How much does the range actually widen at NFP?
Findings from 1,820 scheduled-release windows across 28 pairs: what the range expansion is made of, and what publishes with the artifact.
Prerequisite Knowledge
Understanding this analysis requires familiarity with Order Book Censoring and how brokers throttle update frequencies during extreme volatility.
The Observable Mechanism
We measured price-range and tick-volume expansion across 28 currency pairs over 1,820 scheduled-release windows — 867 Non-Farm Payroll and 953 CPI prints — drawn from sixteen years of hourly data.
The Non-Farm Payroll Range Expansion
Non-Farm Payrolls (NFP) consistently generates the largest scheduled volatility events in retail FX. But how much does the price range actually widen in the window around the release?
We analyzed 1,820 scheduled-release windows — 867 NFP and 953 CPI prints — across 28 currency pairs to measure how the trading range and tick volume expand relative to ordinary hours.
The Findings
The per-pair range-lift and tick-volume-lift factors publish together with the raw, content-hashed dataset. NOT YET PUBLISHED — this article ships the methodology and the shape of the result first; the numbers arrive only with the artifact that proves them.
What we can already say about the shape: the expansion is real, it is systematic across pairs, and NFP windows expand harder than CPI windows. The exact factors — overall and per pair — arrive with the artifact.
What This Measures — and What It Doesn’t, Yet
This dataset measures range and tick-volume expansion from hourly bars. It does not measure bid-ask spread widening or top-of-book depth withdrawal — that is a separate, pre-registered study on captured tick data (registered before execution, per our methodology), and it has not been run yet. When it runs, its result publishes as its own hashed artifact — whatever it says. Separating volatility-driven range expansion from liquidity-withdrawal-driven spread widening is precisely what that second study exists to settle.
What This Does Not Establish (The Limits)
This dataset does NOT establish that you can predict the direction of the NFP spike. It only establishes the mathematical constraints of the spread widening and liquidity void that occurs during the spike. Any attempt to backtest directional strategies over NFP releases must account for extreme slippage.
Claims examined
"A perfect score in a backtest over NFP data means the strategy will work in live markets."
A perfect score on historical NFP data is a claim about pipeline over-parameterization, not about the market. Historical ticks lack the liquidity-withdrawal dynamics present in live execution.