July 05, 2024 10:33 GMT
J.P.Morgan Warn That NFPs Around July 4 Can Double The Vol. In Yields
US TSYS
Ahead of today’s NFP release J.P.Morgan warn that Tsy yield reaction to NFP surprises during the July 4 week are around 90% larger than what is seen on a typical NFP Friday (based on historical data, assessing fixed magnitudes of surprise)
- This can be best explained by liquidity impairment as many Americans take an elongated weekend, even as the Friday that follows July 4 is a full trading session.
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