It was a relatively quiet day in many CME Group markets ahead of this weekend’s Labor Day holiday here in the US. However, before we fire up the collective grill, tomorrow presents us with the 7:30 AM Central Time release of the August Employment report. It seems the potential for the release of the August jobs number to move certain markets is not lost on the options market, as CME Group’s Event Volatility Calculator is attributing a futures price move in the following products to the number release.
The Event Volatility Calculator uses the term structure of volatility to try to isolate the potential price impact of economic releases like the jobs number. Below is a QuikStrike graph of the term structure of volatility (implied volatility at different expirations) in the E-mini Nasdaq-100 options. As you can see, the options expiring tomorrow are indeed trading at a higher IV than the next couple expirations as you move out the curve.
We’ll be publishing In FOCUS around Noon tomorrow in observance of the Labor Day Holiday.