Previous CPI Update:
Another new low for the CPI straddle, trading at ~46bps, nearly matching Aug 2021 and almost down to the pre-Covid lows.
Long CPI day straddles now down ~54pts for 2024, peaking at +31pts by July and flushing ~85pts starting with the Aug CPI through Nov.
SPX reactions have been muted last 2 meetings, with the main reaction coming in the RTH session.
RTH session straddles on CPI day:
RTH straddles down ~82pts, puts down ~90pts with calls slightly up ~8pts thanks to large move higher in Sep.