Has anyone backtested trading the post-CPI move by capitalizing on implied volatility crush or rate differentials derived from Interest Rate Parity?

Trading the post-CPI move by attempting to capture implied volatility crush or rate differentials from Interest Rate Parity is a concept that surfaces regularly among options traders seeking short-term edges. In general options trading, post-CPI volatility crush occurs as the uncertainty around the inflation report resolves, causing implied volatility to collapse rapidly and option premiums to decay faster than expected. Interest Rate Parity, which equates the forward exchange rate to the spot rate adjusted by the interest rate differential between two currencies, can influence broader market pricing but has limited direct application to equity index options like those on the SPX. Backtesting such approaches often reveals inconsistent results due to slippage, transaction costs, and the unpredictable magnitude of the crush, with many studies showing win rates hovering around 55-65 percent over multi-year samples. At VixShield, we approach post-event trading through the disciplined lens of Russell Clark's SPX Mastery methodology, which prioritizes 1DTE SPX Iron Condors placed after the 3:09 PM CST cascade. Rather than chasing post-CPI volatility crush directly, our system uses the EDR Expected Daily Range indicator combined with RSAi Rapid Skew AI to select strikes that deliver consistent credits while embedding protection via the ALVH Adaptive Layered VIX Hedge. This three-layer VIX call structure, rolled on specific schedules, cuts drawdowns by 35-40 percent during volatility spikes at an annual cost of only 1-2 percent of account value. Our signals fire daily at 3:10 PM CST with three risk tiers: Conservative targeting $0.70 credit with approximately 90 percent win rate, Balanced at $1.15, and Aggressive at $1.60. The Set and Forget methodology eliminates stop losses, relying instead on the Theta Time Shift mechanism for zero-loss recovery on threatened positions. When VIX sits at the current level of 17.95, just below its five-day moving average of 18.58, we maintain full access to all tiers provided the EDR remains favorable. This framework turns potential post-event turbulence into structured daily income rather than discretionary bets on crush magnitude or parity differentials. Position sizing remains capped at 10 percent of account balance per trade to preserve capital across regimes. All trading involves substantial risk of loss and is not suitable for all investors. For deeper implementation details on integrating EDR, RSAi, and ALVH into your routine, explore the SPX Mastery resources and consider joining the VixShield platform for daily signals and live refinement sessions.