NDX Numbers to Prep for CPI Day

Although concerns seem to have dissipated a bit regarding inflation, the market is still paying attention to the CPI releases. The information is still critical to many outlooks, so we have tracked both price reactions and option pricing for the Nasdaq-100 (NDX) on CPI day.

The average CPI day price change for the Nasdaq-100 (NDX) is +/-0.93% which is 10 basis points higher than the average price change on all days over the past twelve months. The smallest reaction came last month with a gain of only 0.17%.

ndx cpi reactions

The release in November last year was the biggest move for NDX on CPI day, but the following two announcements saw the ATM straddle premiums in line with historical pricing.

ndx atm straddle

The biggest NDX trade on last month’s CPI day occurred 30 minutes into the trading day with NDX at 16808. A trader sold 158 NDX Jan 11 16640 Puts for 6.53 and purchased the 16620 Puts for 5.08 each resulting in a credit of 1.45. The payoff on the close appears below.

ndx jan 11

Within an hour of this trade being executed NDX was just below the lower strike. Checking the tape, it appears the trader behind this bullish spread stuck with it through the close. That decision paid off as NDX did a round trip closing just above where it was quoted when the spread was executed.

The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.

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Russell Rhoads, PhD, CFA

Russell Rhoads, Phd, CFA is a highly regarded strategist, educator, and consultant – among other things he is perhaps best known as the author of Trading VIX Derivatives, the textbook in the space.

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