{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T17:34:35Z","timestamp":1786728875023,"version":"build-2736575974"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>I document a robust compression of the front-end VIX term structure on U.S. CPI release days during the 2021-2026 inflation cycle. In a daily panel of 1,157 trading days, the (VIX9D-VIX) spread declines by 0.49 vol points on the 30 CPI release days after controlling for day-of-week and FOMC overlap effects, with HAC standard errors yielding t =-1.98 (p = 0.048). The compression is monotonic in maturity: VIX9D drops 0.88 vol points on average, VIX drops 0.20, and VIX3M does not move. A joint specification adds an NFP release-day indicator; the NFP coefficient is statistically indistinguishable from zero (t =-0.51) while the CPI coefficient retains significance. The effect is specific to releases that resolve inflation and policy uncertainty rather than generic to scheduled macroeconomic events. Complementary tests reinforce the conclusion: a two-sample comparison gives t =-2.87 (p = 0.008), a randomization placebo gives empirical p = 0.002, and the result is robust to any single-event deletion (worst leave-one-out p = 0.014).<\/jats:p>","DOI":"10.2139\/ssrn.6756118","type":"posted-content","created":{"date-parts":[[2026,5,13]],"date-time":"2026-05-13T16:59:23Z","timestamp":1778691563000},"source":"Crossref","is-referenced-by-count":0,"title":["Front-End Volatility Term Structure Compression on CPI Release Days: Evidence from 2021-2026"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,8,14]],"date-time":"2026-08-14T16:43:00Z","timestamp":1786725780000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6756118"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6756118","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}