Free Trial

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

US TSYS

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 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

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.