CPI Update
SPX historical CPI premiums, option performance
SPX 1-DTE straddle for the August CPI # priced at ~110 bps. Since March inflation numbers back in focus as traders trying to gauge the number of rate cuts we will get from the FOMC.
Overall reactions continue to be positive for equities, with 1-DTE structures ~ fairly priced throughout the year.
Taking a look an the event premium itself vs the post-event moves:
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