🔻US data surprise indices trending lower - Westpac

The upcoming May payrolls has one crucial difference with the previous month’s release: the expectations game is in check. Admittedly the high forecast for May payrolls extends up to 1mn jobs, but broadly speaking expectations are far more contained and there is a lot less unchecked “whisper talk” for a big number. Consistent with that, data surprise indices have been lurching lower for several months. As a group, US data surprise indices are at their lowest levels in the pandemic era, about 1 to 2 z-scores below trend, levels where sentiment and expectations are typically reigned in.