Daily Macro US
CPI YoY Apr.
3.8%
Unchanged
WTI Oil
~$101
-$3/b
Philly Fed May
-26.4
-53pp
Claims May 16
227K
+16K
Fed rate
3.50-3.75%
Unchanged
Unemployment Apr.
4.3%
Unchanged
WTI pulls back to ~$101/barrel (vs. peak of $126) on a ceasefire with Iran on 'life support' according to Trump. This oil decline is the key macro signal of the day: it partially invalidates the bullish inflation thesis and reinforces our NO positions on 'inflation > 4.5%'. Meanwhile, the Philly Fed Manufacturing Index for May collapsed to -26.4 (vs. +26.7 in April, consensus +17.6) — a shock to the manufacturing sector. Weekly jobless claims rise to 227K vs. 211K. Contradictory tensions: deceleration weighing on employment on one side, oil disinflation on the other.
Today's Market Moves
Inflation 2026 > 4.5%
82%→78%-4pp
Oil pullback — our NO gains +4pp
US Unemployment >= 5.0%
25%→29%+4pp
Philly Fed -26.4 + claims 227K
US Unemployment >= 6.0%
18%→20%+2pp
Same logic, threshold still extreme
Negative GDP 2026
9%→13%+4pp
Philly Fed shock: recession being priced in
CPI MoM = 0.6%
36%→40%+4pp
Anomaly: energy declining yet market pricing higher
Fed Rate < 3.25%
28%→30%+2pp
Weak Philly Fed revives rate cut hopes
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Inflation 2026 > 4.5% | Dec 2026 | 78% | 58% | -20pp | SELL YES | $997K | 8/10 |
| 2 | CPI May MoM = 0.6% | Jun 2026 | 40% | 18% | -22pp | SELL YES | $16K | 7/10 |
| 3 | US Unemployment >= 6.0% | Dec 2026 | 20% | 5% | -15pp | SELL YES | $407K | 7/10 |
| 4 | Fed Rate < 3.0% before 2027 | Dec 2026 | 16% | 5% | -11pp | SELL YES | $1000K | 8/10 |
| 5 | May Unemployment Rate = 4.3% | Jun 2026 | 34% | 45% | +11pp | BUY YES | $N/A | 6/10 |
| 6 | US Unemployment >= 5.0% | Dec 2026 | 29% | 16% | -13pp | SELL YES | $407K | 5/10 |
| 7 | Annual GDP 2026 Negative | Q4 2026 | 13% | 12% | -1pp | NEUTRAL | $27K | 3/10 |
| 8 | Inflation 2026 > 4% | Dec 2026 | 98% | 87% | -11pp | SELL YES | $997K | 5/10 |
| 9 | Fed Rate < 3.25% before 2027 | Dec 2026 | 30% | 20% | -10pp | SELL YES | $1000K | 5/10 |
| 10 | CPI May YoY >= 4.3% | Jun 2026 | 39% | 28% | -11pp | SELL YES | $159K | 5/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Inflation 2026 > 4.5% — NO
↓ SELL YES-20pp
Market price
78%
Fair value
58%
Gap: -20pp
Best opportunity — already +4pp in our favor since yesterday. WTI at $101 is the key data point: with energy declining, May CPI will cap at 4.0-4.2%, far from 4.5%. The Philly Fed at -26.4 confirms a real slowdown in demand. The market was at 82% yesterday; the recalibration still has 16pp to go.
▵ Bull case
- Ceasefire on 'life support' → possible energy rebound
- Sticky services: shelter +0.6% MoM
- Tariffs + weak dollar: second-round effect
- OPEC+ may cut if WTI < $95
▿ Bear case
- WTI $101 vs $126 peak: reduced energy contribution in May
- Philly Fed -26.4: manufacturing demand shock
- Claims 227K rising: consumption softening
- McDonald's, Wendy's, PepsiCo cutting prices
2
CPI May MoM = 0.6% — NO
↓ SELL YES-22pp
Market price
40%
Fair value
18%
Gap: -22pp
Anomaly of the day: market climbs to 40% for exactly 0.6% MoM while WTI drops from $126 to $101. In April, energy (+3.8% MoM) drove the 0.6% print. In May, energy will contribute negatively. Probable MoM: 0.2-0.4%. Only risk: low liquidity ($16K).
▵ Bull case
- Energy still elevated vs pre-war levels ($101 > $70)
- Services can rise independently
- Tariffs still feeding prices
- Persistent shelter index
▿ Bear case
- WTI $126 → $101: negative energy contribution in May
- Philly Fed -26.4: less pricing power
- Weakened demand (claims 227K)
- Narrow threshold: 0.1pp difference invalidates
3
US Unemployment >= 6.0% — NO
↓ SELL YES-15pp
Market price
20%
Fair value
5%
Gap: -15pp
Despite today's move (18% → 20%), the market remains miscalibrated. Philly Fed -26.4 is alarming but manufacturing represents only 8% of jobs. Services PMI 51.0 = expansion. Reaching 6% unemployment requires a severe 2008-style recession — well outside institutional consensus.
▵ Bull case
- Philly Fed -26.4 spreads to services
- Claims 227K trend over 4 weeks
- Tariffs + Iran recession
- DOGE: public sector jobs eliminated
▿ Bear case
- SPF: peak at 4.5% max, unanimous institutional view
- Services PMI 51.0 in expansion
- Manufacturing = only 8% of US jobs
- Fed would cut rates before reaching 6%
4
Fed Rate < 3.0% before 2027 — NO
↓ SELL YES-11pp
Market price
16%
Fair value
5%
Gap: -11pp
Position unchanged. The weak Philly Fed could theoretically push the Fed to cut — but CPI is at 3.8%. A stagflationary dilemma has Powell paralyzed. For two cuts: it would require either a rapid inflation decline or a declared recession. 16% remains too high. Most liquid trade in the portfolio ($1M vol).
▵ Bull case
- Philly Fed + claims → Fed forced to cut
- WTI pullback → inflation may fall quickly
- FOMC dissenters (Miran)
- Confirmed recession → aggressive cuts
▿ Bear case
- CPI 3.8%: cutting = abandoning the mandate
- CME FedWatch 77% probability of 0 cuts
- June FOMC: Powell won't signal 2 cuts
- Iran war + tariffs = structural inflation
5
May Unemployment Rate = 4.3% — YES
↑ BUY YES+11pp
Market price
34%
Fair value
45%
Gap: +11pp
New market. Unemployment has been at 4.3% for 3 consecutive months. BLS monthly variations are typically +/-0.1pp. The probability of staying at 4.3% remains elevated despite the weak Philly Fed — transmission lag of 1-2 months. Market at 34% underprices inertia. Caution: low liquidity, potentially wide spread.
▵ Bull case
- 4.3% stable for 3 months: strong inertia
- BLS variations average +/-0.1pp
- Services PMI 51.0: service sector jobs in expansion
- Philly Fed → employment lag of 1-2 months
▿ Bear case
- Claims 227K: early deterioration signal
- Philly Fed -26.4: manufacturing lays off quickly
- Rate could also drop to 4.2%
- Low liquidity: wide spread