than half of all peaks forming after 4 hours. This suggests that Nasdaq futures continue to extend well into the afternoon on NFP days.

RTY is the outlier. Its median time to peak is only 135 minutes — roughly 2 hours earlier than NQ — and only 33% of its peaks form after 4 hours. The Russell 2000 reacts faster and completes its move earlier.

Across all instruments, fewer than 15% of session extremes form within the first 30 minutes. NFP days are not “spike and done” events. The data shows that the session extreme typically forms well after the initial reaction.

Do NFP Days Trend or Reverse?

We measured where each NFP day’s closing price falls relative to the full session range (high to low). A close position of 82% means price closed near the top of the day’s range — the market went up and stayed up. A close position of 15% means it closed near the lows.

We define a trending day as one where the close lands in the top 25% of the range (for LONG days) or bottom 25% (for SHORT days) — the market committed to one direction and held through the close.

Trending vs. Reversal Days

On NQ, 62% of NFP days are trending by this definition. LONG days close with a median position of 82% of the day’s range, and SHORT days close near 31%. ES is similar at 58%.

RTY is again the outlier — only 43% of its NFP days are trending, and its close positions are more moderate (64% for LONG, 36% for SHORT). This is consistent with RTY’s earlier time to peak: it moves fast, but is more likely to retrace afterward.

On NQ and ES, once the NFP direction is established, the market is more likely to continue than to reverse.

Year-over-Year — Is NFP Changing?

NFP has been a market-moving event for decades, but its character shifts with the macroeconomic regime. We broke down the key metrics by year.

NQ NFP Statistics by Year

Year	Events	Med Del 30m	Med Range	Med Wick	LONG %
2020	7	42.5 pts	232.8 pts	2.0 pts	57%
2021	12	39.0 pts	166.9 pts	12.1 pts	58%
2022	12	94.9 pts	312.4 pts	51.9 pts	17%
2023	12	52.4 pts	269.9 pts	39.6 pts	67%
2024	13	52.8 pts	266.5 pts	57.2 pts	69%
2025	11	81.8 pts	397.0 pts	21.2 pts	45%
2026	2	142.0 pts	388.5 pts	7.6 pts	100%

The most striking anomaly is 2022. During the Fed’s aggressive rate-hiking cycle, only 17% of NFP days on NQ were LONG — and the same 17% held on ES and YM. Employment data that would normally be considered positive for equities was met with selling as the market priced in further tightening.

The range and delivery figures are less stable than they might appear. 2021 had notably smaller ranges (median 167 pts), while 2025 showed the largest (397 pts). The wick column reveals a shift: in 2020, median wicks were just 2 pts, but by 2022–2024 they reached 40–57 pts. This suggests the market’s initial reaction has become more volatile and contested over time, even as the eventual delivery has remained in a similar range.

What changes most clearly across years is the directional bias, which is driven by the macroeconomic regime rather than the employment data itself.

Key Takeaways

Methodology

• Data: 1-minute bars (one candle per minute of trading) for NQ, ES, YM, and RTY — continuous front-month futures (the nearest expiration contract, rolled forward automatically).
• Period: June 2020 through February 2026 — 69 NFP events.
• Actual NFP values: BLS initial release estimates, not FRED revised figures. Initial and revised values can differ by 100K+ jobs.
• Forecasts: Consensus estimates compiled from Reuters, Bloomberg, CNBC, and FXStreet pre-release surveys.
• Reference price: The closing price of the 08:29 bar (last bar before the release).
• Wick: The maximum excursion against the day’s direction within the first minute after 8:30.
• Delivery: Cumulative directional move from the reference price at each measurement window.
• Direction: Determined by the position of the RTH close relative to the 8:30 reference price.
• Trending day: RTH close in the top or bottom 25% of the session range.
• Fakeout threshold: Counter-wick exceeding 5 points (absolute, not normalized per instrument).
• Event IB: Price range from 8:30 to 9:30 AM ET (first hour after NFP release).
• Classic IB: Price range from 9:30 to 10:30 AM ET (first hour of RTH).
• IBH/IBL hit: Price exceeds the IB high or low at any point after the IB window closes.
• Extension: Distance price travels beyond IBH or IBL after the breakout.
• Baseline: Median of 30 non-NFP trading days before each event, used for range and IB ratios.