Daily Macro US
WTI Crude
~$93
$91–$95 range today
S&P 500
7,427
+0.6% Jun 8 close
April CPI YoY
3.8%
May prints 8:30am Jun 10
CPI May Consensus
~4.2%
52% market / 4.05% nowcast
Fed Rate
3.50–3.75%
Hold 99% — Jun 16-17
May U/E
4.3%
NFP +172K — stable
CPI releases TOMORROW at 8:30am ET — three positions (pos-006, 007, 008) resolve simultaneously. Market consensus shifted since yesterday: Polymarket now prices 4.2% YoY at 52% and 4.3% at 36%, while Cleveland nowcast revised up to ~4.05% (was 3.3–3.5%). Our NO positions on 4.3% and 4.4%+ remain favorable — consensus is still below our threshold. CPI MoM 0.6% YES collapsed from 33% to 18% — our best-positioned resolve. WTI range $91–$95 today. ECB hikes in 2 days (June 11, 91%). FOMC hold in 7 days (99%).
Today's Market Moves
CPI May MoM 0.6%
33%→18%-15pp
YES collapsed from 33% to 18% — market aligning with consensus 0.5% MoM. Our NO (pos-006) resolves tomorrow.
CPI May YoY 4.3%
28%→36%+8pp
YES crept up from 28% to 36% as nowcast revised to ~4.05% (uncertainty higher). Still below 4.3% threshold — NO (pos-007) intact.
CPI May YoY >=4.4%
14%→10%-4pp
Continued drift lower. Leading outcome is 4.2% — 4.4%+ essentially ruled out. NO (pos-008) very favorable.
Cleveland Nowcast
34%→41%+7pp
Nowcast revised up to ~4.05% YoY from prior 3.3–3.5%. Still below 4.3% threshold but gap to our positions narrowed.
US Recession 2026
22%→19%-3pp
Drifted to 19% YES. S&P 7,427, GDPNow ~4.3%, NFP +172K — fundamentals hold. Gap -7pp in our favor (pos-009).
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | CPI May MoM 0.6% | Jun 10 | 18% | 5% | -13pp | SELL YES | $$17K | 9/10 |
| 2 | CPI May YoY >=4.4% | Jun 10 | 10% | 2% | -8pp | SELL YES | $$164K | 9/10 |
| 3 | CPI May YoY 4.3% | Jun 10 | 36% | 10% | -26pp | SELL YES | $$164K | 8/10 |
| 4 | US Unemp >=5.0% | Dec 2026 | 22% | 12% | -10pp | SELL YES | $$450K | 8/10 |
| 5 | US Recession 2026 | Dec 2026 | 19% | 12% | -7pp | SELL YES | $$890K | 8/10 |
| 6 | Inflation >4.5% | Dec 2026 | 35% | 30% | -5pp | SELL YES | $$1M+ | 7/10 |
| 7 | US Unemp >=5.5% | Dec 2026 | 18% | 6% | -12pp | SELL YES | $$300K | 7/10 |
| 8 | US Unemp >=6.0% | Dec 2026 | 11% | 5% | -6pp | NEUTRAL | $$1M | 9/10 |
| 9 | Fed Rate <3.0% | Dec 2026 | 10% | 2% | -8pp | NEUTRAL | $$1M | 9/10 |
| 10 | Inflation >5% | Dec 2026 | 24% | 8% | -16pp | SELL YES | $$400K | 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-13pp
Market price
18%
Fair value
5%
Gap: -13pp
Resolves in 12 hours. YES has collapsed from 33% (our entry) to 18% — pure alpha. Consensus 0.5% MoM (58% market), April came in at 0.6% which was energy-driven and pre-Iran. May data entirely pre-escalation. Core MoM expected 0.2–0.3%. Holding NO (pos-006) to resolution.
▵ Bull case
- Shelter CPI sticky at 4%+
- Services inflation remains elevated
▿ Bear case
- Market consensus 0.5% MoM (58% probability)
- April 0.6% was energy-driven — may not repeat
- Cleveland nowcast well below 0.6%
2
CPI May YoY = 4.3% — NO
↓ SELL YES-26pp
Market price
36%
Fair value
10%
Gap: -26pp
YES crept to 36% as nowcast revised up to ~4.05%. Still, market-leading outcome is 4.2% (52%) — 4.3% would require a 0.35pp overshoot above the nowcast. Risk increased slightly but position intact. Holding NO (pos-007) to tomorrow's resolution.
▵ Bull case
- Nowcast revised up to ~4.05% — only 0.25pp from 4.3%
- Shelter and services could push above consensus
▿ Bear case
- Market consensus: 4.2% leads at 52%
- Nowcast still below 4.3% threshold
- All May data pre-Iran energy spike
3
CPI May YoY >= 4.4% — NO
↓ SELL YES-8pp
Market price
10%
Fair value
2%
Gap: -8pp
Highest conviction resolve tomorrow. Entry was 38% YES, now 10%. Leading market outcome is 4.2% — 4.4%+ requires ~0.35pp above nowcast AND above the dominant consensus. Essentially ruled out by the data. Holding NO (pos-008).
▵ Bull case
- Black swan energy spike not captured in May data
▿ Bear case
- 4.2% is 52% market consensus
- Nowcast 4.05% — far below 4.4%
- Already moved from 38% to 10% YES
4
US Recession 2026 — NO
↓ SELL YES-7pp
Market price
19%
Fair value
12%
Gap: -7pp
Drifted from 22% to 19% YES — moving in our direction. GDPNow Q2 ~4.3%, S&P 7,427, U/E 4.3% stable. Iran tensions persist but no labor market signal. FOMC hold confirms no distress. Holding NO (pos-009).
▵ Bull case
- WTI $93+ = consumer spending headwind
- Iran escalation risk remains elevated
▿ Bear case
- GDPNow Q2 4.3%
- NFP +172K, U/E stable
- S&P near highs at 7,427
5
Inflation 2026 > 4.5% — NO
↓ SELL YES-5pp
Market price
35%
Fair value
30%
Gap: -5pp
May CPI tomorrow is the key read for this position. If print comes in near consensus 4.2%, annual trajectory to 4.5%+ annual avg remains demanding. WTI $93 keeps the gap tight. Holding NO (pos-001) — tomorrow's print may shift confidence significantly.
▵ Bull case
- WTI $93 on Hormuz disruption
- Nowcast revised up to 4.05% — June could sustain
▿ Bear case
- Annual avg >4.5% needs H2 CPI to average 5.1%+
- May print expected ~4.2% — gap to threshold still large
- H2 oil could reverse on ceasefire