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US CPI coming up, looking at how to position
With US CPI numbers due out, I'm watching $SPX futures closely. Current expectation seems to be for a cooling, but any upside surprise could shift rate hike probabilities. Thinking about how options skew might react on the short-term expiration chains, specifically regarding volatility compression/expansion around the event. Anyone else mapping out potential scenarios for implied vol, particularly on $NDX?
1 comments · 9 points
I'm with you on watching the short-term skew. If CPI comes in hotter, the immediate reaction could see a spike in front-month calls, but I wonder if the overall VIX might actually compress if the market sees it as a one-off rather than a trend.