* Initial claims, ADP, GDP data on tap
* Costco slips after same-store sales miss expectations
* Futures up: Dow 62 pts, S&P 5.4 pts, Nasdaq 11.5 pts
By Chuck Mikolajczak
NEW YORK, May 31 (Reuters) - U.S. stock index futures advanced on Thursday, indicating the S&P 500 may bounce from its worst drop in two weeks ahead of data which could help shift the focus from euro zone headlines.
The S&P 500 fell 1.4 percent on Wednesday, its biggest decline since May 17, as anxiety over the euro zone's fiscal crisis sent investors away from riskier assets and into safe havens such as U.S. Treasury bonds. The CBOE volatility index, a gauge of market anxiety, jumped 14.8 percent, its largest daily gain in almost three months.
European shares steadied, recovering some poise after the previous session's steep losses but were still set for their worst monthly loss since August as concern over Spain's financial problems continued to weigh. The FTSEurofirst 300 was up 0.5 percent.
The benchmark S&P index is on pace for its worst monthly decline since September on increasing concern over the euro zone's debt crisis and a spate of tepid domestic economic data.
Investors will look to the ADP employment report and weekly initial jobless claims for clues on the health of the labor market ahead of Friday's key payrolls report.
Economists in a Reuters survey expect ADP to show 148,000 jobs were created in May versus 119,000 new jobs in April. Initial claims are expected to show 370,000 new filings, unchanged from last week.
The preliminary estimate for first-quarter gross domestic product will also be eyed. Economists forecast a 1.9 percent annualized pace of growth, compared with a 2.2 percent rate in the advance Q1 estimate.
"The data will be consistent with modest growth, enough to not make the market get a bad case of indigestion," said Peter Cardillo, chief market economist at Rockwell Global Capital in New York.
"Slow growth is not going to undercut the market's trend but it certainly is going to help stabilize things."
U.S. equities have been closely linked to the fortunes of the euro, with the 50-day correlation between the currency and the S&P 500 at 0.92. Expectations of an Irish vote in favor of Europe's fiscal pact helped the euro recover from a near two-year low against the dollar.
S&P 500 futures were up 5.4 points and were above fair value, a formula that evaluates pricing by taking into account interest rates, dividends and time to expiration on the contract. Dow Jones industrial average futures gained 62 points, and Nasdaq 100 futures added 11.5 points.
Other data on Thursday includes the May index of manufacturing activity from the Institute for Supply Management Chicago at 9:45 a.m. (1345 GMT). Economists in a Reuters survey forecast a reading of 56.5 compared with 56.2 in April.
Retailers will be in focus as they report monthly same-store sales results. Costco Wholesale Corp reported a 4 percent rise in comparable sales in May, falling short of analysts' forecasts as a strong dollar hurt the value of its sales overseas. Shares dipped 0.9 percent to $85 in premarket trade.
Ciena Corp climbed 4.5 percent to $12.41 in premarket after the network equipment company posted a surprise second-quarter adjusted profit.
Joy Global Inc slipped 1.2 percent to $58.35 premarket after the mining equipment maker said it expects order rate to moderate and revenue to remain flat for the next few quarters.
Asian shares slid amid concern Spain may fail to rescue its banks due to soaring borrowing costs, compelling it to seek a bailout.