September Employment Report In The Spotlight

By Craig Bewick
OCT 07 2021

US Equity Indexes were sharply higher today after the US Congress appeared to have reached an agreement to increase the debt ceiling, at least until December (though the vote is not scheduled until tonight).  The Equity options market reacted in kind as 30-day implied volatility in the E-mini Nasdaq-100 options fell from about 22% yesterday to about 19.5% in early afternoon trading today.  Stocks rallied despite a rise in longer term US Treasury yields that saw the Micro 10-Year Yield contract increase by about 3.5 basis points to 1.575 and the 30-Year Micro Yield rise to 2.135, up nearly 4.5 basis points. 

Of course, now that concern over the debt ceiling seems to have subsided, the market will be looking towards tomorrow’s release of the September Employment report at 7:30 AM Chicago time.  With so many potentially market-moving headlines lately, its hard to pinpoint just one, but CME Group’s Event Volatility Calculator is calculating at 30 point move in the E-mini S&P 500 price, a 105 point move in the E-mini Nasdaq-100 and a slightly greater than quarter point move in the US T-Bond.  This tool uses the implied volatility of the nearby options expiration versus more deferred expirations to isolate the price movement in a futures contract that the options market is pricing given an economic event or announcement. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

Connect with Craig at activetrader@cmegroup.com

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