JPM US Market Intelligence | Trading CPI: September 2026

Feroli’s CPI preview is here. For CPI Feroli sees Headline MoM printing +0.38% (vs. 0.4% survey; 0.1% prior) and Core MoM printing +0.21% (vs. 0.2% survey; 0.2% prior). This equates to 3.4% YoY for Headline (vs. 3.4% survey; 3.4% prior) and 2.4% YoY for Core (vs. 2.4% survey; 2.5% prior).

The following scenario analysis is NOT A PRODUCT OF JPM RESEARCH, this is a trading desk view from JPM US Market Intelligence. This month we focus on Core MoM outcomes, and 1-days SPX moves.

• [10.0%] Core MoM prints above 0.30%. SPX declines 1.5% – 2.5%

• [25.0%] Core MoM prints between 0.25% – 0.30%. SPX declines 25bp – 1%

• [30.0%] Core MoM prints between 0.20% – 0.25%. SPX gains 50bp – 1.25%

• [25.0%] Core MoM prints between 0.15% – 0.20%. SPX gains 1% – 1.5%

• [10.0%] Core MoM prints below 0.15%. SPX gains 1.5% – 2%.

• WHAT ARE OPTIONS PRICING? Options that expire on September 11 th are pricing ~1.0% move based on September 8 th prices.

• US MARKET INTEL – The debate is 0.2% (rounded) vs. 0.3% (rounded). Feroli sees 0.2% being low enough to hold rates and 0.3% as high enough to hike. The bond market is pricing a ~63% probability of a 25bp hike at the Sep 16 FOMC meeting. This print should provide clarity on the Sep 16 Fed meeting, with the tail risk for Equities being a material hotter print that spikes Oct or Dec rate hike expectations, which are currently ~27% and ~54%, respectively. If the data supports Feroli’s hypothesis for a Hold or Hawkish Hold, look for stocks to react positively. Given the neutral positioning environment and room to re- gross / re-lever, there remains significant upside and we would point to Momentum, Tech, and Cyclicals are the drivers of gains. Our colleagues in Positioning intel have seen HF re-grossing increasing, “Globally HFs added gross exposure on 4 of the past 5 days for a

+1.3z increase in the past week, the highest since late June.” Current market pricing combined with positioning point to the risk/reward being skewed to the upside. We think markets remain choppy into the print, the key driver behind our move to Tactically Cautious / Neutral from last week despite underlying fundamentals remaining strong, both macro and micro, which over time will be supportive of stocks.

FEROLI ON CPI – full note is here

We [Feroli and team] forecast that the headline CPI rose 0.38%m/m in August with a 0.21%m/m (2.37%oya) increase in the core, which would leave the core over-year-ago rate, just barely rounding up to 2.4%.