Non farm payroll releases, 1-year history market impact on S&P 500 futures, U.S. 10-year yield, USD/JPY spot. Data compiled by Bloomberg
In terms of average response, 30 minutes after the release, S&P 500 futures rise by 0.14% with an upper bound response of up to 0.36%. On average, the U.S. 10-year yield rises 1.43%, with an upper bound response of 3.28%
USD/JPY market impact is minimal, however, it diverges from the overall average 'risk on' response seen in futures and yields. On average, the dollar tends to fall vs. the yen with a lower bound response of -0.31%. This finding is interesting, and it is showing a strong safe haven profile in the USD vs the JPY
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