Twitter taken over by Musk / Trump drama towards eod Thursday, nonetheless, tomorrow we get our monthly NFP data to finish up the week.
1-DTE ‘latent’ vols have fallen substantially last week, trading at summer market lull levels. NFP SPX straddles down to ~90 bps for tomorrow, way off the highs we’ve seen last few months. Today’s weakness came almost exclusively from TSLA drop, with majority of the market sitting near the rally highs.
Historic NFP data (built from https://www.bls.gov/web/empsit/cesnaicsrev.htm):
Final revision sum:
Notably as final rolling revision sum started turning positive ~Aug 2024 we’ve seen negative reactions throughout the US session. This is likely due to Fed’s rates position, where strong numbers + tariff inflation impact are still key issues for lowering rates.
Overnight SPX Straddle performance ($200k fixed notional):
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