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Macro & Policy · 31 August 2026
Fed funds futures price a firmer, not looser, policy path over the next year even as the VIX sits…
Fed funds futures price a firmer, not looser, policy path over the next year even as the VIX sits near its lowest levels of its recent range, leaving dealer short gamma in S&P 500 and Nasdaq 100 options positioned to amplify whatever the 4 September labor data delivers.
- What would prove it wrong
- If the 4 September Non-Farm Employment Change prints at or below negative 23,000, the priced-higher Fed path should compress and the VIX's low-percentile signal will have been wrong.
- Stated probability the thesis holds
- 62% · 6d 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.