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J.P.Morgan Look At Nature Of Moves During Previous Good Friday NFP Sessions

US TSYS

J.P.Morgan note that “in the 2 hours following payrolls releases on Good Friday 12pm early-close sessions, Treasury yields appear to be approximately 20-50% more volatile than observed during a normal session, for a given magnitude of surprise, though the absolute value of changes are similar over the course of a full session. Looking ahead, these results suggest that Treasury yields could exhibit greater volatility in response to a surprise in the employment report with tomorrow’s unusual early close, particularly given that liquidity conditions remain severely depressed.”

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

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