CPI core year-over-year in Aug 2026

The yield curve displays a pronounced downward slope from the August tenor to the September and November tenors, indicating a sharp steepening in the term structure of probabilities. The August 26 bucket clusters around a modal probability of 2.3–2.4%, where YES probabilities peak at 25–26%, with meaningful liquidity concentrated in these strikes ($100 and $82 in 24h volume). By contrast, the September 26 bucket shows substantially lower probabilities across all strikes, with most clustering between 1–11%, and the November 26 bucket compresses further into the 1–12% range. The cheapest YES probabilities appear in the September and November tenors, where strikes like T2.7 (September) and T2.8 (November) trade at just 1%, reflecting minimal market conviction that core CPI will reach those levels by those dates. This inverted and heavily front-loaded curve structure reveals that the market concentrates nearly all probability mass in the near term (29 days), with a sharp cliff-off thereafter. The market is essentially saying that if a significant core CPI outcome occurs, it will happen by late August; the rapid decay of probabilities at longer tenors suggests either that the market expects the August print to resolve the uncertainty, or that participants assign very low odds to extreme CPI outcomes materializing across any horizon. The extreme illiquidity in September and November strikes (nearly all showing $0 volume) reinforces that traders view the August resolution as decisive, with little appetite to hedge or speculate on follow-through moves in subsequent months.