by Tyler Durden
Friday, Apr 02, 2021 - 06:44 AM
The March nonfarm Payroll Report will be released at 8:30 am tomorrow, on Good Friday, when most markets will be shut, and those that are open - like US cash Treasurys, which close at noon - will suffer from thin liquidity conditions, and therefore, potentially choppy price action. As noted earlier, amid expectations of a potentially blockbuster payrolls report where consensus is 660K but whisper numbers are at or above 1 million...
... due to much stronger "
big and/or alternative data" reads (see below), JPM warned that markets should expect extra treasury volatility should the jobs number emerge as a big upside (or downside) surprise due to the lack of liquidity in the bond market. As the bank warned, "our work in the past has shown that Treasury yields are sensitive to payroll surprises and that these moves can be amplified when employment data are released on holiday-shortened trading sessions."