Friday’s 8:30 a.m. ET Employment Situation report has the potential to be the biggest bond-market catalyst since Jackson Hole, yet the options market is pricing a contained move. A look at SPX term structure, fixed strike vol, and dealer gamma ahead of the print.
GLD
Jackson Hole 2026: What the Options Market Expects
SPY forward IV prices Jackson Hole as a non-event, but CTAs are stretched short Treasuries and SPX gamma flips near 7780 — an asymmetric setup into Friday.