What happened to SPX the last time What are the analyst calls ahead of the US non-farm payrolls later today? surprised the market?

The last time SPX surprised the market to the downside ahead of NFP was the October 4 2024 print when consensus expected 145k but the actual came in at 12k. SPX dropped 1.4 percent that day as the weak number triggered a rapid repricing of rate-cut expectations and sent VIX from 19.8 to 23.1 in one session.

For todays NFP the street consensus sits at 140k with the range of analyst calls between 105k and 175k. Large banks are split: Goldman and JPM expect a soft 110-120k print that would support further Fed easing while BofA and Morgan Stanley forecast 155-160k and see limited downside risk to the employment picture. The key focus for iron condor traders is the 0.8 percent implied move priced into SPX options which sets natural wings at roughly 5770 and 5920.

With VIX at 21.4 we remain in the ALVH sweet spot for short premium. Keep your iron condor wings at least 1.8-2.0 times the expected move 80-90 points wide on each side to maintain positive theta while staying outside the highest probability gamma risk zone. Adjust size down 25 percent from normal if you are already short premium from last week.