July FOMC meeting tomorrow afternoon likely to see rates hold unchanged according to market pricing. Dec pricing has moved slightly towards two rate hikes with no odds of a rate cut happening.
June CPI has eased some inflation concerns but with Iran war seemingly back on and energy price volatility staying high, unlikely to see any confident statements that inflation is under control.
~76 bps SPX straddle for tomorrow. Highest premium since last June (not counting March meeting as latent vol was already quite high.)
Updated 1-DTE & Intraday SPX Straddle performance:
1-DTE
Overnight Straddles
US cash session straddles
1:59pm - Close (Decision Release)
Last Hour (Press conference impact)
Last hour SPX put cost %:
Slight jump in premium for last hour as Warsh took his first press conference. Remarkably last hour calls have not made money for 18 straight meetings and we haven’t seen any sizable moves higher in SPX since ~2022.
Intraday Straddle Cost - Hourly
‘Last minute’ uptick in vols has largely dissipated fromt he 2021-2022 (and briefly 2025), instead seeing vol get sold going into the meeting.
Post-FOMC Trend (Updated to Jun 2026)
Looking at the Variance Ratio (daily volatility relative to intraday 5 min volatility), still not seeing any meaningful ‘trend’ going into or out of FOMC as days from -2 to +2 remain under 1.
Have a great day!
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