Daily Macro US
S&P 500
7,500.58
+1.08% chip-led Monday bounce
10Y Treasury
4.451%
Stable post-FOMC
Fed Hike Poly (pos-010)
~57%
October consensus 52%, Sep 42%
WTI Crude
$76.54
+0.91% Lebanon hedge bid
USD/JPY
161.27
Extreme yen weakness — BoJ Sep watch live
Hormuz Jul 31 (pos-012)
41%
-5pp over weekend — insurance ramp the bottleneck
Monday bounce after Juneteenth weekend. S&P +1.08% to 7,500.58, Nasdaq +1.91% — tech chips led the rally. Intel +10.64% to $133.99 (all-time highs) on ongoing excitement around the Apple US foundry partnership; NVIDIA +2.95%. Lebanon risk partially faded over the weekend: Israel-Hezbollah ceasefire agreed, Bürgenstock talks resumed with delegations arriving Sunday June 21 and Vance in Switzerland. WTI ticked to $76.54 (+0.91%) on residual Lebanon uncertainty but held below $77. Gold sold off -1.72% in risk-on fashion. USD/JPY hit 161.27 — extreme yen weakness that puts BoJ September hike firmly back on watch. The portfolio's key development: Poly Hormuz July 31 slipped from 46% to 41% over the weekend. The market is pricing the hard physics of the IMF Portwatch ramp — 60 transit calls/day (7-day moving average) from a near-zero base. Blockade physically lifted June 19. Insurance recertification takes 2-3 weeks (earliest bulk transit window: July 7-12). Then need ~2 weeks at 60+/day to establish the MA. That's a July 21-26 window to cross the bar — barely clearing July 31. Market pricing it right at coin-flip. July 19 = 30-day MOU checkpoint (Iran must be in full compliance or deal is in breach). This week: FedEx/Carnival earnings June 23, Micron June 24, PCE May + Q1 GDP final + Fed stress tests June 25. PCE is the next catalyst for pos-010.
Today's Market Moves
Fed Rate Hike 2026 (pos-010)
57%→57%0pp
STABLE: Fed hike odds unchanged at 57%. October now the consensus meeting (52%), September at 42%. CME FedWatch ~66%. The 9pp gap to CME persists — Poly has not fully converged. PCE May (June 25) is the next catalyst: a hot print above 0.3% MoM would push hike odds higher; a miss below 0.2% tests the thesis. HOLD through PCE and July 2 NFP.
Fed Rate End 2026 = 4.0% (pos-011)
21%→23%+2pp
SLIGHT RECOVERY: Small move back toward 23c. Thesis unchanged — one 25bp hike resolves YES. Same PCE catalyst as pos-010. Small $25 stake. HOLD.
Strait of Hormuz Jul 31 (pos-012)
46%→41%-5pp
SLIDING: Down to 41% from 46% on June 19 — a 5pp drop over the Juneteenth weekend. Market is correctly pricing the IMF Portwatch mechanics: 60 transit calls/day (7-day MA) from near-zero. Blockade lifted June 19. Insurance recertification window: 2-3 weeks → bulk transits earliest July 7-12. Need ~2 weeks at 60+/day to establish the MA → crosses the bar July 21-26 at best. Barely clears July 31. July 19 = 30-day MOU milestone (key compliance checkpoint). At 41c, the market is at roughly our updated FV. Entry was 57c (-16pp). HOLD — small $25 stake, asymmetric if tanker traffic ramps faster than expected.
Zero Fed Cuts 2026 (pos-013)
84%→87%+3pp
ADVANCING: Ticking toward resolution. Core CPI 4.2%, easing bias dropped, dot plot removes last projected cut. Near-certain. Approaching 90c. HOLD to Dec 31 resolution.
US Recession 2026 (pos-009)
11%→10%-1pp
EXITING: Reached our stated exit level of 10% YES. FV ~8% — only 2pp gap remaining on a $200 stake (~$4 of expected upside). PCE May (June 25) carries two-way risk with no reward asymmetry at current levels. We extracted the bulk of the edge from 28% YES entry (held NO). CLOSING pos-009 this session.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Fed Rate Hike 2026 | Dec 2026 | 57% | 64% | +7pp | HOLD YES | $$1.5M | 7/10 |
| 2 | Strait of Hormuz Jul 31 | Jul 31 | 41% | 44% | +3pp | HOLD YES (small stake) | $$7.3M | 5/10 |
| 3 | Zero Fed Cuts 2026 | Dec 31 | 87% | 93% | +6pp | HOLD YES | $$34M | 9/10 |
| 4 | Fed Rate End 2026 = 4.0% | Dec 2026 | 23% | 30% | +7pp | HOLD YES | $$6.6M | 6/10 |
| 5 | US Recession 2026 | Jan 2027 | 10% | 8% | -2pp | EXIT — CLOSING pos-009 | $$1.5M | 9/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Fed Rate Hike in 2026 — YES
↑ BUY YES+7pp
Market price
57%
Fair value
64%
Gap: +7pp
Poly hike 2026 at 57%, CME FedWatch ~66% — a persistent 9pp gap. October now the consensus meeting at 52% probability on the timing market. Dot plot showed 9/18 FOMC members hawkish, easing bias dropped. Entry at 55c — currently +2pp in profit. PCE May (June 25) is the next major data point: a hot print would widen the CME-Poly gap and push Poly higher; a miss tests the Oct consensus. HOLD. NFP July 2 and CPI July 14 are the key summer catalysts.
▵ Bull case
- 9 of 18 FOMC dots project 2026 hike — institutional majority
- CME FedWatch ~66% vs Poly 57% — 9pp gap still to close
- October timing consensus at 52% — first time October named primary meeting
- Core CPI 4.2% — no disinflation yet to justify pause
- PCE May Jun 25 likely 0.2-0.3% — keeps pressure on
▿ Bear case
- WTI dropped from $92 to $76 — energy disinflation filters into PCE by Q3
- Warsh non-committal (abstained from dot) — could stay vague at Sep meeting
- Poly has already priced 57% — less upside than at 37% entry
2
Strait of Hormuz Normal by Jul 31 — YES
↑ BUY YES+3pp
Market price
41%
Fair value
44%
Gap: +3pp
pos-012 slipped to 41% over the weekend — down from our 57c entry (-16pp). The market is correctly pricing the IMF Portwatch mechanics: resolution requires a 7-day moving average of transit calls ≥ 60/day. Pre-blockade was ~100+/day; current is near-zero. Physical blockade lifted June 19. Insurance recertification (Lloyd's, Marsh, specialist P&I clubs) typically takes 2-3 weeks — putting first bulk transits earliest July 7-12. To establish a 60/day MA takes another ~2 weeks. That's a July 21-26 crossing window — barely before July 31. The market at 41% is roughly pricing our updated FV. Entry was 57c — at 41c we're -16pp. Small $25 stake limits downside. July 19 = 30-day MOU compliance checkpoint (Iran must show full Hormuz access). If tanker traffic ramps faster (some flag states may accelerate), 41c is cheap. HOLD.
▵ Bull case
- MOU signed June 19 — 30-day compliance clock running
- US blockade formally lifted — first tankers moving
- July 31 gives 12-day buffer past July 19 milestone
- Insurance recert could accelerate if IRGC visibly compliant
- Oil market pricing Hormuz normalization (WTI down from $92)
▿ Bear case
- IMF Portwatch 60/day MA requires 3x ramp from current near-zero
- Insurance recertification 2-3 weeks = tight timeline
- Lebanon uncertainty creates IRGC compliance risk
- Bürgenstock talks paused then resumed — diplomatic fragility
3
Zero Fed Rate Cuts in 2026 — YES
↑ BUY YES+6pp
Market price
87%
Fair value
93%
Gap: +6pp
pos-013 at 87c, entered at 77c — +10c profit. Easing bias dropped. Dot plot projects zero cuts — some dots show hikes. Core CPI 4.2% with energy deflation not yet in services/shelter. There is simply no data path to a 2026 cut with current CPI. Approach 90-95c as catalysts land. Resolution Dec 31.
▵ Bull case
- Dot plot explicitly removes last projected cut
- Core CPI 4.2% — zero basis for cutting
- Easing bias dropped, neutral stance locked in
▿ Bear case
- Energy deflation (WTI $76) could push core PCE lower by Q4 — but not enough for a cut
4
Fed Rate End 2026 = 4.0% — YES
↑ BUY YES+7pp
Market price
23%
Fair value
30%
Gap: +7pp
At 23c, recovered 2pp from the 21c low. One 25bp hike → 4.0% rate = YES. Modal post-hike outcome. Complementary to pos-010. $25 stake. PCE May June 25 same catalyst. HOLD.
▵ Bull case
- One hike from 3.75% upper bound → 4.0%
- Hike probability 57% = FV ~28-30c
- October timing now consensus
▿ Bear case
- Still -11pp from entry at 34c
5
US Recession 2026 — NO
↓ SELL YES-2pp
Market price
10%
Fair value
8%
Gap: -2pp
pos-009 has reached our stated exit level of 10% YES. Entered at 28% YES (held NO) — extracted ~18pp of edge. FV is ~8% YES, leaving only a 2pp gap on a $200 stake. That's ~$4 of expected upside. Meanwhile PCE May prints June 25: a surprise miss could temporarily spike recession odds, moving this position against us for no fundamental reason. The right trade is to close here and redeploy the capital. CLOSING pos-009.
▵ Bull case
- GDPNow Q2 4.3%
- NFP +172K, U/E 4.3% — labor market solid
- Iran deal = energy consumer relief
- S&P +1.08% today — no recession fear in markets
▿ Bear case
- Gap to FV now only -2pp — limited upside from current level