What's priced ahead of US CPI?

It's a big day ahead for STIR markets with the upcoming release of US CPI (a reminder our preview is here).

• Euribor futures saw the biggest moves since the official close with a move around 16:45GMT / 17:45CET yesterday, mainly in the Whites, with a move up to 6 ticks higher. There appear to have been no headlines driving the move at the time. Looking at pricing for the ECB markets are pricing in 48bp for the February meeting, a cumulative 89bp by March, 119bp by May and peaking at 142bp by July. The curve then inverts thereafter.
• We discussed the drivers of the moves in SONIA yesterday here with Reds moving as much as 20 ticks higher. Today we have moved 1-3 ticks higher across Whites / Reds / Greens. In terms of BOE pricing, 44bp is priced for February, a cumulative 74bp by March, 91bp by May and 98bp by June. The curve inverts after fully pricing 100bp in August.
• Eurodollar futures are 1-2 ticks softer through Whites since the close. Markets price 31bp for February, a cumulative 50bp by March and a peak of 62bp by June before inverting, with rates expected to be at lower levels than today by the January 2024 meeting.