I know that markets tend to move a lot when there is a surprise in a news report but how big does a surprise have to be in order for it to really move. The reason I ask is because sometimes there will be a big surprise and the markets will only move a little bit.
You have to look behind the consensus number. Remember, the consensus is actually an average of all the forecasts given out by the major investment banks. Sometimes the range of numbers is narrow which means that most of the economists are in near agreement on a number. Now if the news report comes out and the actual number is off, it will make a big impact on the market because the number disagreed with the majority of the economists.
On the other hand, sometimes economists have a tougher time reaching a general agreement on a number which causes the range of forecasts to be wider. The median number may still be the same as the first scenario but the range is wider meaning that economists cannot come to a strong agreement on a number. Now if there is a surprise in the news report from the consensus, there will be less of an impact on the market since there wasnít a strong agreement from the economists. The price may move with the surprise number initially but it will usually settle back down by the end of the day.