What happened to SPX the last time Non Farm Payrolls surprised the market?

The last major Non-Farm Payrolls surprise to the upside occurred on July 5 2024 when the report printed 206k versus 190k expected. SPX immediately sold off 35 points in the first 30 minutes as rates spiked and the VIX jumped from 12.4 to 13.8.

That move was completely erased within two trading days. The iron condor I had on at the time (45/55 delta short strangle with 200-point wings) was never threatened. IV crush after the initial spike allowed the position to be closed at 38% of maximum profit by the following Wednesday.

Historically when NFP surprises in either direction the SPX tends to give a sharp 0.6-1.1% knee-jerk reaction in the first hour then reverses as the market reprices the Fed path. VIX spikes average 1.8 points on surprise prints but collapse quickly unless the surprise is accompanied by a large revision to prior months.

For iron condor traders the key is keeping short strikes outside 35-40 delta and maintaining at least 180-200 points of wing width on SPX. This distance has been sufficient to absorb every post-NFP reaction in the last 24 months while still collecting 0.85-1.15 credit.