Will CPI Core rise more than 0.0% in June

The yield curve displays a dramatic steepening pattern with a sharp discontinuity between the June and July tenors. The June bucket (32 days) shows depressed YES probabilities clustered between 1-22%, with only the T0.0 and T0.1 tranches reaching 21-22% while most intermediate tranches collapse to 1%. The July bucket (61 days) then jumps substantially to 61-63% for the T0.0 and T0.2 tranches, representing the steepest single-tenor move in the entire curve. From July through November, the curve maintains a consistent downward slope across the threshold spectrum, with the lowest probabilities consistently appearing in the tail tranches (T0.9 and T1.0 at 1-2%), while the T0.0 tranches remain anchored at 85-95%. The cheapest YES probability overall appears in the June bucket at 1.0%, spanning multiple tranches from T0.2 through T0.8. The market's probability distribution strongly suggests that participants expect core CPI to remain elevated through June but anticipate a meaningful moderation by July's measurement period. The near-zero probabilities for intermediate June outcomes indicate minimal conviction in small moves, while the July surge to 61-63% for moderate thresholds signals confidence in some disinflation occurring within the next month. The persistent downward slope across longer tenors—where tail probabilities remain depressed even through November—reveals that the market views sustained high inflation as increasingly unlikely beyond the immediate term, yet simultaneously maintains non-trivial tail risk for elevated readings through autumn. This structure reflects a market pricing in near-term relief from current inflation levels rather than expecting persistent strength.