Economics & Macro · Arbitrage#194

Breakeven & Inflation-Swap Import

The gap between nominal Treasury yields and inflation-protected ones — the breakeven rate — plus the inflation swap market give a continuously updated, professionally traded forecast of future inflation over any horizon. Polymarket's longer-dated inflation markets often price off narrative and recent prints instead. You convert the swap curve into a probability for each threshold market and trade the disagreement, adjusting for the small risk premium embedded in the bond spread.

What you need to run it

TIPS breakeven and inflation-swap curve data across maturities
Adjustment for the inflation risk premium and seasonal carry in the swap curve
Conversion of a point forecast into a threshold probability using historical dispersion

Where this applies

Markets on Polymarket where breakeven & inflation-swap import is the natural play:

Will annual CPI be above 3% in June 2027?
Will inflation average below 2.5% over the next two years?
Will core PCE exceed 3% at any point in 2027?

Capabilities this demands

Multi-venueModel / quantData ingestion

At a glance

CategoryArbitrage

MarketEconomics & Macro

Requirements3

CapabilitiesMulti-venue, Model / quant, Data ingestion

VenuePolymarket (CLOB, Polygon)

Build it

Related economics & macro strategies

This is documentation, not advice. Poly Research & Robotics publishes how these strategies work because the method should be checkable — not as a recommendation to trade them. See the full strategy database (297 strategies) or the data feeds directory.