As the world and his pet rabbit await this morning's government-supplied labor market indications, Nomura's Charlie McElligott highlights the fact that two separate "Vol Shocks" in a one-month timespan - with the potential implications on the ability for Discretionary Traders to re-deploy risk 'Longs' and / or fade this Vol rally move (especially in the Leveraged / Pod space) - have likely meaningfully impaired (tightened) risk-limits / risk-budgets.
However, the Nomura strategist notes that an “inline” set of Jobs data prints today (~150k-ish, U-Rate 4.2%) - let alone better-than-expected numbers, Lord forbid (i.e. Payrolls ~200k +) - will see STIRS / USTs likely TORCHED at least on the initial knee-jerk touch - as all that Upside melts and loses Delta fast and Dealers puke hedges... and also likely see Equities rally on "Goldilocks", as despite Fed-cuts then getting priced lower / further out, remaining near 'full employment' means the US Consumer story remains intact in keeping the whole thing together, and yet-again crunch the "preemptive Recession" crowd for like the sixth time in a year and a half.
