The S&P 500 ($SPX) and related indices are experiencing heightened volatility as the market anticipates the upcoming Non-Farm Payroll (NFP) report. The implied volatility on options for the S&P 500 has surged, with a 1.1% move in either direction expected. Options expiring tomorrow have seen their implied volatility rise from 13 vol at the end of last week to 27 vol. The VIX, a measure of market volatility, has reached its highest level since August 7, standing at 22. Similar volatility is observed in ETFs tracking the Russell 2000 ($IWM) and Nasdaq 100 ($QQQ), with implied moves of 1.84% and 1.37%, respectively. Traders are increasingly hedging against potential market swings, with the put skew on the S&P 500 reaching new highs for 2024. This sentiment is echoed by Morgan Stanley traders, who expect significant market movements in response to the payroll data. The 30-day historical volatility (HV) for the S&P 500 is at levels last seen in December 2022, a period when the index rallied around 10%.