Market expecting a slightly lower number relative to Jan for the Feb NFP, however, the pricing for short term straddles is easily nearing panic levels.
Currently trading at ~160bps (peaked 165), this is the most expensive SPX NFP straddle since 2020 and one data release in 2022… market getting a little ahead of itself.
As is largely consensus, an in line print likely to result in a relief rally going into the weekend. Overall we’re not seeing major downside panic, took us 5 days to drop as much as we did in 2 hrs on Dec FOMC, albeit we are now lower.
Given how long we are now seeing VIX/VX1 inversion, one of the more shallow SPX dips historically.
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