What happened to SPX the last time Personal Income MoM surprised the market?

The last notable Personal Income MoM surprise occurred on August 30 2024 when the print came in at +0.4% versus the expected +0.3%. SPX was trading near 5670 in the morning and sold off roughly 35 points into the close, finishing the day down 0.55%.

That move triggered a modest widening in the VIX from 15.8 to 17.1. For iron condor traders following the ALVH methodology this created a short-term volatility spike that expanded wing values by about 8-10%. The 30-delta short strikes on both sides moved approximately 0.40-0.55 wider in premium during the first 90 minutes after the release.

Wing-width management rule under ALVH called for no adjustment if you were using 45-55 point wings because the underlying stayed well inside the short strikes. Traders who had sold the 40-point wings saw their position briefly test 18% of max loss before recovering by end of week.

In the three previous Personal Income surprises over the last 18 months the average SPX reaction was 0.45% with the VIX rising 1.1 points on the day of the release. Keep the event on your calendar and tighten wing width to 35-40 points when Personal Income is scheduled during elevated VIX regimes above 18.