Sep 10, 07:18 PM

Options Market Braces for CPI with High Volatility, $SPX Implies 1.2% Swing

The options market is anticipating significant movements ahead of the upcoming Consumer Price Index (CPI) release. The $SPX options are pricing in a 1% move for CPI day, while the $VIX is indicating a 1.2% swing. The implied volatility (IV) for the week remains high, with near-term IV at 22 and next week's IV at 20. Additionally, the $NDX options are pricing in a +/-1.4% move based on the at-the-money straddle, compared to an average CPI move of +/-1.08% over the last 12 observations. The highest implied $SPX move going into a CPI print this year is noted, with arguably the best comps for the dataset for the year so far. Market participants are also considering the Federal Open Market Committee (FOMC) decision next week and seasonal factors affecting volatility. Furthermore, the options market initially implied a 1.60% move for Friday, with consumer sentiment data also expected.

#Consumer Price Index #Federal Open Market Committee #FOMC

Written with ChatGPT (GPT-4o).

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Options Market Braces for CPI with High Volatility, $SPX Implies 1.2% Swing

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