Quantitative Global Macro Strategy: Intraday Analysis – I Believe You...But My NFP Don‘t

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Quantitative Global Macro Strategy: Intraday Analysis – I Believe You...But My NFP Don‘t

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01 Jul 2026 13:38:44 ET │ 15 pages

Quantitative Global Macro Strategy

Intraday Analysis – I Believe You…But My NFP Don’t

CITI'S TAKE

Michael Alexeev

Payrolls releases continue to generate significant two-way risk; recently we +1-212-816-1167

moved to a "good news is bad news" regime where positive data fuels michael.alexeev@citi.com

hawkish monetary policy concerns in equities. We observe that Treasuries

typically sell off on the median NFP day, with bearish surprises in rates Alex Saunders AC

showing mean reversion approximately 15 days later. While equities tend to +1-212-723-1058

rally on payrolls days, their performance is highly conditional on the reaction alexander.saunders@citi.com

in USTs. The DXY exhibits a notable intraday reversal pattern, and we find

that bearish NFP surprises for rates tend to have follow-through

momentum for a stronger dollar. In contrast, gold has been the most

consistently positive asset on NFP days, though it lacks significant multi-

day follow-through. Our US econ team sees 25k in payrolls reporting

tomorrow (link).

Equities — Equities typically rally on payrolls days, with a median ES1 return of

12bps. Even negative surprises (measured by reaction in the 5min after release) tend

to see partial reversal; there is a small drift upward during the US trading day,

regardless of the initial reaction. Historically, there is ample follow-through to

significant bullish surprises, with positive returns in the next few sessions. Equities

are unperturbed by negative surprises and resume their upward drift.

Treasuries — Treasuries tend to sell off slightly on the median NFP day and react

quickly to the news.