What do markets expect from the current US CPI?

It’s very important when we approach important events like the US CPI to look under the hood at market expectations.

Knowing median expectations is of course very important, but understanding how expectations can be skewed under the hood can provide very insightful insights.

Let’s take a look at the four key measures, starting with the title YY:

We have a few outliers on the downside, at 3.2% and 3.3%. But we can see that a deviation of just -0.1% or +0.1% will already surprise most market participants.

Here is the basic CPI AA:

Here we have a very similar story with only a few participants at the limits of expectations. Which means once again that a slight deviation of -0.1% or +0.1% should already be enough to surprise almost all participants surveyed for today’s event.

We can see a similar story for MM stock:

On MM stock, there is a slightly larger upward bias at 0.4%, but a figure at 0.4% will still surprise most participants.

Finally, we have the Core MM metric:

Probably the clearest of all, with a very obvious surprise factor on a deviation of -0.1% or +0.1%.

Thus, a widespread failure or overshoot of -0.1% or +0.1% has the potential to surprise the vast majority of market participants and could give rise to very impactful movements at all levels.