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How to trade CPI day
CPI day is a vol event with a known reaction chain: 2Y yields move first (within seconds), USD reacts to the rate differential, equities respond to the implied Fed path, and gold reacts to real yields. The pre-print setup is to know the consensus, the whisper, and the implied move. The post-print setup is to read the asset chain in order - if 2Y, USD, and SPX all agree, the move is real. If one disagrees, fade or wait.
- Pre-print
- Consensus, whisper, implied move, options-implied range.
- First reaction
- 2Y Treasury yield moves within seconds.
- Cross-asset confirm
- USD, SPX, gold should agree if the move is real.
- Common trap
- Fading the first 5 minutes - often catches you offside.
The pre-print framework
- Consensus print - economist median
- Whisper - buy-side estimate, often differs
- Implied move - straddle pricing for the day
- Positioning - recent 2Y direction, USD direction
If positioning is one-sided into the print, the asymmetric trade is fading the consensus.
The reaction chain
In order, within minutes:
- 2Y Treasury yield moves
- USD reacts (DXY)
- Front-end Fed funds futures reprice
- SPX reacts to implied Fed path
- Gold reacts to real yields
- Sector rotation (banks, utilities, growth)
When to fade
When the asset chain disagrees. If 2Y rallies but USD falls and SPX rallies - that is positioning unwind, not a real reaction. Fade or wait.
When to follow
When all four (2Y, USD, SPX, vol) agree in the same direction. That is the print pricing in.