Markets coming into NFP off ~2.5% from just yesterdays pre market highs. The ‘Tariff Man’ is back with the extension deadline passing so tariffs are back on again… Ofc why exactly the market is ~1500pts higher from 4 months ago when the same tariffs were introduced will forever remain a mystery… VX term structure flattened very quickly, with that 3pt+ Aug-spot spread gone in a day.
Wrapping up the data heavy week, JPM expectations for today:
Looks like JPM expects ‘good data’ to be ‘good data’ still as market ok with rate cut expectations being pushed out.
~ Average 75 bps straddle for todays NFP even after the overnight drop on tariffs.
Historic NFP data (from https://www.bls.gov/web/empsit/cesnaicsrev.htm):
Final revision sum:
Overnight SPX Straddle performance ($200k fixed notional):
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