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J.P.Morgan Dig Into Potential For Vol. Surrounding Friday's NFP Print


Ahead of Friday's NFP release J.P.Morgan note that data shows "that in the hours following payrolls releases on Good Friday 12pm early-close sessions, Treasury markets appear to be approximately 2 times more volatile than observed during a normal session, for a given magnitude of surprise." The "surprise" refers to the surprise provided in the headline NFP print, with the data monitoring the average absolute change in 10-Year yields over various periods around payrolls releases, normalised by the average size of payrolls surprise.

MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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