CPI core year-over-year in Jun 2026

The yield curve displays a distinctly inverted structure, with the shortest tenor (34 days to June resolution) commanding the highest probability mass and the longest tenor (126 days to September) showing substantially lower probabilities across comparable strike levels. The June bucket concentrates its probability around the 2.7-2.9% range, where YES probabilities peak at 21% and 13% respectively, while the September bucket spreads its probability more evenly across strikes with no single strike exceeding 10%. The cheapest YES probabilities appear in the June bucket at the extreme tails (2.2% and 3.4-3.7% strikes at 1-2%), but the most economically significant cheap probability is the 2.2% strike in September at just 6%, compared to 1% in June—suggesting a 500 basis point probability premium for the same outcome across the 92-day spread. This inverted structure indicates the market expects core CPI year-over-year inflation to be determined primarily in the near term, with substantially less uncertainty or probability mass assigned to outcomes further out. The concentration of trading volume in the June contract (evidenced by the $312.53 and $152 volumes in the 2.9% and 3.0% strikes) reinforces that participants view the June print as the critical resolution point. The flattening of probabilities across strikes as tenor extends suggests either that the market expects mean reversion toward baseline inflation expectations, or that participants are simply less confident about predicting inflation dynamics four months forward, resulting in a more diffuse probability distribution that assigns lower odds to any single outcome.