Options Traders Are Pricing In "A Giant Move" Tomorrow After CPI

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by Tyler Durden
Wednesday, Jan 11, 2023 - 06:45 PM

Nomura's Charlie McElligott began this morning's note by warning investors that tomorrow's CPI print "is a bigger deal than the market is already giving it credit for."

Specifically, he notes that while straddle pricing is for around a ~2.0% SPX move, we've continued to "over-realize vs implieds" consistently on CPI prints, which is why owning Gamma for this day has been the right trade for most of the past 9 months...