What happened to SPX the last time PPI MoM surprised the market?

The last notable PPI MoM surprise to the upside occurred on March 13 2024 when PPI came in at +0.3% versus +0.2% expected. SPX reacted with an immediate 0.6% drop in the first 30 minutes as higher-than-expected producer inflation raised rate-cut concerns. The move was short-lived. SPX recovered fully within two hours and closed the day only -0.1% lower. Implied volatility spiked modestly with VIX jumping from 12.8 to 14.1 before fading back to 13.2 by close. This created a brief 25-30 point expansion in SPX straddle pricing that favored iron condor sellers who stayed patient.

Under the ALVH methodology this was a classic volatility pop-and-drop setup. The 0.6% gap was well inside normal wing width for 45 DTE condors. Traders who kept 45-50 point wings on both sides saw their short strikes remain untouched while the inflated premium decayed rapidly over the next three sessions. Key lesson: PPI surprises cause quick but usually contained SPX moves when VIX is below 15. Wider wings (minimum 45 points on SPX) protect against these headline spikes and allow the condor to benefit from the rapid vol contraction that follows.