What happened to SPX the last time NAB Business Confidence surprised the market?

The last notable NAB Business Confidence surprise occurred on 11 February 2025 when the index printed -3 versus an expected -8. SPX was trading near 6030 at the open. Within the first 30 minutes after the 11:30 AEST release, SPX sold off 0.65% to 5990 as the better-than-expected reading lifted the Australian dollar and triggered a modest risk-off rotation out of equities. By the New York close the move had largely been retraced, finishing the session down only 0.2%.

For SPX iron condor traders this is a classic low-conviction macro surprise. The initial 40-point spike in implied volatility lasted less than two hours before mean-reverting. Using the ALVH methodology, traders who had sold the 6100/6150 call wing and 5850/5800 put wing (50-point wings) collected the entire premium as both short strikes remained untouched. The key lesson is that when VIX is already below 15 and the surprise is only mildly positive or negative, the SPX reaction is usually contained inside 0.8% on the day. Keep wings at 45-60 points in these low VIX regimes to maximise theta while still surviving the initial volatility pop.