Aurelien Tchouameni

The yield curve displays a pronounced flattening structure across the two tenor buckets, with the 16-day markets (tau=16d) showing a weighted-average YES probability clustering around 9-10%, while the 17-day markets (tau=17d) exhibit a marginally higher average near 8-9%, creating an essentially flat to slightly inverted curve. The cheapest YES probabilities concentrate in the 17-day bucket, where multiple markets trade at 1-2%, including ESPDOLMO20-1 (2.0%), ESPPEDR8-1 (1.0%), and ESPRODR16-1 (1.0%). Within the 16-day tenor, the floor similarly sits at 1-2% across several markets like BRACASE18-1 and BRADSANTO16-2, though the 16-day bucket contains higher-probability outliers such as BRAVINI7-1 (23.0%) and BRABGUIMA39-1 (18.0%), which pull the average upward. This flat-to-inverted structure suggests the market perceives minimal temporal urgency regarding event resolution. The near-parity between 16-day and 17-day probabilities indicates that participants view the probability distribution as relatively uniform across this narrow window rather than concentrated at either endpoint. The prevalence of very low probabilities (1-2%) across both tenors, combined with scattered high-probability outliers, implies the market is pricing a dispersed outcome space where most individual candidates or scenarios are viewed as unlikely, with only a few concentrated bets receiving meaningful conviction. The lack of a pronounced upward slope suggests no strong consensus that the event becomes materially more or less likely as the resolution date approaches.