Makes sense considering we’re having another #SPX ⇡/#VIX ⇡ day so far.
But IV spiking into CPI has been pretty par for the course lately.
Let’s see how we might use this dynamic to our advantage ☟
As mentioned, looking back at previous US CPI prints, you can see implied vols tend to spike into the event.
Just like they did last week and continuing today…
But then they collapse a quick 3-4 vol points after the event (see chart below).
If we get an inline print tomorrow (or even slightly hot since it’s becoming anticipated), we see #VIX very likely to follow a similar path to previous months.
To action this, we’d use the 1-week VIX expiry instead of the 1-day.
As to give the market a bit more time to crush vol.
Plus, even without this #CPI event, the rolldown of the $VIX curve generally kicks in around monthly expiry (see chart below)…
Which is this Wednesday – the day after CPI.
To get the specifics on this $VIX trade idea, you can grab a free one-month trial of Options Insight right now via the link in my Twitter bio.
Just use the code RV2023 at checkout!
If you have any questions or thoughts about the above, let me know in the replies!
Or you can come talk directly to me and the OI community on our weekly Options Insight Live on Twitter Spaces.
This Thursday, 11am ET – 12pm ET (link coming later)