CPI vs. PPI: NDX and NDX Option Data to Know Ahead of This Week’s Inflation Reports
The Fed recently indicated that inflation is in focus, and future unexpected rate hikes may be required if inflationary pressures resurface. This week we get CPI on Wednesday (8/12) and PPI on Thursday (8/13). We like to treat major economic numbers as earnings announcements for the overall equity markets and especially the Nasdaq-100 (NDX) which is typically more sensitive to economic numbers than other major market indices. We start with CPI and he table below is a summary of NDX and NDX option price action over the last twelve CPI reports.
Source: Bloomberg and author calculations
CPI Data
The average price move for NDX on CPI Day has been over 20 basis points lower than the average move on all trading days. Some muted reactions to the CPI report result in a cumulative overpricing of NDX 1-Day at-the-money (ATM) straddles by 529 point over all reports. Despite the strong result, straddle sellers only profited seven of twelve times for a 58.33%-win rate. Finally, note the last report’s move was much higher than the average with a gain of 1.10%. The next chart breaks down the last twelve NDX 1-day price changes on CPI Day.
Source: Bloomberg and author calculations
Note the dates are not equally chronological as a government shutdown in late 2025 delayed some data releases. Recall the average move is +/-0.66%, but the last three reports have resulted in price changes greater than that average. The last two price changes were over 1%, the first change that high since October 2025. A final look at recent NDX history on CPI Day compares ATM 1-Day straddle pricing the day before and at settlement.
Source: Bloomberg and author calculations
Note last month that, despite the 1.10% gain in NDX, straddle sellers made a small profit. The elevated pricing of the straddler reflected the outlier move in reaction on the previous CPI Day. We would expect the straddle to be priced for a higher-than-average move due to larger moves for the most recent report days.
PPI Data
PPI is scheduled to come out Thursday before the market opens. There is a distinct contrast between how NDX has behaved on recent CPI and PPI release dates. The average move for NDX over the most recent twelve PPI reports is +/-0.94%, much higher than +/-0.66% for CPI reports. This figures is also higher than the average move of +/-0.89% for NDX over all trading days during the same time period.
Source: Bloomberg and author calculations
Another contrast to recent CPI price action is the relatively tame drop of 0.28% for last month’s PPI report. Recall a consistent seller of NDX ATM straddles would realize over 500 points of profits on CPI Day; the opposite is true for PPI Day with a consistent straddle seller losing almost 380 points.
Source: Bloomberg and author calculations
The contrast between more recent and PPI Days and those further in the rear-view mirror is startling on the chart above. The four most distant reports all resulted in price changes of less than 60 basis points while five of the more recent reports experienced price changes greater than 1.00%. A final look at NDX price action compares ATM straddles the day of settlement on the last twelve PPI Days to their price the day before.
Source: Bloomberg and author calculations
The straddle results mirror what is displayed on the price change chart. Straddle sellers felt some pain for all but a couple of the most recent PPI Days, while straddle sellers were much happier with results in 2025. One specific loss stands out just two reports ago with the straddle price elevated, but not enough to cover the 3.29% NDX rally that day.
This week’s CPI and PPI reports offer NDX option traders two distinctly different historical volatility profiles. CPI releases have generally produced smaller-than-normal NDX moves and favorable results for 1-Day ATM straddle sellers, although the larger market reactions following the three most recent reports suggest that this pattern may be shifting.