The employment report nornally comes out on the 1st Friday of the month. Today’s report is helping to trigger a large gap up in the SPY. I looked back at other times since 2003 where the SPY gapped up more than 1% on the first Friday of the month.
Results here are a little dissapointing in that they don’t seem to suggest much of an edge in either direction. Also a little surprising is that the employment report hasn’t triggered more big gaps up. In any case, I’ll keep this test in mind in the future in case a more definite edge appears to emerge, but I’m not basing any trades on it right now.