Pre-print brief — September 2026 CPI
Generated 2026-09-24 · release 2026-10-15 (T-21d) · market september-inflation-us-annual · model hcal-v2.0
The call
Model: 3.58% YoY (σ 0.14, as of 2026-09-24) → 3.6% (42%) / 3.7% (25%).
Market: 3.6% (46%) / 3.7% (28%).
Distribution and what each bucket means
| bucket | p_model | p_market | edge | implied NSA MoM |
|---|---|---|---|---|
| ≤2.9% | 0.5% | 0.5% | -0.0% | -0.28% |
| 3.0% | 0.2% | 0.2% | +0.0% | -0.13% |
| 3.1% | 0.3% | 0.2% | +0.1% | -0.03% |
| 3.2% | 0.4% | 0.2% | +0.2% | +0.06% |
| 3.3% | 1.7% | 1.5% | +0.2% | +0.16% |
| 3.4% | 4.7% | 4.0% | +0.7% | +0.26% |
| 3.5% | 15.0% | 13.5% | +1.5% | +0.35% |
| 3.6% | 41.5% | 45.5% | -4.0% | +0.45% |
| 3.7% | 25.2% | 28.5% | -3.3% | +0.55% |
| 3.8% | 5.0% | 5.1% | -0.0% | +0.65% |
| 3.9% | 3.2% | 3.6% | -0.4% | +0.74% |
| ≥4.0% | 2.3% | 2.6% | -0.3% | +0.89% |
Realized NSA MoM run-rate: June 2026: -0.35%, July 2026: -0.01%, August 2026: +0.32%.
Nowcast trajectory (Cleveland Fed, this target month)
2026-09-01: 3.299 → 2026-09-24: 3.569 (drift +0.270 over 17 obs)
2026-09-09 3.451 2026-09-10 3.408 2026-09-11 3.434 2026-09-14 3.434 2026-09-15 3.434 2026-09-16 3.502 2026-09-17 3.502 2026-09-18 3.502 2026-09-21 3.502 2026-09-22 3.502 2026-09-23 3.569 2026-09-24 3.569
Scoreboard context
Retro record at T-7 over 22 prints: log-loss edge -0.027 (market ahead of model). Treat model-market divergence with that prior.
Decision taken
NO_TRADE — outside entry window: T-21d (window T-14..T-3)
Input freshness
apartmentlist_rent_national: 2026-08-01 (54d old) _(monitored only — not a model input)_bls_cpi_index_nsa: 2026-09-14 (10d old)cleveland_fed_nowcast_cpi_yoy: 2026-09-24 (0d old)eia_gasoline_regular_retail: 2026-09-21 (3d old)manheim_used_vehicle_index: 2026-06-01 (115d old) ⚠️ STALE _(monitored only — not a model input)_zillow_zori_national: 2026-08-01 (54d old) _(monitored only — not a model input)_