Despite the weakest since 16 March 2020 trading session on S&P 500 and secon-largest one day market cap drop, US500 fails to recover loses today, losing almost 0,5%. This situation increases hedging appetite among institutions such as option gamma dealers, as well as retail traders, which lifts VIX today. The CBOE Volatility Index (VIX) surges almost 4% ahead of the US Non-Farm Payrolls report today and Fed chair Powell’s speech at 4:25 PM GMT.
1:30 PM GMT, U.S., Non-Farm Payrolls report (March):
- Expected change in non-farm employment: +140k vs +151k previous
- Private sector employment: expected +135k vs +140k previous
- Manufacturing sector: expected decline of -1k vs +10k increase previous
- Unemployment rate: expected 4.1% vs 4.1% previous
- Average hourly earnings: +4.0% YoY vs +4.0% previous (+0.3% MoM vs +0.3% previous)
- Average weekly hours: 34.2 vs 34.1 previous
VIX (M15 interval)
Looking on the VIX index we can see that despite surge since 2 April, falling MACD and RSI suggest that the upside potential for hedging may be limited from the current levels. The market will look up also on potential Trump remarks about ‘the highest tax cut program in the US history’. Also, positive reaction to NFP today and chair Powell remarks may pressure VIX from current levels. Slightly weaker than expected or in-line NFP may point to more dovish Powell speech, however if number will be ‘too low’, fear may persist due to ‘recession fears’. Strongher than expected NFP (after strong ADP from Wednesday) may support US dollar and make markets more focused on Powell remarks.
Source: xStation5
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