What happened to SPX the last time ECB Press Conference surprised the market?

The last notable ECB Press Conference market surprise occurred on 12 September 2024. ECB cut rates by 25bps but Lagarde’s tone was significantly more dovish than expected, pushing back against further aggressive easing. SPX reacted sharply higher.

Immediately after the 13:45 ET press conference started, SPX was trading near 5,580. Within 45 minutes it rallied over 1.1% to 5,645 as the dovish surprise triggered a risk-on move. The move continued into the close, finishing the day up 1.4% at 5,650. Implied volatility collapsed, with VIX dropping from 17.8 to 15.9 in one session.

For iron condor traders this was a textbook “short volatility” event. The rapid VIX crush rewarded traders who were positioned with 45-55 delta wings and adequate wing width (minimum 80-100 points on SPX). Any condors placed the prior week with the short strikes near 5,550/5,650 put/call would have been largely unscathed while the long wings provided just enough buffer.

Key takeaway using ALVH: when VIX is 17-19 heading into ECB and the press conference delivers a dovish surprise, expect a 1.0-1.5% SPX spike and 2+ point VIX compression. Keep wings at least 90 points wide in these higher VIX regimes to survive the move.