NFP Overview
March 6th 2026 - SPX & SPX Options
February NFP coming out tomorrow morning to dilute the barrage of Middle East war headlines. Indices so far are holding up well in terms of price… Implied volatility, however, spiked sharply across assets. US yields up across the curve on re inflation concerns following oil spike. USD bid & MAG7 showing relative strength as market pivot towards ‘safe havens’.
In terms of March FOMC, rate cut odds substantially lower from 1 month ago, almost certainly no cuts…
Market largely looking for a ‘goldilocks’ print once again similar to last months scenarios so anything too high/low likely gets sold into US RTH session.
First revisions continue to come in negative albeit adjustments are much smaller than last year.
~100 bps SPX straddles for tomorrow as a result of higher latent ivol & small NFP premium.
Historic NFP data (from https://www.bls.gov/web/empsit/cesnaicsrev.htm):
Final revision sum:
Overnight SPX Straddle performance ($200k fixed notional):
