Daily Macro US
WTI Crude
$93.63
+3.4% — Hormuz risk
S&P 500
7,537
+0.4% futures
April CPI YoY
3.8%
May prints Jun 10
May U/E
4.3%
NFP +172K confirmed
PCE (Mar)
3.5%
Zero cuts priced
GDPNow Q2
~4.3%
Recession risk low
WTI surges to $93.63 (+3.4%) on Iran-Israel renewed strikes and Strait of Hormuz risk. S&P 500 futures up near 7,537 — tech leading despite oil shock. May CPI releases TOMORROW (June 10) — the week's defining event. Three open positions (pos-006, 007, 008) resolve on that print; Cleveland Fed nowcast at 0.2–0.3% MoM / 3.3–3.5% YoY points strongly in our favour. FOMC June 16–17 is a near-certain hold. BoJ June 16 hike probability hit 97%. pos-005 (May U/E = 4.3% YES) officially closed after BLS confirmed June 5 — first realized win: +$48.53.
Today's Market Moves
pos-005 CLOSED
34%→100%+66pp
May U/E = 4.3% YES resolved correctly on Jun 5. Realized P&L: +$48.53. First closed win.
Inflation >4.5%
62%→35%-27pp
Down from Jun 5 as Iran risk partially priced in. WTI $93.63 adds inflation tail risk. Gap -3pp vs fair value.
US Unemp >=5.0%
34%→22%-12pp
Collapsing post-NFP. U/E 4.3% confirmed. Gap now -10pp in our favor.
US Unemp >=6.0%
15%→11%-4pp
Continued drift lower. 11% YES — very favorable for our NO position.
BoJ +25bp Jun 16
57%→97%+40pp
Bloomberg confirms BoJ officials mulling June hike. Surged to near-certainty — 8 days to resolution.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | CPI May MoM 0.6% | Jun 10 | 33% | 5% | -28pp | SELL YES | $$17K | 9/10 |
| 2 | CPI May YoY 4.3% | Jun 10 | 28% | 4% | -24pp | SELL YES | $$164K | 9/10 |
| 3 | CPI May YoY >=4.4% | Jun 10 | 14% | 2% | -12pp | SELL YES | $$164K | 9/10 |
| 4 | US Unemp >=5.0% | Dec 2026 | 22% | 12% | -10pp | SELL YES | $$450K | 8/10 |
| 5 | Inflation >5% | Dec 2026 | 25% | 8% | -17pp | SELL YES | $$400K | 7/10 |
| 6 | US Unemp >=5.5% | Dec 2026 | 19% | 6% | -13pp | SELL YES | $$300K | 7/10 |
| 7 | US Recession 2026 | Dec 2026 | 22% | 12% | -10pp | SELL YES | $$890K | 8/10 |
| 8 | US Unemp >=6.0% | Dec 2026 | 11% | 5% | -6pp | NEUTRAL | $$1M | 9/10 |
| 9 | Fed Rate <3.0% | Dec 2026 | 10% | 2% | -8pp | NEUTRAL | $$1M | 9/10 |
| 10 | Inflation >4.5% | Dec 2026 | 35% | 32% | -3pp | SELL YES | $$1M+ | 7/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
CPI May MoM = 0.6% — NO
↓ SELL YES-28pp
Market price
33%
Fair value
5%
Gap: -28pp
Resolves TOMORROW (June 10). Cleveland Fed nowcast at 0.2–0.3% MoM — far below the 0.6% threshold. May data is entirely pre-Iran escalation (June 3+), so the energy spike is irrelevant. Market pricing 33% for a reading that nowcast models say is essentially impossible. We hold NO (pos-006). Maximum certainty window: 1 day to resolution.
▵ Bull case
- MoM inflation could surprise on services
- Shelter CPI has been sticky at 4%+
▿ Bear case
- Cleveland nowcast 0.2-0.3%
- May CPI pre-dates Iran escalation
- April MoM came in at 0.3%
2
CPI May YoY = 4.3% — NO
↓ SELL YES-24pp
Market price
28%
Fair value
4%
Gap: -24pp
Resolves tomorrow. Cleveland nowcast 3.3–3.5% YoY — a 4.3% print would require a 0.8pp deviation from the nowcast consensus. April CPI YoY was 3.8%; May cannot jump 0.5pp in one month given pre-escalation data. Market still pricing 28% for this. We hold NO (pos-007).
▵ Bull case
- Nowcast models can be wrong
- Shelter and services could surprise
▿ Bear case
- April was 3.8% YoY — 4.3% requires +0.5pp jump
- Cleveland nowcast 3.3-3.5%
- All May data pre-Iran
3
CPI May YoY >= 4.4% — NO
↓ SELL YES-12pp
Market price
14%
Fair value
2%
Gap: -12pp
Resolves tomorrow. Entry was 38% YES, market has already collapsed to 14%. Nowcast 3.3–3.5% makes 4.4%+ essentially impossible. Holding NO (pos-008) for final resolution.
▵ Bull case
- Energy pass-through could spike shelter readings
▿ Bear case
- Market already moved from 38% to 14%
- Nowcast 3.3-3.5% far below threshold
4
US Recession 2026 — NO
↓ SELL YES-10pp
Market price
22%
Fair value
12%
Gap: -10pp
NFP +172K and U/E 4.3% confirm no labor market deterioration. GDPNow Q2 at 4.3%. S&P 500 near 7,537. Iran supply shock is a risk but Q2 growth is robust. Market at 22% vs fair value 12% — 10pp gap. Holding NO (pos-009).
▵ Bull case
- Iran escalation could trigger supply-shock recession
- WTI $93 = consumer spending headwind
▿ Bear case
- GDPNow Q2 4.3%
- NFP +172K, U/E stable 4.3%
- S&P 500 near all-time highs
5
Inflation 2026 > 4.5% — NO
↓ SELL YES-3pp
Market price
35%
Fair value
32%
Gap: -3pp
WTI at $93.63 on Hormuz risk has compressed the gap to near-zero. Annual average >4.5% still requires Jun–Dec monthly CPI averaging >0.5% — demanding. Iran escalation is a genuine tail risk. Position (pos-001) held at current confidence. May CPI tomorrow is the near-term read.
▵ Bull case
- WTI $93 on Hormuz disruption
- Iran escalation could sustain energy inflation
- Shelter CPI still sticky at 4%+
▿ Bear case
- Annual avg >4.5% needs 5.1%+ for rest of year
- H2 oil trajectory could reverse on ceasefire
- Cleveland nowcast 3.3-3.5% for May