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G10 FX Subdued Ahead of July Payrolls Print

FOREX
  • Markets are generally treading water and respecting recent ranges ahead of the NFP print later today, with FX options markets pricing a relatively more muted response to today's payrolls release, with the vol premium added ahead of NFP among the lowest of the year so far.
  • EUR/USD overnight vols peaked at 12.9 points yesterday, below the 2023 pre-NFP average of 15.5, and following the pattern of lower highs in implied vol ahead of payrolls across the year. Markets priced the largest swing in EUR/USD ahead of the January payrolls report (February 3rd) - with implied topping out at 19.8 points. Overnight straddle break-evens price a ~45 pip swing in EUR/USD for today's NY cut - notably lower than the ~70 pip average pricing of a pre-payrolls swing so far in 2023.
  • CHF is the poorest performer so far in G10, trimming the week's risk-driven rally, while AUD and NZD regather after trading poorly since Monday. A lifting of Chinese Barley tariffs on Australian produce has helped the theme, with AUD/USD comfortably off the Thursday lows.
  • The US payrolls release takes precedence going forward, with markets expecting 200k jobs added across July, keeping pace with the June figure. The unemployment rate is expected unchanged at 3.6%, after which attention turns to average hourly earnings. The Canadian jobs report is also due as well as a speech from BoE's Pill, set to be talking to agents from 1215BST/0715ET.
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