JPMorgan ChaseStrategists believe that the US interest rate market is more dangerous than usual on the day of the June non-farm payrolls report, because the market will be closed early because of the upcoming July 4 holiday.
Strategists said in the report that yield volatility "may be magnified" when the non-farm payrolls report is released on days when trading hours are shortened by holidays. They found that on such days, within 60 minutes of 8:30 New York time, Treasury volatility was 1.5 to double what it was when the jobs report was released on a normal trading day. However, by the end of the trading day, "ultra-large volatility" will also fade to a large extent.
The June jobs report is scheduled for 8:30 on Friday, and (Sifma), the American securities industry and financial markets association, recommends that U.S. fixed-income trading close at 2 p.m., with the market closed for the whole day next Monday.
JPMorgan strategists say the relatively low participation in high-frequency trading accounts may be one of the reasons for this. They found that, as measured by the sum of the top three buying and selling orders on the BrokerTec platform, the depth of the US Treasury market was 15 to 20 per cent lower than on the day of the normal employment report.