10-year rates increased yesterday by roughly four bps to close at 4.23% following a stronger-than-expected JOLTS report.
The report overlooked healthy, in my view, with the layoffs in October lower and the number of quits moving higher.
One would think that if people quit their jobs, they have found a better one. today, we will get ADP at 8:15 AM ET and ISM services at 10 AM. Of course, who can forget that we will get Jay Powell today at 1:40 PM ET?
Of course, you would never know that Powell was speaking today in a Q&A session with a VIX 1Day at 8.3, but hey, this a market with no worries.
If I had to guess, by the time Powell speaks today, the VIX 1Day will be in the mid-teens, and by the time we get to Thursday’s close, it will be in the low 20s, ahead of the job report. So, this little period of tranquility is probably passing for now.
Of course, with the 10-day realized volatility at 5, all it will take is 31 bps or so in the S&P 500 to move realized volatility higher and a move greater than 75 bps to move the 20-day realized volatility higher.
Volatility is volatility, and so whether the market rises or falls, realized volatility is due to increase. The last time I realized volatility was this low was back in mid-July.
The last time
USD/JPY
was at its current levels and strengthening was at the end of July and beginning of August, ahead of a jobs report.
And maybe implied volatility is due to go higher anyway. 1-month implied volatility for the USD/JPY has undoubtedly been rising, and it trades right along with the IV of the S&P 500. Right now, the two appear to be on separate paths.
So, I would guess that overall volatility is due to a rise from these current levels, and potentially by a lot.
Anyway, I have nothing more to say.
But as my 10-year-old daughter told me on Sunday when boarding the Long Island Rail Road heading into Manhattan: “Mind The Gap, Dad.”
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