US core CPI: the inflation number rates futures reprice on

What core CPI removes, and why

Food and energy prices swing with harvests, weather, refinery outages and oil supply decisions. Those swings say little about the persistent inflation a central bank can influence with interest rates, so core CPI excludes them. What remains is dominated by services, with shelter the largest single piece, plus core goods such as vehicles, apparel and household furnishings.

Because core is less noisy, a 0.1 percentage point surprise in the monthly core change usually carries more information than the same surprise in headline. That is why the rates market often treats core m/m as the real headline of CPI day.

Details inside the core number

• Shelter: rent of primary residence and owners' equivalent rent move slowly and account for a large share of core; a change in their trend matters more than a single month.
• Core services excluding shelter: a subset some analysts call supercore, watched as a proxy for wage-driven inflation.
• Core goods: sensitive to supply chains, used-car prices and import costs; they can offset services in either direction.
• Rounding: BLS publishes one decimal. Index levels to three decimals let analysts compute the unrounded change, so a 0.3 that was nearly a 0.2 can be read differently from a 0.3 that was nearly a 0.4.
• Year over year: the annual core rate is computed from unadjusted data and is shaped by what happened twelve months earlier.

Why rates and index futures reprice on core

Treasury futures price the expected path of policy rates over the life of the underlying bonds. A persistent inflation reading changes that path more than a one-off energy spike does, so the short end of the curve (ZT, ZF) and ZN can reprice more on core than on headline. Stock index futures react through the discount rate and through what the rates move implies for financial conditions.

Dollar-quoted currency futures and gold react through the same channel: a change in expected US policy relative to other central banks moves the dollar, and a change in real yields moves the opportunity cost of holding gold. Which way each contract goes depends on the surprise and on positioning; there is no fixed rule.

Order flow when headline and core disagree

Headline and core arrive in the same second. When they point in different directions, for example a soft headline because gasoline fell and a firm core, the first burst of aggressive orders may respond to whichever number was read first, and the flow can turn once participants weigh the core figure. On the footprint that turn looks like initiative volume on one side, then heavy volume on the other side near the extreme with price no longer progressing.

Delta and cumulative delta help separate a genuine change of control from noise: a reversal with delta flipping and price accepting back inside the pre-release range is different from a brief pullback with delta still one-sided. Treat these as descriptions of the auction in progress, not as a setup that repeats.

In Senzoukria

Core CPI appears as its own row in the News calendar, next to headline CPI at the same time. When the row name matches, the calendar adds a one-line description: “Core inflation (ex food/energy) — Fed's main rate signal.” The event detail has a Quant mode button whose identification card places the release in the Inflation family and lists the contracts whose underlying economy it measures (MES, MNQ, ZN, DX and GC); the panel states that it makes no bullish or bearish call.

If you keep release times visible on a busy chart without drawing lines, turn on “Highlight macro release times” in Chart settings: the time label carrying the release is coloured before it happens.