CPI for July releases tomorrow morning. Slightly elevated premium relative to June release. Banks mainly see reduced risk as ‘speed’ of inflation is much less of a risk now than 2022.
JPM sees in line print continue the rally, with a slightly hot print an excuse to sell into choppy seasonality.
SPX straddles at 70 bps for tomorrow. Fairly in line with average post 2022 CPI release.
Historical SPX Options Performance:
All charts show $ performance based on $200k SPX fixed notional position size
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