Instrument
Stat
CPI Performance
What is the average close-to-close percent return in the trading sessions before a CPI release, on the release day itself, and in the sessions after?
Timeframe
What is the average close-to-close percent return in the trading sessions before a CPI release, on the release day itself, and in the sessions after?
Green (up) vs Red (down)
Green (up) vs Red (down)
Green (up) vs Red (down)
Probabilities are observed frequencies over the selected period. The baseline is the same outcome's unconditional rate; edge is probability − baseline, in percentage points.
| Condition | Outcome | Probability | Baseline | N | Edge |
|---|---|---|---|---|---|
| Pre-announcement window | Green (up) | 63.054% | 50.246% | 203 | +12.81 pts |
| Pre-announcement window | Red (down) | 36.946% | 49.754% | 203 | -12.81 pts |
| CPI release day | Green (up) | 58.333% | 47.059% | 204 | +11.27 pts |
| CPI release day | Red (down) | 41.667% | 52.941% | 204 | -11.27 pts |
| Post-announcement window | Green (up) | 59.314% | 52.941% | 204 | +6.37 pts |
| Post-announcement window | Red (down) | 40.686% | 47.059% | 204 | -6.37 pts |