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Macro & Policy · 4 September 2026
Fed funds futures price a firmer twelve-month rate path, 37.5 basis points higher, on an August…
Fed funds futures price a firmer twelve-month rate path, 37.5 basis points higher, on an August payrolls beat of 162,000 against a 55,000 forecast, while the VIX sits at 15.2 (33rd percentile) with large positive S&P 500 dealer gamma showing the options market pricing calm.
- What would prove it wrong
- If the VIX closes above 20 in the five sessions following the 4 September 2026 payrolls release, the options market has repriced its assessment of the labour-driven rate path.
- 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.