In the minute after the reports’ releases, surprises in related labor market data, such as the unemployment rate and average hourly earnings, also produced strong impacts on interest rate volumes, as did initial jobless claims, ranging from 80,000 to 145,000 in additional futures volumes for a one standard deviation miss from consensus. The impact on options volumes during the first minute after the releases were typically much smaller. 

3. Retail sales have been the second most influential piece of data after the employment numbers. A one standard deviation surprise versus forecasts on retail sales typically produced an additional 80,000 contracts of futures volume in the minute after release.

4. Despite the post-pandemic surge in inflation, market reactions to surprises in CPI, core CPI and PPI, although still statistically significant, tended to be more muted, adding only 20,000 to 30,000 contacts to the futures trading volume within a minute of their release. They tended to have a mixed and negligible immediate impact upon options volumes.

5. Recognising that FOMC policy announcements can significantly influence trading activity, we included a dummy variable to account for these days. Interest rate options daily trading volume is, on average, 1,747,832 contracts higher on FOMC announcement days compared to non-FOMC days.