The stock market started the day higher, but by the end of the day, it had given back most of its gains, with theThe VIX one-day, typically closer to 20 the day before a jobs report, managed to creep up to 11.16 today—a three-point gain. I would have expected a much bigger move in the VIX one day ahead of a major jobs report like this. Historically, as I’ve written and discussed, it’s been closer to 20 since around the August report.
We’re getting closer to a point where implied volatility could expand significantly. You can already see this reflected in the VIX, the VVIX, and realized volatility. Today, 5- and 10-day realized volatility rose slightly, with the 10-day closing at 5.6, up from a recent low of 4.7. Implied correlations are also at the low end of the range. The one-month implied correlation index dropped another 54 basis points to 10.25, close to the historic low of 10. It could go lower, as it did in July 2024 when it hit 2 or 3, but 10 is generally considered the lower bound.
As for tomorrow’s jobs report, it’s becoming critical due to its unpredictability. Analysts expect 220,000 new jobs, an unchanged unemployment rate of 4.1%, a decline in wage growth to 0.3% from 0.4% month-over-month, and a year-over-year rate of 3.9%, down from 4%.
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