According to BlockBeats, on September 6, Morgan Stanley’s sales trading department said that the accumulation of positions and high uncertainty about the Federal Reserve’s interest rate decision may cause huge market fluctuations due to employment data.
“Equity options are implying that Friday’s jobs report will spark a major market move,” wrote Morgan Stanley sales and trading experts including Amanda Levenberg Goldsmith. Such pricing makes sense, they added, because “the uncertainty surrounding how much the Fed will do in two weeks is unprecedented, at least in this cycle.”
The implied volatility of the S&P 500 index remains lower than the realized volatility, suggesting that the stock market is increasingly sensitive to macroeconomic data. Morgan Stanley’s sales trading department pointed out that options imply that the S&P 500 index will fluctuate 1.1% in either direction on Friday, while ETFs tracking the Russell 2000 index and the Nasdaq 100 index imply fluctuations of 1.84% and 1.37% respectively. (Jinshi)
