October 14, CPI day. Wave 1, Treasury futures bid into the print. Wave 2, sold on it, with the 2 year yield up as much as 16bp and the 2s30s curve down to 67bp. Wave 3, every Treasury future recovered into the afternoon, and the longer the maturity the stronger. $ZB_F

Options on $ZB_F price a 0.82 point day, and the 103.49 gamma flip sits 0.28 of that below 103.72. Today's 0.56 point gain is wider than the 0.23 point cushion. Above 103.49 dealer hedging dampens moves, below it hedging adds to them. CPI prints Wednesday Oct 14.

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$ZB_F options charge a 0.85 point day for the next 30 days against 0.56 points delivered. That is 13.17% implied on 8.73% realized. Today's 0.34 point drop came in at 0.41 times the priced day, under even the realized one. The Fed decides Oct 28, inside that window.

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Moves in $ZB_F have run 0.59 points a day over 30 days, while options charge for 0.91 points a day ahead. The 50 day point is the curve's high at 14.16%, and vol priced for day 30 to day 84 is 13.21%. Largest put open interest sits at the 103 strike, right at today's 103.00.