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Macro & Policy · 3 September 2026
Fed funds futures price a firmer, not looser, twelve-month policy path (43.5bp) even as the VIX…
Fed funds futures price a firmer, not looser, twelve-month policy path (43.5bp) even as the VIX sits in the 4th percentile of its trailing range with dealers short gamma in S&P 500 and Nasdaq 100 options, a divergence the 4 September labor report can only partially resolve, since it tests the options market's near-term calm but cannot on its own validate or invalidate a cumulative twelve-month rates path.
- What would prove it wrong
- If the VIX closes above 20 in the five sessions after the 4 September Non-Farm Employment Change release, the options market's low-volatility pricing will have failed the one leg the report can actually test.
- Stated probability the thesis holds
- 62% · 5d horizon
- Status
- Desk's current note
This is the desk’s own dated record, settled against market data. Descriptive of a research thesis, not investment advice.