Implied-Move Calendar · Advanced
Free to readMacro on the Calendar — FOMC & CPI
When FOMC and CPI land in the same expiration window, the kink is a compound signal. Reading it tells you what the market is pricing for the macro week in aggregate. Illustrative.
Single-name earnings produce a clean, isolated kink. Macro weeks are messier — FOMC, CPI, PCE, and NFP can cluster inside the same expiration window, and the kink becomes a sum of multiple event contributions. This case study walks through a representative week in which an FOMC decision and a CPI release both fall before the same expiration — illustratively, on a major index ETF. No precise figures are stated; the structure is what to study.
The setup: two events, one expiration
Imagine a week in which CPI is released Tuesday morning and the FOMC decision follows Wednesday afternoon. Both fall before Friday's weekly expiration. The preceding weekly expiration — the one that expired last Friday — carried neither event. Open the Implied-Move Calendar on a broad index ETF and you will see two consecutive weekly expirations with a notable gap between them: the prior Friday's implied move sits on the smooth baseline; the current Friday's implied move is materially higher — a pronounced kink representing the compound event contribution of both CPI and FOMC.
Illustrative. The kinked expiration captures both CPI (Tuesday) and FOMC (Wednesday). Its implied move is substantially above the smooth baseline to the left and the following expiration to the right. The compound kink reflects the sum of both events' priced variance contributions.
Deconstructing the compound kink
When two events fall in the same expiration window, it is not possible to separate their individual contributions purely from the term structure — you cannot see two kinks in one expiration. What the calendar shows is the aggregate premium for that window. To estimate the individual event contributions you would need to reference the marginal move the market has historically priced for each event type on this underlying separately — a lookup the historical-event track supplies when fully connected.
As a practical matter, traders often look at the kinked window's total implied move and ask: given what CPI prints and FOMC decisions have historically done to this index, is that total premium rich or cheap? If both are typically benign events for the underlying and the combined kink is implying a large move, the setup favors selling the kinked expiration's straddle or strangle — collecting rich event premium that the history suggests will not be earned back by the actual moves.
What changes after the events resolve
Thursday morning — after both CPI Tuesday and FOMC Wednesday — the kink collapses. The Friday expiration, which was richly priced, now sits close to or below the smooth baseline. This is the macro-event vol crush, identical in structure to the earnings crush but driven by scheduled macro data rather than company results. The magnitude of the crush depends on how surprising the prints were: if both data points land near consensus, the crush is fast and complete; if one delivers a large surprise, the underlying moves and the remaining expirations re-price higher across the board.
FOMC decisions and CPI prints behave differently in the term structure. CPI is a pure data release — it lands, the number reads, the market reprices. FOMC includes a statement and a press conference that may extend the event premium into the following session. On weeks with a press conference, the post-event vol crush may be slower and the kink may resolve over two days rather than overnight. The calendar labels help you track which event type you are looking at.
This case study is free. To watch a live macro kink build and crush on an index ETF: ETF Analytics. FOMC and CPI feeds are connected; note that not all macro event feeds are wired yet — see the methodology for details. Full history: Everything.
See plans →Educational content from Nations Indexes. This case study is illustrative; no specific ticker, date, or precise figure is stated or implied. VolDex® is a registered mark of Nations Indexes. FOMC and CPI calendar feeds are live at publication; other macro feeds are pending — see the methodology page. Diagrams are schematic. Nothing here is investment advice.