Building a pre-print volatility budget
How event-risk sessions turn a known print into a shared set of exposure paths.
A known print — policy decision, earnings week, or domestic release — deserves a budget, not a vibe. We use event-risk sessions to force that budget into the open before the tape arrives.
Three paths, not twenty
Teams drown when scenario packs grow ornamental. Three to five paths usually suffice: a base path that mirrors recent realised, a path where implied expands without a directional break, and a path where spot moves hard enough to stress gamma. Extra colour can wait for the verbal discussion.
Assigning the budget
For each path we ask: how much vega can the book absorb, which tenors already look rich versus prior events, and which existing overlays would fail first. The output is a one-page checklist, not a prediction of the print itself.
After the print
The value of the exercise is often clearest the day after. Comparing what you planned to hold against what you actually held teaches more than any forecast scorecard. We encourage desks to keep the checklist and annotate it once the event settles.