Goldman Sachs: Not Much Event Risk Priced For Jackson Hole

{US} US TSYS: Goldman Sachs: Not much event risk priced for Jackson Hole.

Goldman Sachs note that "interest rate options markets do not appear to be pricing particularly elevated risk around the upcoming Jackson Hole symposium. We agree with this assessment - given that the July FOMC minutes has already likely moved the markets' baseline to a November taper, and committee appears reluctant to make compositional changes to monthly purchases, we think the scope for Chair Powell to deliver a surprise on the taper front is probably limited."

• "In our view, the events to watch in the coming month are the jobs report and the September FOMC meeting. On the former, signs of a still strong labor market recovery are likely to provide a catalyst that pushes yields higher from currently rich levels toward equilibrium. The report will be released ahead of the Labor Day weekend in the US, which typically is a period of low liquidity - data surprises could therefore translate to larger than usual moves. On the latter, in addition to containing an explicit signal for a November taper announcement, the September meeting will also contain 2024 "dots," which our economists think could show up to 100bp of hikes - significantly more than current market pricing."
• "As a result, there is greater scope for a larger market reaction around those events, though we would note that markets typically tend to be less reactive to discrepancies with the dot plot far into the future."