The economic data slate is light today to kick off the new week with the only US release of note being the New York Fed’s Survey of Consumer Expectations (which we will cover in tonight’s Closer), but tomorrow we’ll get the all-important CPI report for the month of October. In the chart below, we show the daily change of the S&P 500 on each CPI release day going back to 2000. As shown, it will be the one year anniversary of what is currently the record gain on a CPI day with the 5.54% jump last November when CPI came in weaker than expected, dramatically shifting Fed pricing. S&P 500 reactions to CPI days have remained strong with an average daily gain of 0.30% on the last ten monthly CPI days, but that’s down quite a bit from higher readings seen this past summer.
Although last November marked an outlier of performance on CPI days, November is actually the worst month of the year for average S&P 500 daily moves on CPI days. As shown below, ironically sandwiched between two of the best months, the average decline of 0.37% in November is the worst of any month. That is because not only does November hold the record gain in 2022, but the month also boasts the record loss on a CPI day with the 6.12% decline in 2008. However, in terms of how actual results of CPI prints come in versus estimates, there does not appear to be any significant seasonal patterns. Put differently, average gains on CPI days are likely a more nuanced function of the actual results of the report and market volatility of the time rather than seasonality.
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