Macro & Policy · 3 September 2026

Fed funds futures price a firmer, not looser, twelve-month policy path (43.5bp) even as the VIX…

Name: Fed funds futures price a firmer, not looser, twelve-month policy path (43.5bp) even as the VIX sits in the 4th percentile of its trailing range with dealers short gamma in S&P 500 and Nasdaq 100 options, a divergence the 4 September labor report can only partially resolve, since it tests the options market's near-term calm but cannot on its own validate or invalidate a cumulative twelve-month rates path.
Rating: 1

Fed funds futures price a firmer, not looser, twelve-month policy path (43.5bp) even as the VIX sits in the 4th percentile of its trailing range with dealers short gamma in S&P 500 and Nasdaq 100 options, a divergence the 4 September labor report can only partially resolve, since it tests the options market's near-term calm but cannot on its own validate or invalidate a cumulative twelve-month rates path.

What would prove it wrong: If the VIX closes above 20 in the five sessions after the 4 September Non-Farm Employment Change release, the options market's low-volatility pricing will have failed the one leg the report can actually test.
Stated probability the thesis holds: 62% · 5d horizon
Status: Held · 11 September 2026 · Assessed against market data
How it settled: no VIXCLS close above 20 through 2026-09-11

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A dated research thesis and its assessment. This is not portfolio performance or an investment recommendation.