Will CPI rise more than -0.1% in August 2026

The yield curve exhibits a distinctly inverted and non-monotonic structure, with the steepest repricing occurring between the 34-day and 67-day tenors. At the shortest tenor (34d), the curve shows high volatility in YES probabilities across strike levels, ranging from 1% to 93%, with the modal mass concentrated in the 0.0 to 0.4 range at elevated probabilities (61–93%). The 67-day tenor flattens considerably, with probabilities clustering tighter around 26–71%, suggesting reduced conviction. The cheapest YES probability across all tenors appears at the 67-day bucket for the T0.3 strike at 12%, compared to 27% at 34d for the same strike. By the 94-day tenor, probabilities stabilize and begin a gentle upward drift, with the 124-day tenor showing a sharp repricing spike at the T0.4 and T0.5 strikes (93% and 89% respectively), creating a pronounced hump at the longest end. This inversion and hump pattern suggests the market expects the CPI event to resolve within the near term (34 days), with peak uncertainty and lowest conviction concentrated in the intermediate window (67 days). The sharp recovery in probabilities at the 124-day tenor, particularly for higher strike levels, indicates that if the event does not resolve in the near term, the market assigns substantially higher probability to larger moves occurring by November. The market is essentially pricing a bimodal outcome: either a near-term resolution with moderate moves, or a delayed resolution with more extreme outcomes. The low liquidity across most strikes (zero volume) suggests these probabilities reflect sparse order flow rather than deep consensus.