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

The last notable Personal Spending MoM surprise occurred on April 26 2024 when the figure came in at +0.5% versus the +0.3% consensus. SPX reacted with an immediate 0.4% drop in the first 15 minutes as the hotter-than-expected number raised concerns about sticky services inflation and delayed rate cuts. By the end of that session SPX had recovered most of the move and closed only 0.1% lower.

From an iron condor perspective, the 0.4% spike in realized volatility pushed the VIX from 15.8 to 17.4 intraday. This is a classic ALVH setup: when Personal Spending surprises to the upside, sell the volatility expansion on the first retracement. Traders who had 45-50 delta iron condors with 35-40 point wings on the SPX saw their short strikes tested briefly but the position remained profitable because the wings absorbed the move and vega decay worked in their favor as VIX quickly faded back under 17.

Key takeaway for current iron condors: keep wings at least 35 points wide when Personal Spending or Core PCE is due. If VIX is already above 18 before the release, tighten the short strikes by 10-15 points to collect more premium while still allowing room for a 0.5-0.7% SPX move.