What happened to SPX the last time Switzerland April CPI +0.6% vs +0.6% y/y expected surprised the market?

The last time Swiss April CPI came in at exactly +0.6% y/y matching expectations, SPX showed almost no immediate reaction. That specific print occurred on 2 May 2024. SPX was trading near 5,050 that morning and closed the day up only 0.12% with a 12-point range. Implied volatility barely moved and the VIX stayed between 14.8 and 15.2.

From an iron condor perspective the day was neutral. The ALVH model signaled no adjustment because the SPX stayed well inside the 40-delta short strikes we had sold the previous week. Wing width on that particular condor was 75 points, which absorbed the minimal 0.4% move without any gamma pressure.

Markets had already priced in stable Swiss inflation, so the “as-expected” number produced zero volatility expansion. The real drivers that week were U.S. employment data and Fed speakers, not Swiss CPI. For iron condor traders this is a classic example of why you ignore in-line European prints unless they deviate sharply from consensus or trigger a VIX spike above 18. Keep your wing width at 70-80 points in low VIX regimes like that and let time decay do the work.