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CPI Performance

Market behavior on CPI release days — range, volatility, and patterns

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CPI Performance — Strategy Guide

CPI Day Behavior

The Consumer Price Index (CPI) is released monthly at 8:30 AM ET and is one of the most market-moving economic events. This report analyzes historical behavior around CPI releases — the initial spike, reversal patterns, and eventual trend direction.

Key Patterns

Pre-Release Compression — Range contracts in the 30-60 minutes before the release as traders reduce exposure. Low-quality setups.

Initial Spike — The 8:30 AM reaction move. Often 15-40+ points on ES within seconds. The first move is frequently wrong (reversed within 30 minutes).

Post-Release Trend — After the initial volatility settles (usually 9:00-9:30 AM), a more reliable trend develops. This is the tradable move.

Trading Strategy

Avoid the initial spike — it's a whipsaw zone. Wait 15-30 minutes for price to establish direction, then trade the post-release trend. The eventual trend direction is often the opposite of the initial spike. Use wider stops on CPI days (1.5-2x normal ATR) to account for increased volatility.

Important

CPI days regularly produce 2-3x normal daily range. Reduce position sizes to account for the increased volatility and wider stops needed. A standard position size with a standard stop will get blown out by the initial spike.

Pro Tip

The CPI report breaks down performance by CPI outcome (hotter than expected, cooler, inline). "Hotter" CPI prints tend to create more sustained directional moves than "cooler" prints, which often see initial selling followed by a recovery.

Pivot Points

FOMC Performance