Daily Macro US
WTI Oil
$92–93
+6% — Iran deal suspended
Iran deal
SUSPENDED
Iran declined US proposal — talks ongoing
EZ HICP May
3.1%
Above April 3.0% — ECB EXIT signal
Cleveland nowcast
3.3–3.5%
May CPI YoY — locked in
S&P 500
~7,490
Dipped on Iran deal/oil shock
NFP June 6
4 days
Next key catalyst
Two simultaneous shocks today. First: Iran suspended negotiations with the US on June 1, declining the proposed MOU terms over disagreements on uranium enrichment and Hormuz toll structures. Trump insists talks continue and says a deal is reachable 'over the next week.' The market verdict was immediate: WTI spiked 6% from $87.86 to $92–93, partially reversing six weeks of deal-driven deflation. Second: the Eurozone HICP flash for May printed at 3.1% — above April's 3.0% and above our model's 2.7–2.9% estimate. Italy's upside surprise (3.3% vs 2.8% in April) and Spain's services persistence dominated the aggregate. Germany's 2.7% deceleration was insufficient to pull the weighted average below 3.0%. These two events interact in an important way for our US portfolio. The Iran deal suspension directly affects our longer-dated positions (Inflation >4.5% annual, Recession, Unemployment) by reintroducing the energy cost uncertainty we thought was resolving. The YES market for Inflation >4.5% ticked to 62% on the oil spike — our fair value moves from 25% to 28% as the H2 WTI picture becomes less certain. However, for our three CPI May positions resolving June 10, today's developments are completely irrelevant. May is over. WTI's final-week average of $87–88 is locked into the Cleveland nowcast. The June 6 NFP is now the most important near-term catalyst alongside June 10 CPI.
Today's Market Moves
Inflation 2026 > 4.5%
57%→62%+5pp
Iran deal suspended + WTI $92 pushes YES market up 5pp. Fair value revised to 28% (from 25%) as H2 oil trajectory now uncertain. Gap narrows to 34pp. Confidence lowered to 8.
US Recession 2026
19%→22%+3pp
Iran deal suspension reintroduces supply-shock risk premium. WTI $92 = energy cost headwind resumes. Gap 10pp. Watch NFP June 6.
CPI May MoM = 0.6%
33%→33%0pp
Completely unaffected by today — May data locked in at WTI $87-88. Iran deal irrelevant to June 10 print. 8 days.
CPI May YoY >= 4.4%
14%→14%0pp
May closed. Cleveland nowcast 3.3-3.5%. Today's oil spike irrelevant. 8 days to resolution.
US Unemployment >= 5.0%
29%→31%+2pp
WTI $92 reintroduces supply-shock hiring-freeze risk. Marginal uptick. Still far from 5%+ scenario.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Inflation 2026 > 4.5% | Dec 2026 | 62% | 28% | -34pp | SELL YES | $1M+ | 8/10 |
| 2 | CPI May MoM = 0.6% | Jun 2026 | 33% | 4% | -29pp | SELL YES | $17K | 9/10 |
| 3 | CPI May YoY = 4.3% | Jun 2026 | 16% | 4% | -12pp | SELL YES | $164K | 9/10 |
| 4 | CPI May YoY >= 4.4% | Jun 2026 | 14% | 3% | -11pp | SELL YES | $164K | 9/10 |
| 5 | US Unemployment >= 5.0% | Dec 2026 | 31% | 19% | -12pp | SELL YES | $450K | 7/10 |
| 6 | US Recession 2026 | Dec 2026 | 22% | 14% | -8pp | NEUTRAL | $890K | 8/10 |
| 7 | US Unemployment >= 6.0% | Dec 2026 | 15% | 8% | -7pp | NEUTRAL | $1M | 7/10 |
| 8 | Fed Rate < 3.0% before 2027 | Dec 2026 | 10% | 5% | -5pp | NEUTRAL | $1M | 9/10 |
| 9 | May Unemployment Rate = 4.3% | Jun 2026 | 35% | 38% | +3pp | NEUTRAL | $12K | 6/10 |
| 10 | Fed Hold June FOMC | Jun 2026 | 97% | 99% | +2pp | NEUTRAL | $5M | 9/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Inflation 2026 > 4.5% — NO
↓ SELL YES-34pp
Market price
62%
Fair value
28%
Gap: -34pp
Today is the hardest day for this position. Iran suspended negotiations. WTI spiked 6% to $92-93. The YES market moved from 57% to 62%. We revise our fair value upward to 28% (from 25%) to account for a materially higher H2 2026 oil scenario. The gap narrows from 31pp to 34pp — still very wide. Here is the updated annual average math: Jan-May CPI averaging approximately 3.2-3.4%. For annual average to exceed 4.5%, June-December needs to average 5.1-5.5% YoY. At WTI $92, June CPI likely prints 3.6-4.0%. To sustain 5%+ for seven months from here, WTI would need to return to $110-120+ and stay there. The Iran deal suspension is a delay, not a collapse — Trump says a deal is 'reachable over the next week.' If talks resume, oil reverses. We hold, with confidence lowered to 8 from 9 to reflect the genuine uncertainty introduced today.
▵ Bull case
- Iran deal suspended — talks could collapse entirely, sending WTI back to $100-110+
- WTI $92 today: if deal talks drag into July-August, H2 oil costs ratchet higher
- Eurozone HICP 3.1%: global services inflation stickier than expected — may spill into US
- Yes market at 62%: still well below our original entry price of 82% YES — position in profit but thesis tested
▿ Bear case
- Trump: deal is 'reachable over the next week' — suspension is delay, not collapse
- WTI $92 still $23 below April average of $115 — structural disinflation thesis not broken at $92
- Annual average math: even with WTI at $92 for June-Dec, CPI would average 3.8-4.2% — still below 4.5%
- May CPI locked in at 3.3-3.5%: regardless of Iran, June 10 will show disinflation vs April
- S&P dipping but not crashing: market sees Iran deal delay, not permanent collapse
2
CPI May MoM = 0.6% — NO
↓ SELL YES-29pp
Market price
33%
Fair value
4%
Gap: -29pp
The Iran deal suspension and WTI spike are completely irrelevant to this position. May is over. The measurement period closed on May 31. Cleveland nowcast: 0.2-0.3% MoM. At 33% YES, this is still pricing the outcome at 8× fair value. 8 days to June 10 resolution. Our conviction here is unchanged — this is the highest-certainty position in the portfolio because the underlying data is already collected.
▵ Bull case
- May WTI average was elevated in weeks 1-3 (~$110) — partial energy inflation still captured
- Core services persistence could add unexpected tenths to the monthly print
▿ Bear case
- May is closed: today's WTI spike does not enter the May CPI calculation in any way
- Cleveland nowcast 0.2-0.3%: the forecasting community is not near 0.6%
- WTI final week of May at $87-88: energy deflation dominated the monthly average
- 8 days to resolution: the data is fully determined
3
CPI May YoY = 4.3% — NO
↓ SELL YES-12pp
Market price
16%
Fair value
4%
Gap: -12pp
Same logic: May is closed, Iran deal suspension is June data, Cleveland nowcast 3.3-3.5%, 4.3% requires 0.8-1.0pp above the entire forecast range. Today's oil spike has zero bearing on the June 10 print. At 16%, this is 4× fair value with 8 days to resolution. We hold with full conviction.
▵ Bull case
- Eurozone HICP 3.1% shows global services more persistent than expected — US could surprise too
- WTI spike could alter expectations for the June print (though not the May print)
▿ Bear case
- May data is complete — Iran deal, oil, HICP are all June events
- Cleveland nowcast 3.3-3.5%: 4.3% requires ~1pp upside shock against finalized energy data
- 8 days to resolution: conviction at maximum
4
CPI May YoY >= 4.4% — NO
↓ SELL YES-11pp
Market price
14%
Fair value
3%
Gap: -11pp
At 14% YES vs 3% fair value, priced at nearly 5× our estimate. Entry was 38% YES — 24pp already moved in our favour. Iran deal irrelevant for May data. 8 days to resolution. Maximum conviction.
▵ Bull case
- Global services surprise (HICP 3.1%) adds marginal tail risk to US May services CPI
- WTI spike creates narrative uncertainty even if fundamentals are unchanged
▿ Bear case
- May measurement period closed May 31 — today's developments are June data
- Cleveland nowcast: 4.4%+ requires 1.0-1.1pp above the entire forecast range
- Entry 38%, current 14%: market already correcting strongly toward fair value
5
US Recession 2026 — NO
↓ SELL YES-8pp
Market price
22%
Fair value
14%
Gap: -8pp
The Iran deal suspension is a genuine negative for this position. WTI at $92-93 reintroduces the energy cost headwind that had been deflating. The recession market ticked back to 22% — a level we saw before the Iran deal momentum started. Our fair value moves to 14% (from 12%) to account for modestly higher H2 energy costs. The gap is 8pp — at our minimum threshold. We continue to hold given the $200 stake and $890K liquidity, but acknowledge that a sustained oil spike above $100 would require us to exit. The key offset: Q2 GDPNow is still 4.3%. A supply-shock recession in H2 requires months of sustained energy cost pain, not a single-day 6% oil spike. NFP June 6 (4 days) is the next read on labor market health.
▵ Bull case
- Iran deal suspension: if talks collapse entirely, WTI back to $100+ = genuine supply-shock headwind
- Q1 GDP already 1.6%: softer growth base makes H2 recession more plausible if oil shock persists
- Eurozone HICP 3.1%: if European stagflation deepens, global demand spillovers possible
▿ Bear case
- Trump: deal 'reachable over the next week' — suspension is diplomatic pressure, not collapse
- Q2 GDPNow 4.3%: two consecutive negative quarters impossible with this trajectory
- WTI $92 vs April average $115: net energy cost is still lower than April, which didn't cause recession
- S&P near record: equity markets are forward-looking and not pricing an H2 recession