What happened to SPX the last time Michigan Consumer Sentiment Prel surprised the market?

The last significant Michigan Consumer Sentiment Prel surprise occurred on August 9 2024 when the print came in at 66.7 versus an expected 66.0. SPX was trading near 5345 at the time.

Immediately after the release SPX dropped about 35 points in the first 10 minutes as the slightly hotter-than-expected number triggered a modest risk-off move and pushed VIX from 16.8 to 17.4. The move reversed within two hours as traders viewed the miss as minor and already priced in. By the close SPX had recovered most of the loss and finished the day down only 0.2%.

From an iron condor perspective the event produced a quick 0.7% spike that stayed well inside typical 16-delta wings. Traders using the ALVH methodology would have noted the modest VIX expansion stayed below the 18 threshold where we normally tighten wing width. No adjustment was needed on a properly sized condor with at least 45-50 points of wing width on each side.

The market reaction was muted because the surprise was only 1.1% off consensus. Larger surprises above 3% tend to generate 1.0-1.5% SPX moves and require immediate wing-width reevaluation.