Daily Macro US
S&P 500
~7,520
+1.2% futures on Iran deal
WTI Crude
~$82
-$4 from Fri, -$10 from ref
10Y Treasury
~4.45%
Falling on disinflation
Fed Hike Poly (pos-010)
38%
-17pp from 55c entry
FOMC Presser
Tomorrow
Jun 17, Warsh tone = reset
Iran Deal
CONFIRMED
Signing Jun 19, Hormuz 30d
Iran deal confirmed — Warsh presser tomorrow is everything. Trump announced Sunday night 'the deal is now complete.' US-Iran MOU signed: war ends, Strait of Hormuz reopens within 30 days, 60 days of nuclear talks. Signing ceremony in Switzerland June 19. Market reaction: WTI crashed to ~$82 (three-month low, -5% from Friday, -$10 from our Jun 10 ref), Nikkei +5.5% to record 69K, S&P futures +1.24%. Polymarket Fed hike 2026 dropped to 38% — adverse 17pp from our pos-010 entry at 55c. This is the maximum-pressure test for our hike thesis. The core thesis: Iran deal removes the energy CPI premium, NOT core inflation. Services, shelter, wages — all unaffected. Warsh presser (Jun 17) will separate energy from core. If he signals Oct/Dec hike vigilance on core CPI, pos-010 re-rates sharply. FOMC starts today (Jun 16), decision + presser Jun 17. Fed in blackout. Hold pos-010 through presser — do not exit into the panic.
Today's Market Moves
Fed Rate Hike 2026 (pos-010)
50%→38%-12pp
ADVERSE: Polymarket 38% (was 55c entry, was 50.5c last update). Iran deal confirmed = maximum disinflation panic. Core thesis intact: energy ≠ core CPI. Services, shelter, wages unaffected. CME still ~55% for at least one hike. Gap ~17pp. HOLD through Warsh presser June 17. Do not exit into the dip. Invalidation: Warsh explicitly signals no 2026 hike.
Fed Rate End 2026 = 4.0% (pos-011)
34%→22%-12pp
ADVERSE: If hike probability compressed to 38%, 4.0% outcome re-priced to ~20-22c. One-hike modal outcome but overall hike probability fell. Holding $25 stake through presser. Same catalyst as pos-010.
US Recession 2026 (pos-009)
17%→13%-4pp
IMPROVING: Iran deal = geopolitical de-escalation, oil supply normalization, consumer relief. WTI $82 is a real-wage boost for households. Market pricing closer to 13% YES. Our NO at 28% YES entry is comfortably profitable.
Inflation 2026 > 4.5% (pos-001)
32%→24%-8pp
IMPROVING: WTI $82 structurally removes the energy premium. Annual avg >4.5% now requires Jun-Dec to run at ~5%+ avg YoY with energy deflating. Pos-001 NO improving significantly.
pos-012 ENTERED
0%→57%+57pp
NEW: Strait of Hormuz normal by Jul 31 YES at 57c. $25 stake. Iran MOU confirms reopening within 30 days of Jun 19 signing = by Jul 19. Jul 31 gives 12-day buffer. FV ~85%. Gap +28pp.
pos-013 ENTERED
0%→77%+77pp
NEW: Zero Fed rate cuts in 2026 YES at 77c. $7 stake. Core CPI 4.2% — cuts off table even with Iran disinflation. FV ~87%. Gap +10pp.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Fed Rate Hike 2026 | Dec 2026 | 38% | 55% | +17pp | HOLD YES | $$1.5M | 6/10 |
| 2 | Fed Rate End 2026 = 4.0% | Dec 2026 | 22% | 32% | +10pp | HOLD YES | $$6.6M | 6/10 |
| 3 | US Recession 2026 | Jan 2027 | 13% | 8% | -5pp | SELL YES | $$1.5M | 8/10 |
| 4 | Inflation > 4.5% | Dec 2026 | 24% | 15% | -9pp | SELL YES | $$1M+ | 8/10 |
| 5 | US Unemp >=5.0% | Dec 2026 | 22% | 11% | -11pp | SELL YES | $$450K | 8/10 |
| 6 | US Unemp >=5.5% | Dec 2026 | 18% | 5% | -13pp | SELL YES | $$300K | 7/10 |
| 7 | June CPI MoM >0.5% | Jul 15 | 30% | 38% | +8pp | BUY YES | $$25K | 5/10 |
| 8 | Fed Rate <3.0% | Dec 2026 | 8% | 1% | -7pp | NEUTRAL | $$1M | 9/10 |
| 9 | US Unemp >=6.0% | Dec 2026 | 10% | 4% | -6pp | NEUTRAL | $$1M | 8/10 |
| 10 | Inflation >5% | Dec 2026 | 18% | 7% | -11pp | SELL YES | $$400K | 8/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Fed Rate Hike in 2026 — YES
↑ BUY YES+17pp
Market price
38%
Fair value
55%
Gap: +17pp
Our most-tested position. Polymarket dropped from 55% (entry Jun 10) to 38% on Iran deal confirmation. The market is pricing out the energy-driven inflation scenario — correctly. But our thesis was always core CPI: services, shelter, and wages at 4.2% YoY baseline are sticky and unresponsive to oil prices. CME FedWatch shows ~55% total hike probability (futures traders still pricing action). The gap thesis resurfaces at 17pp. The decisive read comes in 36 hours: Warsh Jun 17 presser. If he separates core inflation from energy and signals H2 vigilance, pos-010 re-rates from 38c back toward 50-55c. Holding. Do not exit into the panic.
▵ Bull case
- Core CPI sticky — services/shelter/wages unaffected by Iran deal
- CME ~55% total hike vs Polymarket 38% = 17pp gap reopen
- Warsh presser Jun 17 — hawkish read re-rates immediately
- Strait reopens in 30 days — oil relief is gradual not instant
▿ Bear case
- WTI $82 = May-June CPI energy component sharply lower
- If June CPI (Jul 14) prints below 4.0%, hike case weakens materially
- Polymarket at 38% is now approaching FV if true hike probability is 40-42%
- Warsh may acknowledge disinflation and signal hold-through
2
Fed Rate End 2026 = 4.0% — YES
↑ BUY YES+10pp
Market price
22%
Fair value
32%
Gap: +10pp
Repriced to ~22c as hike probability fell. At $25 stake, the cost of holding through Warsh is low relative to the upside if he signals hawkish. If hike probability recovers to 50%+, 4.0% recovers to 30-35c. Holding.
▵ Bull case
- One hike = 4.0% — still modal if any hike occurs
- Warsh recovery = symmetric upside
▿ Bear case
- Hike probability compressed
- Two-position correlated risk
3
US Recession 2026 — NO
↓ SELL YES-5pp
Market price
13%
Fair value
8%
Gap: -5pp
Iran deal = geopolitical de-escalation + oil supply normalization + consumer relief. WTI $82 is a real-wage boost. Market drifting to ~13% YES from 28% at our NO entry. GDPNow Q2 4.3% unchanged. Pos-009 strongly in profit.
▵ Bull case
- Oil normalization = consumer tailwind
- NFP +172K, U/E 4.3%
▿ Bear case
- Rate hike risk still exists — but diminished
4
Inflation 2026 > 4.5% — NO
↓ SELL YES-9pp
Market price
24%
Fair value
15%
Gap: -9pp
With WTI at $82 and Strait reopening in 30 days, energy base effects flip sharply negative for Jun-Dec 2026. Annual avg >4.5% now requires core CPI to re-accelerate. Pos-001 NO is our strongest-conviction position post-deal. Gap -9pp. Hold.
▵ Bull case
- Core services still sticky
▿ Bear case
- Energy deflation hard-wires lower annual avg
- WTI $82 = rapid base effect flip
5
Strait of Hormuz Normal by Jul 31 — YES
↑ BUY YES+28pp
Market price
57%
Fair value
85%
Gap: +28pp
The clearest mispricing in today's market. Iran MOU signed: Strait of Hormuz reopens within 30 days of June 19 formal signing = by July 19. The July 31 market gives 12 extra days of buffer. At 57¢, the market is not fully reflecting a confirmed, signed, date-specific commitment. FV ~85% given deal confirmation. Gap +28pp — strongest edge in current portfolio. Entered YES at 57¢, $25 stake (pos-012).
▵ Bull case
- MOU signed and confirmed by both parties
- Formal signing June 19 in Switzerland — 30-day countdown starts
- July 31 gives 12-day buffer beyond July 19 commitment date
- US Navy present in region to enforce — Iran has incentive to comply
▿ Bear case
- Iran hardliners could block implementation
- Definition of 'normal traffic' ambiguous — IRGC may claim partial compliance
- Trump could reverse if nuclear talks stall
6
Zero Fed Rate Cuts in 2026 — YES
↑ BUY YES+10pp
Market price
77%
Fair value
87%
Gap: +10pp
Even with Iran deal removing the energy premium, core CPI (services, shelter, wages) is running at 4.2% YoY — 200bp above target. The Fed won't cut with core this elevated. Iran deal disinflation takes 3-6 months to flow through. Warsh's mandate is inflation-fighter. Zero cuts at 77¢ is underpriced at FV ~87%. $7 stake (pos-013).
▵ Bull case
- Core CPI 4.2% — not cutting with inflation 200bp above target
- Iran deal disinflation is gradual (3-6 months lag)
- Warsh hawkish — no rush to cut
- $34M volume = liquid market
▿ Bear case
- If June+July CPI print sub-3% on energy base, market prices cuts
- Iran deal could accelerate disinflation faster than expected