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I'm reading the principal changes w/CPI, not the rate "which is set at auction, remains fixed throughout the term": https://www.treasurydirect.gov/instit/statreg/auctreg/auctreg_gsrlist.htm (2nd bullet) The Series I savings bonds have a floating rate that follows a formula based on CPI and...

Have you considered dispersion into index component long puts? https://quantpedia.com/strategies/dispersion-trading/

Is there a way to group positions by underlying and calculate the total delta? It would be a treat to have the ability to group micros w/adjusted deltas along with full sized contracts... but I have a feeling that's too much to hope for. Thanks