Previous CPI Update:
SPX 1-DTE Straddle for CPI trading ~65bps, well below the Jan release. That is roughly in line with 2023-2024 average.
JPM still sees rally on soft print despite the stagflation narrative.
SPX overnight straddles (Fixed $200k notional position size):
Dec & Jan overnight straddles net winners on lower inflation prints.
Post CPI release RTH session straddles net losers throughout 2023-2024.
Full day 1-DTE SPX Straddles PnL:
2023-2024 puts down ~320pts total, calls up ~110pts.