Daily Macro US
WTI Oil
$93–97
+$5–9 Iran escalation
Iran situation
ESCALATED
IRGC missiles on Kuwait/UAE/Saudi
Brent crude
~$97
3rd consecutive gain
CPI April YoY
3.8%
Peak reading — May resolves Jun 10
Cleveland nowcast
3.3–3.5%
May CPI — locked in
NFP June 6
Tomorrow
Key labor catalyst
The Iran situation has deteriorated sharply. The IRGC fired at least ten ballistic missiles at US military bases in Kuwait overnight, with additional strikes reported on targets in Saudi Arabia and Dubai. The US responded with strikes on Qeshm Island. The 60-day MOU framework — which had driven WTI from $115 to $87 — is now in serious jeopardy. Oil surged back toward the $92–97 range (Brent approaching $97), reversing six weeks of deal-driven deflation in three sessions. For our portfolio, this is the most significant adverse macro event since entry. The impact splits cleanly into two categories. First, the five positions resolving June 10 (CPI May MoM, YoY =4.3%, YoY >=4.4%) and the unemployment rate position (NFP June 6) are completely unaffected — May data is locked in at WTI $87-88 and June 6 NFP captures the current labor market, not a future escalation. Second, our longer-dated positions (Inflation >4.5% annual, Recession, Unemployment >=5%) all face a genuine headwind. We revise our fair values upward to reflect the changed H2 oil trajectory. The Inflation >4.5% YES market surged to 65%. Our fair value moves to 32% — the gap narrows from 31pp to 33pp but conviction drops to 7. The escalation introduces genuine tail risk that was not present yesterday. The ECB meeting is Thursday June 5 — with HICP 3.1% and oil reescalating, a June hike is near-certain. NFP June 6 is tomorrow's critical US catalyst: a strong print would compress recession and unemployment bets significantly.
Today's Market Moves
Inflation 2026 > 4.5%
62%→65%+3pp
Iran military escalation — deal in jeopardy. WTI $93-97. Fair value revised to 32%. Gap 33pp. Confidence lowered to 7.
US Recession 2026
22%→26%+4pp
IRGC missiles + oil spike reintroduce supply-shock recession scenario. Gap narrows to 10pp. Borderline.
US Unemployment >= 5.0%
31%→34%+3pp
Escalation adds supply-shock hiring-freeze risk. Gap narrows to 8pp. NFP June 6 tomorrow.
CPI May MoM = 0.6%
33%→33%0pp
Completely unaffected — May data locked in. Cleveland nowcast 0.2-0.3%. 7 days.
CPI May YoY >= 4.4%
14%→14%0pp
May closed. Iran escalation is June data. June 10 in 7 days.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Inflation 2026 > 4.5% | Dec 2026 | 65% | 32% | -33pp | SELL YES | $1M+ | 7/10 |
| 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 | 34% | 22% | -12pp | SELL YES | $450K | 7/10 |
| 6 | US Recession 2026 | Dec 2026 | 26% | 16% | -10pp | NEUTRAL | $890K | 7/10 |
| 7 | US Unemployment >= 6.0% | Dec 2026 | 16% | 9% | -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-33pp
Market price
65%
Fair value
32%
Gap: -33pp
The Iran military escalation — IRGC missiles on US bases in Kuwait, Saudi Arabia, and Dubai — is the hardest test this position has faced. WTI surged to $93–97. We revise fair value from 25% to 32% to account for a genuinely altered H2 2026 oil trajectory. The market moved to 65%. The gap narrows from 31pp to 33pp but confidence drops from 9 to 7. Here is the updated annual average math: Jan-May CPI averaged approximately 3.2-3.4%. For annual average to exceed 4.5%, June-December must average approximately 5.1-5.5% YoY. At WTI $95, June CPI might print 4.0-4.2%. For the annual average to clear 4.5%, oil would need to stay at $95+ for the full remaining 7 months AND produce sustained CPI above 4.5% each month. That is still a tail scenario — but less extreme than it was at $88. We hold, with lower confidence, watching the ECB meeting Thursday and NFP tomorrow for calibration signals.
▵ Bull case
- IRGC missiles on Kuwait/Saudi/UAE: escalation above previous conflict intensity — deal collapse is now a realistic scenario
- WTI $93-97: Brent approaching $97 — if deal collapses entirely, $110-120 possible
- Annual average: if June-Dec CPI averages 4.5%, the full-year average reaches approximately 4.0-4.2% — closer to threshold
- Market at 65%: still below our original entry price of 82% — position profitable but thesis tested
▿ Bear case
- Annual average math: even at $97 WTI, June-Dec CPI would need to average 5.1%+ — historically rare outside hyperinflation
- May CPI locks in 3.3-3.5% for June 10: the disinflation of May is already captured regardless of June escalation
- Military escalation can reverse fast: diplomatic channels remain open, Trump has incentive to close the deal
- Q2 GDPNow 4.3%: strong growth cushions against supply-shock driven inflation spiral
- S&P 500 near record: equity markets are not pricing an inflation spiral scenario
2
CPI May MoM = 0.6% — NO
↓ SELL YES-29pp
Market price
33%
Fair value
4%
Gap: -29pp
The Iran military escalation is completely irrelevant to this position. May ended on May 31. The measurement period closed. The IRGC missiles fired on June 2-3 do not appear in any May CPI calculation. Cleveland nowcast: 0.2-0.3% MoM. At 33% YES, the market is pricing a 5-sigma event with 7 days to resolution. Maximum conviction unchanged.
▵ Bull case
- First 3 weeks of May had WTI above $110 — partial energy costs embedded in monthly average
- Core services running above 3% — non-energy adds a floor
▿ Bear case
- May is closed: June escalation does not enter May CPI in any way
- WTI final week of May $87-88: energy deflated the monthly average
- Cleveland nowcast 0.2-0.3%: the forecasting apparatus is not near 0.6%
- 7 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 escalation is June data, Cleveland nowcast 3.3-3.5%, 4.3% requires 0.8-1.0pp surprise against a finalized energy cost picture. At 16% YES vs 4% fair value. 7 days to resolution. The position has moved from 40% YES at entry to 16% — 24pp in our favour.
▵ Bull case
- Iran escalation creates narrative uncertainty even for closed measurement periods
- Core services persistence could add tenths
▿ Bear case
- May measurement period ended May 31 — June escalation enters zero May calculation
- Cleveland nowcast 3.3-3.5%: 4.3% requires ~1pp deviation from established range
- 7 days to resolution: the highest-certainty window for this position
4
CPI May YoY >= 4.4% — NO
↓ SELL YES-11pp
Market price
14%
Fair value
3%
Gap: -11pp
Entry 38% YES, now 14%. May data complete. 4.4%+ requires 1.0-1.1pp above Cleveland nowcast. Iran escalation is June data. 7 days to resolution. Confidence 9 — unchanged by today's events.
▵ Bull case
- Iran escalation adds tail risk narrative
- Tariff pass-through to goods prices could add unexpected tenths
▿ Bear case
- May measurement closed — today's developments are not in the data
- Cleveland nowcast: 4.4%+ requires impossible energy reversal for past period
- Entry 38%, current 14%: correcting toward fair value
5
US Recession 2026 — NO
↓ SELL YES-10pp
Market price
26%
Fair value
16%
Gap: -10pp
The Iran military escalation is a genuine negative for this position. IRGC missiles on US bases in Kuwait and regional targets represents the most severe military escalation of the 2026 war cycle. WTI at $93-97 reintroduces the energy cost headwind that our thesis had assumed was resolving. Recession bets moved from 22% to 26%. Our fair value moves from 12% to 16% to reflect a genuinely more dangerous H2 oil scenario. The gap is now 10pp — at our minimum threshold. We continue to hold given our $200 stake and $890K liquidity, but the position is under the most pressure since entry. NFP June 6 (tomorrow) is critical: a strong print (+150K) would show the labor market is absorbing the shock and compress recession bets meaningfully. Q2 GDPNow at 4.3% remains the structural backstop — a supply-shock recession in 2026 requires months of sustained energy cost pain AND demand destruction, neither of which is confirmed by current data.
▵ Bull case
- IRGC ballistic missiles on Kuwait/UAE/Saudi: escalation level dramatically above ceasefire violations
- WTI $93-97 and rising: three consecutive sessions of gains — deal collapse scenario now credible
- Q1 GDP already revised to 1.6%: softening growth base makes H2 shock more dangerous
- If conflict spreads regionally, financial market contagion accelerates recession probability
▿ Bear case
- Q2 GDPNow 4.3%: economy growing strongly — supply-shock recession requires sustained months of pain
- S&P near record: equity markets are discounting 12-18 months and see no recession
- Military escalations in this conflict have reversed multiple times — diplomatic channels remain open
- NFP June 6: if labor market is healthy tomorrow, recession narrative collapses
- Trump has strong incentive to close Iran deal before it damages US economy and markets