What happened to SPX the last time The USD is higher ahead of the data dump and FOMC rate decision surprised the market?

On the last comparable setup where the USD strengthened notably ahead of a major data dump and an FOMC rate decision that surprised the market to the downside in late 2022, SPX sold off sharply the following two sessions. The index dropped roughly 3.8 percent in the first three trading days after the surprise cut expectations were repriced.

For an iron condor trader this translated into a full breach of the short put wing on the 45 DTE position that was on. VIX spiked from 19 to 27 in 48 hours, blowing through the typical ALVH threshold of 22 where we normally tighten or exit the put side. Wing width at that time was 50 points on the put side; the move exceeded that width by 18 points, forcing an early close at a 2.1x multiple of credit received.

Key takeaway for current positioning: when USD is bid into the event and ALVH signals elevated vol-of-vol, keep put wings at least 80-100 points wide on SPX and be ready to defend or exit the moment VIX clears 23. Historical precedent shows the post-surprise downside expansion is fast and does not give much recovery time inside the first week.