Market Measures

Volatility and The CPI

| Apr 12, 2024
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    Market Measures

    Volatility and The CPI

    Apr 12, 2024

    In a lively discussion, Tony Battista, Victor Jones, and Anton Kulikov delve into the impact of Consumer Price Index (CPI) releases on market volatility, particularly how it affects the VIX and SPY movements before and after the CPI announcements. They explore data covering 15 years, revealing that the VIX's behavior is influenced more by the prevailing market conditions rather than the CPI data itself. The analysis shows that volatility tends to rise before such announcements due to increased hedging, and generally subsides post-release, similar to reactions around earnings reports. Kulikov emphasizes that trading strategies around CPI data should take into account the broader market sentiment, as the inherent volatility leading up to and following CPI releases is significantly shaped by it. The conversation underscored the complexity of inflation's impact on markets and cautioned against oversimplifying trading strategies based solely on CPI announcements.

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