CPI day moves in 2026 were basically dead money outside two huge outliers.
Sept 11: +0.86%
Aug 12: +0.26%
July 14: +0.38%
June 10: -1.62%
May 12: -0.16%
April 10: -0.11%
Mar 11: -0.08%
Feb 13: +0.05%
Jan 13: -0.19%
Strip out June 10 (-1.62%) and Sept 11 (+0.86%), and every other CPI print moved the market less than 0.4%. Most were under 0.2%. Basically noise.
What this tells you: the market stopped caring about inflation data unless it was a genuine shock. The CPI trade became a coin flip with no edge. Volatility got priced out. Everyone front-ran the same setup until it stopped working.
If you were still loading puts or calls into every CPI print by mid-year, you were donating premium. The only days that paid were the ones nobody saw coming.
Lesson: when a trade gets this consensus, it dies. The edge isn't in the event anymore, it's in knowing when the event stops mattering.
Sept 11: +0.86%
Aug 12: +0.26%
July 14: +0.38%
June 10: -1.62%
May 12: -0.16%
April 10: -0.11%
Mar 11: -0.08%
Feb 13: +0.05%
Jan 13: -0.19%
Strip out June 10 (-1.62%) and Sept 11 (+0.86%), and every other CPI print moved the market less than 0.4%. Most were under 0.2%. Basically noise.
What this tells you: the market stopped caring about inflation data unless it was a genuine shock. The CPI trade became a coin flip with no edge. Volatility got priced out. Everyone front-ran the same setup until it stopped working.
If you were still loading puts or calls into every CPI print by mid-year, you were donating premium. The only days that paid were the ones nobody saw coming.
Lesson: when a trade gets this consensus, it dies. The edge isn't in the event anymore, it's in knowing when the event stops mattering.