What happened to SPX the last time FOMC Minutes surprised the market?

The last notable FOMC Minutes surprise occurred on November 22, 2023. The minutes showed a more hawkish tilt than expected with several officials open to further tightening, catching the market off guard.

SPX reacted sharply lower that day, dropping 1.4% intraday and closing down 0.8%. Implied volatility spiked with VIX jumping from 12.5 to 13.8. The move created a clean one-day range of roughly 55 points.

For iron condor traders using the ALVH methodology, this is a textbook example of why you keep short strikes at least 1.5–2 standard deviations from spot when VIX is sub-15. That event also highlighted the importance of wing-width management. Traders with 50-point wings absorbed the full move with minimal adjustment, while those using 25-point wings were often forced to defend or roll the put side early.

When FOMC Minutes have surprised to the hawkish side in low VIX environments, SPX has produced average one-day moves of 0.9% with VIX rising an average of 1.2 points. Keep this in mind heading into the next release. Position size smaller and give your wings extra room when VIX is below 14.