Week ahead for futures traders: PCE Wednesday, payrolls seen at 84,000 Friday, 10-year at 5.17%

Futures reopen Sunday evening into the heaviest data week since the Fed's September hike. The August PCE inflation index lands Wednesday, the same day the third quarter ends, and the September jobs report follows on Friday, Oct. 2. Our calendar feed shows a payroll consensus of 84,000, down from 162,000 in August, with unemployment expected to hold at 4.1%. The effective fed funds rate is 3.88%.

Where the contracts settled

The split inside equities is the thing to carry into Monday. The Nasdaq 100 gained 3.25% on the week while the Russell 2000 lost 0.80%, a gap of about four percentage points in five sessions. Small caps are usually more sensitive to borrowing costs, and last week the market treated higher yields as a cost for them and a sideshow for the megacaps.

The number behind the S&P premium

December E-minis settled about 60 points above the cash S&P 500. That gap is mostly the cost of money. The contract expires on Friday, Dec. 18, 84 days after Friday's close. Financing 7,743 points of stock at a 3.88% rate for 84 days works out to roughly 70 points (7,743 x 3.88% x 84/360). Dividends the futures holder does not collect bring it down to the roughly 60 seen on the screen. The practical point: if the Fed hikes again in October, that carry widens, and a trader rolling or spreading against cash should expect the fair-value premium to move with the funds rate, not just with the index.

The calendar (all times ET)

Earnings with futures relevance: Carnival on Tuesday, Micron on Wednesday (a direct read on the AI memory trade inside the Nasdaq 100), and Nike and McCormick on Thursday, per CNBC's calendar.

What could move each market

• Treasury futures: last week's rise was led by the long end. On Treasury data, the 10-year went from 5.01% to 5.17% and the 30-year from 5.34% to 5.49%, while the 2-year rose only from 4.76% to 4.81%. A soft payroll number would test whether that steepening continues or reverses.
• Equity index futures: the Nasdaq-Russell gap is the trade to watch. Hot PCE or wages would add pressure on the rate-sensitive small caps first.
• Crude: November WTI settled at $92.41 on Friday. Headlines on the Strait of Hormuz, not the U.S. data, have been the swing factor; see our crude chart.
• Rates for borrowers: Freddie Mac's 30-year mortgage average was 7.03% in the week to Sept. 24, and it follows the 10-year, not the Fed.

For the full rates and data picture, see Friday's jobs report preview, our economic calendar and the live futures page. Crypto was quiet over the weekend: Bitcoin was near $84,590 on Coinbase Sunday afternoon, up about 0.5% on the day.

Sources: U.S. Department of the Treasury; Yahoo Finance settlement and index data; CNBC; Freddie Mac; Coinbase; Chronicle economic calendar. Fair-value arithmetic is illustrative and uses the effective fed funds rate. This is market information, not trading advice.