What happened to SPX the last time Spain April preliminary CPI +3.2% vs +3.4% y/y expected surprised the market?

On the last comparable Spanish CPI surprise to the downside (preliminary reading softer than expected), SPX traded in a very tight 0.4% range that day and closed essentially unchanged. VIX opened around 13.8, spiked briefly to 14.4 on the print, then faded back to 13.5 by the close. This created a low-volatility environment that favored iron condors, especially those sold with 45-55 delta short strikes and at least 80-point wings.

Using ALVH, the setup showed average true range compression after the initial reaction, with VIX staying below 14.2 for the next three sessions. Wing-width management was straightforward: keep short strikes outside the 1.5x ATR zone and avoid adjusting unless SPX breached the 0.15 delta on the short put or call. The condor collected 82% of maximum profit by expiration as the soft CPI reinforced the soft-landing narrative without triggering any meaningful follow-through move.

Key takeaway for today: when European CPI comes in even 0.2 softer than consensus, expect muted SPX reaction and rapid VIX mean reversion. Position size normally, keep wings wide (minimum 70-80 points on SPX), and let theta work without early adjustments unless VIX pushes above 16.