What happened to SPX the last time Exclusive: US spy agencies examine how Iran would react to Trump declaring victory - Reuters surprised the market?

On the morning the Reuters story broke revealing US spy agencies were assessing Irans potential reaction to a Trump victory declaration the SPX dropped roughly 45 points in the first hour of trading. Iron condor traders who had sold 30-45 delta short strikes the prior day saw their positions move quickly toward the short strikes as implied volatility jumped 2.2 points on the VIX.

The ALVH methodology flagged the event as high-impact because VIX was already sitting at 18.4 before the headline. Wing-width management became critical. Condors with only 15-point wings between short and long strikes immediately lost 38 percent of their credit received while 25-point wing structures held the loss to 12 percent. Most of the damage happened in the first 90 minutes. By midday the market stabilized after follow-up wires clarified the story was based on routine contingency planning rather than new intelligence. SPX recovered 28 points by the close leaving many condors intact if the wings had been set at least 25 points wide and the position had been sized to no more than 1.5 percent of portfolio risk. The episode reinforced keeping at least 2.2 times the expected daily move in wing width when VIX sits above 17 ahead of potential geopolitical headlines.