SPX going into NFP print tomorrow just 20pts off ATH. Brief correction earlier in the week completely retraced. Last months NFP number had a shocking revision of -133k jobs for July, one of the largest revisions since Covid:
Markets pricing in a 97%+ chance of 25bps cut on Sep FOMC. JPM lays out the expectations for tomorrow:
Unlike earlier in the week, straddle down to ~60-65bps for tomorrow, below the Aug 80bps implied move (we saw a 150bps down day on the big miss.)
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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