What happened to SPX the last time Retail Sales MoM surprised the market?

The last notable Retail Sales MoM surprise occurred on 15 May 2024 when actual +0.4% crushed the expected +0.2%. SPX reacted with an immediate 0.6% gap higher on the open and continued climbing to close up 1.1% that day.

From an iron condor perspective the move was contained within a normal 1-standard-deviation range. The SPX traded roughly 45 points from the open to the high, well inside typical 50-60 point wings used on 45 DTE condors at that time.

VIX was trading at 14.8 prior to the print and dropped to 13.9 by close, compressing volatility and helping short-premium positions. Under ALVH methodology this would have been classified as a low-volatility surprise that favored the iron condor: the wings stayed untouched and the position captured nearly the entire credit as theta decay accelerated on the lower VIX.

Similar mild surprises in the prior 12 months (August and November 2023) also produced sub-1% SPX moves and produced positive outcomes for 45-50 point wing condors placed 5-7 points OTM on both sides. Keep wings at least 1.2x the expected daily move when Retail Sales is on the calendar and you will usually remain outside the noise.