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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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- Vol markets have identified NZD, GBP and ZAR as carrying the most sizeable NFP-based vol premium, blowing out break-evens and implied pricing for a post-data swing against the USD.
- An overnight straddle struck yesterday for today’s expiry implied a ~60 pip swing in the pair – suggesting a positive GBP/USD reaction today could test the next area of technical interest: 1.2881 the 76.4% retracement for the Jul 14 – Oct 4 bear leg.
- Overnight vol markets across both G10 and emerging markets saw support yesterday as the contracts captured the Friday expiry – thereby capturing the discrete event risk surrounding the US jobs report.
- Despite this support, however, overall vol remains contained below the levels seen prior to the Feb02 NFP release –suggesting markets may anticipate a more muted response to today's release. We note that today's jobs report should see a return to labour market normality after considerable distortions in the January release.
Figure 1: GBP, ZAR, NZD add most sizeable NFP vol premium
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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