What happened to SPX the last time RBA Interest Rate Decision surprised the market?

The last notable RBA Interest Rate Decision that surprised the market occurred on 6 February 2024. The RBA held rates steady at 4.35% when many expected a possible dovish tilt or commentary hinting at a cut. The hawkish surprise triggered immediate risk-off flows.

SPX reaction that day: SPX opened around 4950, dropped sharply on the news, and closed down 1.37% at 4942. The move was driven by a quick 0.8% drop within 90 minutes of the announcement as global yields rose and the AUD strengthened. Implied volatility spiked, with VIX jumping from 12.8 to 14.6 intraday.

For iron condor traders using the ALVH methodology, this event highlighted the importance of keeping short strikes at least 1.5–2 standard deviations from spot when central bank risk is on the calendar. Wing-width management was critical: traders who kept their put and call wings 80–100 points wide on SPX were able to hold through the move with minimal adjustment, while narrower 50-point wings required early defense or closure.

Key takeaway: When RBA surprises to the hawkish side, SPX tends to sell off 1–1.5% in the first two hours. Monitor VIX levels closely. If VIX is already above 15 before the announcement, tighten wing width and reduce size to protect the condor.