Daily Macro US
S&P 500
7,503.16
-0.11% — flat; tech sold, chips and banks gained
10Y Treasury
4.470%
+2bp — mild post-FOMC drift
Fed Hike Poly (pos-010)
~66%
+9pp — CME-Poly gap fully closed
WTI Crude
$73.67
-3.8% — Iran deal fully priced, oil deflation accelerating
Hormuz Jul 31 (pos-012)
49%
+8pp — insurance recertification advancing
All-Time Realized P&L
+$584.92
+$277.78 today — pos-001 closed
Two portfolio actions today. Primary: closing pos-001 (Inflation 2026 > 4.5% NO) early for +$277.78 (+222% on stake). We entered in May when the market priced 82% probability of CPI exceeding 4.5% YoY at any point in 2026 — we bought the 'no, it won't get that high' side at 18¢. The thesis has played out ahead of schedule: Iran MOU + WTI collapsing from $92 to $73 creates a strong negative energy base effect going forward. May 2026 CPI peaked at 4.2% — the high water mark. With energy now falling, the probability of any remaining month (Jun-Dec) printing 4.5%+ is sharply lower (~42% YES at exit, down from 82% at entry). We extracted 40pp of edge. All-time realized P&L moves to +$584.92. Secondary portfolio headline: Polymarket Hormuz July 31 surged +8pp to 49%, the biggest single-day jump since the June 19 MOU signing — insurance recertification is advancing. Macro backdrop: S&P 500 roughly flat (-0.11%) at 7,503, tech sold hard (MSFT -2.05%, GOOGL -2.76%, META -3.10%) while chip equipment rallied (AMAT +8.72%, AVGO +4.89%). WTI $73.67 (-3.8%). Fed Hike 2026 at 66%. FedEx Q4 FY2026 after close — first quarter as pure logistics post-Freight spinoff. PCE May on Friday June 25 is the week's key catalyst for pos-010.
Today's Market Moves
Inflation 2026 > 4.5% (pos-001)
82%→42%-40pp
CLOSING: -40pp on YES (held NO) = +$277.78 realized (+222% on $125 stake). Entered in May when market priced 82% probability of CPI exceeding 4.5% YoY in any 2026 month. Iran MOU + WTI $73 (from $92) creates a dominant negative energy base effect. May CPI peaked at 4.2% — below the 4.5% threshold. Remaining months have a falling oil tailwind, not headwind. With a 40pp edge extracted and the energy deflation thesis now self-reinforcing, the residual upside (42¢→100¢ if CPI spikes unexpectedly) does not justify holding. Selling NO at ~58¢. CLOSED.
Fed Rate Hike 2026 (pos-010)
57%→66%+9pp
ADVANCING: +9pp to 66% as CME-Poly gap fully closes post-FOMC. Entered at 55c — now +11c profit. October consensus at 57% timing, September at 52%. Next leg requires data: PCE May (June 25) at ≥0.2% MoM keeps pressure on. Notably, closing pos-001 means the inflation-deflation thesis and the rate-hike thesis are now cleanly separated — we are not double-counting. Energy deflation in headline is CONSISTENT with the hike thesis: core/services at 4.2% is what the Fed cares about. HOLD through PCE.
Strait of Hormuz Jul 31 (pos-012)
41%→49%+8pp
RECOVERING STRONGLY: +8pp to 49%, biggest single-day jump since MOU signing. Volume $7.8M (up from $7.3M) — new buyers entering. Insurance recertification advancing; Lloyd's and P&I clubs processing. Now only 8pp below our 57c entry. IMF Portwatch 60/day MA is still the resolution bar, but first bulk transits may start earlier than the July 7-12 base case. July 19 = 30-day MOU compliance checkpoint. HOLD.
Zero Fed Cuts 2026 (pos-013)
87%→90%+3pp
ADVANCING: 90c — near certainty. PCE May (June 25) expected 0.2-0.3% — no cut path visible even with energy deflation in headline, because services/core stay at 4.2%. Approaching resolution. HOLD.
Fed Rate End 2026 = 4.0% (pos-011)
23%→25%+2pp
TICKING UP: 25c as hike odds strengthen to 66%. FV ~30c. HOLD.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Fed Rate Hike 2026 | Dec 2026 | 66% | 70% | +4pp | HOLD YES | $$1.5M | 8/10 |
| 2 | Strait of Hormuz Jul 31 | Jul 31 | 49% | 52% | +3pp | HOLD YES (small stake) | $$7.8M | 6/10 |
| 3 | Zero Fed Cuts 2026 | Dec 31 | 90% | 95% | +5pp | HOLD YES | $$34M | 9/10 |
| 4 | Fed Rate End 2026 = 4.0% | Dec 2026 | 25% | 30% | +5pp | HOLD YES | $$6.6M | 7/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Inflation 2026 > 4.5% — NO
↓ SELL YES-20pp
Market price
42%
Fair value
22%
Gap: -20pp
pos-001 entered in May at 18¢ NO (YES=82¢) when Iran war was driving CPI fears. The Iran MOU (June 19) + WTI falling from $92 to $73 has systematically deflated the inflation risk premium. May CPI peaked at 4.2% YoY — the highest reading was below the 4.5% threshold. Energy base effects from here are negative. Selling NO at 58¢ captures 40pp of the 82-point move we called. Residual upside (58¢ → 100¢) would require an unexpected services/shelter re-acceleration with no energy offset — a tail scenario not worth holding for with the capital better deployed elsewhere. CLOSING.
▵ Bull case
- 40pp extracted from entry — substantial edge realized
- WTI $73 vs $92 → strong negative energy CPI base effect H2
- May 4.2% YoY = high water mark, deflating from here
▿ Bear case
- Services/shelter at 4.2% could drift higher
- Remaining 42¢ → 100¢ upside left on table
- Market could overshoot YES lower
2
Fed Rate Hike in 2026 — YES
↑ BUY YES+4pp
Market price
66%
Fair value
70%
Gap: +4pp
pos-010 at 66c — CME-Poly gap fully closed post-FOMC. +11c profit from 55c entry. October timing at 57%, September at 52%. Note: closing pos-001 actually CLARIFIES this thesis. We are no longer hedging inflation up-and-down; we are now purely expressing 'the Fed hikes because services CPI stays sticky.' The energy deflation that made us exit pos-001 is a headline-only phenomenon — core services at 4.2% is exactly the input the Fed uses for hike decisions. PCE May (June 25) ≥0.2% keeps this on track. HOLD through PCE and NFP July 2.
▵ Bull case
- Poly 66% = CME-Poly gap closed — thesis confirmed
- Core/services CPI 4.2% — Fed hiking into sticky inflation
- Dot plot 9/18 members project 2026 hike
- October timeline consensus at 57%
- Energy deflation is CONSISTENT with hike: lower headline ≠ lower core
▿ Bear case
- At 66%, only 4pp to FV — limited remaining upside
- WTI $73 disinflation might delay hike if it pulls core lower unexpectedly
- PCE May downside surprise would test October timeline
3
Strait of Hormuz Normal by Jul 31 — YES
↑ BUY YES+3pp
Market price
49%
Fair value
52%
Gap: +3pp
pos-012 bounced +8pp to 49% — biggest one-day recovery since MOU signing. Volume $7.8M (new buyers). Insurance recertification advancing; P&I clubs processing after 4 days of visible Iran compliance. Now 8pp below 57c entry. IMF Portwatch 60/day 7-day MA remains the hard resolution bar. If insurance certs clear by July 1-2 (vs July 7-12 base), crossing window shifts to July 16-20 — much better odds vs July 31 deadline. July 19 = 30-day MOU compliance checkpoint. HOLD.
▵ Bull case
- Insurance recert advancing faster than feared
- Volume $7.8M — real buyers at near-even odds
- Iran compliant days 1-4 of MOU
- Oil market fully pricing normalization (WTI $73)
▿ Bear case
- IMF Portwatch 60/day MA still the hard physical constraint
- Bürgenstock nuclear track fragility = IRGC compliance risk
4
Zero Fed Rate Cuts in 2026 — YES
↑ BUY YES+5pp
Market price
90%
Fair value
95%
Gap: +5pp
pos-013 at 90c, entered at 77c (+13c). Energy deflation (WTI $73) will pull headline PCE lower but core/services stays at 4.2%. The Fed does not cut with core 200bp above target. Warsh dropped easing bias; dot plot shows zero projected cuts. Resolution Dec 31. Hold.
▵ Bull case
- Dot plot: zero projected cuts
- Core CPI 4.2% — no cut justification
- Warsh explicitly anti-easing
▿ Bear case
- Energy disinflation could surprise on headline PCE by Q4
5
Fed Rate End 2026 = 4.0% — YES
↑ BUY YES+5pp
Market price
25%
Fair value
30%
Gap: +5pp
pos-011 at 25c (up from 23c). One 25bp hike → 4.0% upper bound. Hike probability 66% → FV ~30c. Small $25 stake. HOLD.
▵ Bull case
- Hike 66% → FV 30c
- One 25bp hike = YES
▿ Bear case
- Still -9pp from entry at 34c