While US cash markets are closed for Good Friday today, S&P futures continued their Thursday ramp higher, and after rising above 4,000 for the first time yesterday were last trading at 4,022, up 0.3%, ahead of the March payrolls data (preview here) expected to show the biggest increase in jobs in five months (and potentially much more). While cash bonds are open, most other markets were also closed for Good Friday.

As previewed yesterday, if it is a big outlier, the jobs report will likely roil the bond market as trading volumes will be extreme thin during today’s holiday-shortened session and all trades will be focused in rates as Treasuries will be the only asset open (until noon) while the New York Stock Exchange is closed today.

In previewing the potential for a big move, JPMorgan showed the chart above which shows the average absolute change in 10-year yields over various periods around payrolls releases, normalized by the average size of payrolls surprise, during various types of trading sessions. The data show that in the hours following payrolls releases on Good Friday 12pm early-close sessions, Treasury markets appear to be approximately 2 times more volatile than observed during a normal session, for a given magnitude of surprise, and in 2pm early close sessions, they are roughly 3 times more volatile than that of a full session following releases. Looking ahead, JPM concludes that “these results suggest that Treasury yields could exhibit greater volatility in response to a surprise in the employment report on Friday.”

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