Daily Macro US
S&P 500
7,365.46
-1.8% June 23 final — tech/semi selloff; Jun 24 futures mixed
10Y Treasury
4.51%
+4bp — BoA hike note, bond market pricing hike risk
Fed Hike Poly (pos-010)
~67%
+1pp — BoA imminent hike note validates thesis
WTI Crude
$72.48
-1.00% pre-market — Iran disinflation continues; below $73
Hormuz Jul 31 (pos-012)
47%
-2pp from 49% — slight retreat, volume $8.2M (rising)
Free Capital
$325
Staged for PCE May print — tomorrow June 25
Morning brief (pre-market 4:43 AM ET). June 23 actual close: S&P 500 7,365.46 (-1.8% from 7,500.58 on June 22), Nasdaq 25,587.04 (-2.21%), Dow 51,666.84 (-0.09%) — note our intraday snapshot at 11:05 AM on June 23 read S&P at ~7,503; the full day selloff accelerated into the close. The June 23 catalyst: Bank of America published a 'rate hike imminent' note that drove a broad tech/semi selloff amplified by Asian chip weakness overnight. Micron (MU) led the decline, falling -11.4% to ~$1,074 ahead of tonight's Q3 earnings. On June 24 pre-market: South Korea Kospi is rebounding +3% as the semi selloff partially reverses. US futures mixed. WTI now at $72.48 (pre-market, -1.00%) — the Iran deal disinflation continues. 10Y at 4.51% (+4bp) — bond market not flinching on hike path despite oil at $72. Today's two after-close events: (1) Micron Q3 earnings — consensus $34.66B revenue, $19.95 EPS, ~81% gross margin; HBM capacity fully booked through 2026; options pricing a 17% move. This is the AI memory cycle's clearest earnings signal. (2) Fed annual stress test results at 4 PM ET, 32 banks under a 10% unemployment scenario — all expected to pass, clearing the path for buyback/dividend announcements. TOMORROW: PCE May releases June 25 — the week's and portfolio's primary catalyst. Portfolio: BoA's hike note validates pos-010. WTI $72 confirms pos-001 exit was correct — energy deflation thesis fully priced. $325 free capital awaiting PCE print before redeployment. Do not add to pos-010 before PCE.
Today's Market Moves
Fed Rate Hike 2026 (pos-010)
66%→67%+1pp
VALIDATING: BoA 'rate hike imminent' note June 23 confirms institutional hike consensus aligning with our thesis. Poly ticks to 67%. We are +12pp from 55c entry. PCE May tomorrow (June 25) is the critical next data: a hot print (>=0.2% MoM core PCE) keeps October hike timeline intact and should push Poly toward 70%+. A miss (<0.1%) tests the thesis — but WTI $72 lowers headline PCE only, not core services at 4.2%. HOLD through PCE. Capital deployment decision tomorrow post-print.
Strait of Hormuz Jul 31 (pos-012)
49%→47%-2pp
SLIGHT RETREAT: 47% from 49%. Volume $8.2M (up from $7.8M) — buyers still engaged. Insurance recertification clock continues. No adverse compliance news. July 19 MOU checkpoint key. Small $25 stake. HOLD.
Zero Fed Cuts 2026 (pos-013)
90%→91%+1pp
ADVANCING: 91c. BoA hike note June 23 makes a 2026 cut logically impossible — you cannot hike and cut in the same year with core CPI at 4.2%. Approaching resolution. HOLD.
Fed Rate End 2026 = 4.0% (pos-011)
25%→25%0pp
STABLE: 25c. One 25bp hike = YES. Same PCE catalyst as pos-010. FV ~30c. HOLD.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Fed Rate Hike 2026 | Dec 2026 | 67% | 72% | +5pp | HOLD YES | $$1.5M | 8/10 |
| 2 | Strait of Hormuz Jul 31 | Jul 31 | 47% | 52% | +5pp | HOLD YES | $$8.2M | 6/10 |
| 3 | Zero Fed Cuts 2026 | Dec 31 | 91% | 95% | +4pp | HOLD YES | $$34M | 9/10 |
| 4 | Fed Rate End 2026 = 4.0% | Dec 2026 | 25% | 30% | +5pp | HOLD YES | $$6.6M | 7/10 |
| 5 | BoJ Sep 2026 Second Hike | Sep 2026 | 50% | 60% | +10pp | WATCH — entry after Japan Jul CPI | $TBD | 6/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Fed Rate Hike in 2026 — YES
↑ BUY YES+5pp
Market price
67%
Fair value
72%
Gap: +5pp
BoA 'rate hike imminent' note on June 23 drove the tech selloff and confirms institutional hike consensus. Poly ticks to 67% — +12pp from entry. WTI at $72 is headline-deflationary but core services sit at 4.2%; the BoA note focuses on core/services persistence. Tomorrow's PCE May print is the pivotal data: (a) hot print >0.2% MoM core PCE would push Poly toward 70-72%, near FV; (b) a miss would test the position but is less likely given May CPI printed 4.2%. $325 free capital staged for post-PCE deployment — do not add before the print. HOLD.
▵ Bull case
- BoA 'imminent hike' note confirms institutional hike consensus June 23
- 10Y at 4.51% — bond market pricing hike risk
- CME FedWatch ~66-68% — Poly has fully converged
- Core CPI 4.2% = no data path to skip October hike
- WTI $72 lowers headline PCE only, not core/services
▿ Bear case
- At 67%, only 5pp to FV — most of the edge already extracted
- PCE May downside miss would test October timeline
- Micron/tech selloff suggests market not fully buying hike-with-growth narrative
2
Strait of Hormuz Normal by Jul 31 — YES
↑ BUY YES+5pp
Market price
47%
Fair value
52%
Gap: +5pp
pos-012 dipped 2pp to 47% but volume increased to $8.2M — buyers still engaged at near-even odds. No adverse news. WTI $72 is itself a signal that the oil market treats Hormuz normalization as on track. Insurance recertification clock continues; Lloyd's and P&I clubs processing. July 19 = 30-day MOU compliance checkpoint. If Iran is visibly compliant July 19, market should bounce. Small $25 stake. HOLD.
▵ Bull case
- WTI $72 prices in continued Hormuz normalization
- Volume $8.2M — real buyers at near-even odds
- No adverse compliance news since MOU June 19
- July 19 compliance checkpoint potential positive catalyst
▿ Bear case
- IMF Portwatch 60/day MA still not achieved
- Timeline tight — needs bar crossed by July 28-29
- Bürgenstock nuclear track fragility
3
Zero Fed Rate Cuts in 2026 — YES
↑ BUY YES+4pp
Market price
91%
Fair value
95%
Gap: +4pp
pos-013 at 91c, entered at 77c (+14c). BoA calling 'imminent hike' makes a 2026 cut logically impossible: you cannot hike and cut in the same year with core CPI at 4.2%. Warsh dropped easing bias, dot plot zero cuts. Resolution Dec 31. Approaching 95c. HOLD.
▵ Bull case
- Dot plot: zero projected cuts, some dots show hikes
- BoA calling 'imminent hike' — cuts logically impossible
- Core CPI 4.2% — no cut justification
▿ Bear case
- Only 4pp to FV — residual uncertainty is tail risk
4
Fed Rate End 2026 = 4.0% — YES
↑ BUY YES+5pp
Market price
25%
Fair value
30%
Gap: +5pp
pos-011 at 25c. One 25bp hike from 3.75% upper bound = 4.0% = YES. Hike probability 67% → FV ~30c. PCE May same catalyst. $25 stake. HOLD.
▵ Bull case
- Hike 67% → FV 30c — 5pp gap
- BoA hike note raises FV further
▿ Bear case
- Still -9pp from entry at 34c
5
BoJ September 2026 Rate Hike — YES
↑ BUY YES+10pp
Market price
50%
Fair value
60%
Gap: +10pp
BoJ second hike watch at 50%. USD/JPY ~161 — extreme yen weakness amplifying import inflation in JPY terms. WTI $72 is cheaper in USD but yen at 161 means Japanese import costs remain elevated. Japan July CPI (late July) is the decisive data: if 2.5%+ sustained, September hike becomes base case. 10pp gap (50% market vs 60% FV) is attractive but entry requires data confirmation. DO NOT ENTER before July CPI.
▵ Bull case
- USD/JPY 161 = extreme yen weakness, amplifying import CPI
- BoJ hike cycle active (hiked to 1.0% June 16)
- Labor market historically tight
▿ Bear case
- WTI $72 = cheaper energy imports partially offset yen weakness
- BoJ may pause to assess June 16 hike impact
- Confirming data required first