What happened to SPX the last time GDP MoM surprised the market?

The last notable GDP MoM surprise occurred on 27 February 2025 when Advance Q4 GDP came in at 2.3% versus the expected 2.0%. SPX was trading near 5,870 that morning.

Immediately after the 8:30am release SPX sold off 0.6% in the first 15 minutes as the hotter-than-expected number raised rate-cut doubts. By 10am the initial reaction had largely reversed and SPX closed the day up 0.2%. Implied volatility dropped, VIX fell from 14.8 to 13.9 by the close.

This is typical post-GDP behavior under the ALVH framework: the first 30-60 minutes show the knee-jerk reaction driven by headline delta, then mean reversion kicks in unless the surprise is extremely large. For iron condor traders this created an excellent short-vol environment the following 3-5 days as VIX continued to grind lower while SPX stayed in a 1.2% range.

Wing-width note: the 30-point wings placed 45 DTE collected the full credit within 8 days on that move. Keep 45-55 DTE and 1.5-2.0% wide wings on GDP days to absorb the initial volatility spike without adjustment.