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CPI Tomorrow at 0830 ET

Consumer Price Index will be out tomorrow AM. A couple things to be on the lookout for:

-YoY expectation is 7.2%

-0.4% expected increase

The market is behaving fairly modest moving into the news. Using ATM near term straddle, it looks like roughly a 40-50 point expected move in SPX, around 1%. I was expecting this to be a little higher but with the up move today it looks like an in-line report is expected. You know, until there’s a miss.

Large open interest in SPX 11Feb 4650 and 4700 calls, both over 10K and a significant disparity from the corresponding put, indicating these aren’t straddles from institutions. Closest comparison on the put side is the 4500P with 5700 OI.

We’ll see what it looks like soon enough. Always interesting to see what the options are pricing in.

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