Markets seeing few days of weakness going into FOMC, down ~1% from recent high tick. No rate cut priced in for tomorrow, with ~60% chance of a rate cut in September meeting.
Overall implied vol dropped heavily in July, reflected in one of the cheapest FOMC straddles since 2020 at ~ 55bps.
Updated 1-DTE & Intraday SPX Straddle performance:
Note: All charts represent $200k notional bet size (ex. ~3 XSP at 6000 SPX)
1-DTE
Overnight Straddles
One of the strongest drifts out of all the econ data events, overwhelmingly positive drift higher into the meeting.
RTH Straddles
1:59pm
Last Hour
Not as terrible performance during last hour of the conference last few meetings.
Last hour SPX put cost %:
Intraday Straddle Cost - Hourly
Have a great day!