Daily Macro US
S&P 500
~7,281
-1.05% — PCE hike fears + Micron reversal; tech pressured by 10Y spike
10Y Treasury
4.529%
+9bp — PCE 4.0% YoY headline renewed hike urgency
PCE May (core)
+0.3% MoM / +3.4% YoY
In line; headline +0.5% / +4.0% YoY — above Fed target by 200bp
WTI Crude
~$71.50
Stable — 4.8M b/d flowing through Hormuz; Iran deal on track
Hormuz Jul 31 (pos-012)
~52%
+5pp — CNBC confirms 35M bbl tanker exodus, 4.8M b/d flowing
Fed Hike Poly (pos-010)
~57%
+2pp — PCE in-line keeps October hike on track
Big data day. Three events landed today: (1) PCE May: core +0.3% MoM (+3.4% YoY, from 3.3%), headline +0.5% MoM (+4.0% YoY, from 3.8%) — in line with consensus but the YoY acceleration to 4.0% headline is notable. Q1 GDP third estimate: 1.6% annualized (unchanged from second estimate). (2) Micron Q3 earnings confirmed: $41.46B revenue (vs $35.25B expected), $25.11 EPS (vs $20.28 expected), 84.9% gross margins. Q4 guidance: $49-51B revenue vs $42.9B expected. HBM supply shortage extends beyond 2027. Stock surged +13.3% AH to ~$1,188, but reversed in regular session on June 25 (opened $1,082, settled near $1,052 — classic 'sell the news'). (3) Fed annual stress tests: all 32 banks passed the 10% unemployment scenario. Banks now clearing for updated dividend and buyback plans. Financials (JPM, BAC, C) rallied. Market reaction to PCE: S&P 500 ~7,281 (-1.05%) — the 4.0% YoY headline PCE renewed hike fears and pushed 10Y to 4.529% (+9bp from June 24). Tech sold off on higher real rates; cyclicals partly offset. Portfolio headline: CNBC confirmed 4.8 million barrels/day flowing through Hormuz, with 20+ tankers carrying 35M barrels having cleared the strait since the June 19 MOU. Energy Secretary Wright said the U.S. has 'ended Iran's ability to close the Strait.' This materially improves pos-012's July 31 resolution odds — the IMF Portwatch 60/day MA ramp is underway. PORTFOLIO ACTION: Adding $50 to pos-012 at market price (~52¢) — averaging down from 57¢ entry.
Today's Market Moves
Fed Rate Hike 2026 (pos-010)
55%→57%+2pp
SLIGHT ADVANCE: PCE May core +0.3% in line. Headline +4.0% YoY (from 3.8%) strengthens the Fed's resolve — 200bp above target with no cut path. Poly ticks to 57%, still at 8pp gap to CME FedWatch ~65%. 10Y at 4.529% confirms bond market pricing hike risk. We are +2pp from 55c entry — modest. Next catalyst: NFP July 2, CPI July 14. HOLD — do not add until NFP confirms labor market strength. Capital reserves ($275 after pos-012 add today) available post-NFP.
Strait of Hormuz Jul 31 (pos-012)
47%→52%+5pp
ADVANCING: +5pp to ~52% — CNBC confirmed 4.8 million barrels/day now flowing through Hormuz. 20+ tankers carrying 35 million barrels have cleared the strait since the June 19 MOU. Energy Secretary Wright: 'U.S. has ended Iran's ability to close the Strait.' IMF Portwatch daily transit data should be showing meaningful ramp. ADDING $50 at market price (~52c) — blended entry improves from 57c to ~55c on $75 total stake. July 19 MOU compliance checkpoint in 24 days. FV now 60%+ given physical flows confirmed.
Zero Fed Cuts 2026 (pos-013)
91%→92%+1pp
ADVANCING: 92c — PCE 4.0% headline forecloses any cut path completely. Core 3.4% = 140bp above target. Warsh cannot cut in this environment. Approaching 95c resolution. HOLD.
Fed Rate End 2026 = 4.0% (pos-011)
25%→26%+1pp
TICKING UP: 26c. PCE in-line keeps October hike modal. One 25bp hike = YES. FV ~30c on 57% hike probability. HOLD.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Fed Rate Hike 2026 | Dec 2026 | 57% | 68% | +11pp | HOLD YES | $$2.9M | 8/10 |
| 2 | Strait of Hormuz Jul 31 | Jul 31 | 52% | 62% | +10pp | ADD YES — adding $50 | $$8.2M+ | 7/10 |
| 3 | Zero Fed Cuts 2026 | Dec 31 | 92% | 96% | +4pp | HOLD YES | $$34M | 9/10 |
| 4 | Fed Rate End 2026 = 4.0% | Dec 2026 | 26% | 31% | +5pp | HOLD YES | $$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
Strait of Hormuz Normal by Jul 31 — YES
↑ BUY YES+10pp
Market price
52%
Fair value
62%
Gap: +10pp
CNBC confirmed June 24: oil tankers carrying 35 million barrels have exited the Strait of Hormuz since the Iran MOU. 4.8 million barrels/day now flowing — the IMF Portwatch 60/day 7-day moving average ramp has materially started. Energy Secretary Wright stated the U.S. has 'ended Iran's ability to close the Strait.' This fundamentally changes the resolution math. Our FV upgrades from 52% to 62%: (a) physical flows confirmed; (b) insurance recertification accelerating with traffic evidence; (c) July 19 MOU compliance checkpoint in 24 days. Adding $50 at ~52c to average down from 57c entry — new blended entry on $75 total stake = ~55c. If July 31 resolves YES, $75 → ~$136 (+81%). ADDING.
▵ Bull case
- 4.8M b/d confirmed flowing — IMF Portwatch ramp underway
- 35M barrels in 20+ tankers cleared the Gulf since June 19
- Energy Secretary Wright: 'U.S. ended Iran's ability to close Hormuz'
- Oil market continues pricing normalization (WTI ~$71)
- July 19 MOU compliance checkpoint = next positive catalyst
▿ Bear case
- IMF Portwatch 60/day 7-day MA not yet confirmed crossed
- 4.8M b/d is pre-MOU recovery ramp, not sustained yet
- Bürgenstock nuclear track separate from Hormuz compliance
2
Fed Rate Hike in 2026 — YES
↑ BUY YES+11pp
Market price
57%
Fair value
68%
Gap: +11pp
PCE May: core +0.3% MoM (+3.4% YoY), headline +0.5% MoM (+4.0% YoY). In-line with consensus. Headline YoY accelerated to 4.0% from 3.8% — 200bp above the Fed's 2% target. 10Y rose to 4.529% on the print — bond market pricing hike certainty. Poly at 57%, CME FedWatch ~65% — 8pp gap persists. Our FV is 68% given the PCE confirmation. We are at +2pp profit from 55c entry. We have $275 free capital (after today's pos-012 add) ready for deployment. Decision: wait for NFP July 2 to confirm labor market strength before adding. A hot NFP (+200K+, U/E at 4.3% or below) would push Poly toward 62-65% — add $125-150 at that level. HOLD today.
▵ Bull case
- PCE headline 4.0% YoY — 200bp above target, Fed must respond
- 10Y at 4.529% — bond market already pricing October hike
- CME FedWatch ~65% — Poly 57% still has 8pp gap to close
- Core PCE 3.4% = sticky services inflation, no cut path
- Q1 GDP 1.6% — economy still expanding despite hike risk
▿ Bear case
- PCE in-line (not hot) — doesn't force immediate repricing
- Poly at 57% = break-even from our 55c entry; limited profit so far
- Micron reversal / tech selloff suggests growth-hike tension
3
Zero Fed Rate Cuts in 2026 — YES
↑ BUY YES+4pp
Market price
92%
Fair value
96%
Gap: +4pp
pos-013 at 92c, entered at 77c (+15c). PCE headline 4.0% YoY — the Fed cannot cut with inflation this far above target and hike risk on the table. Dot plot projects zero cuts; BoA calling 'imminent hike.' Resolution Dec 31. Approaching 96c. HOLD.
▵ Bull case
- PCE headline 4.0% — no cut possible
- Dot plot zero cuts; BoA 'imminent hike'
- Core 3.4% — services stickiness
▿ Bear case
- Only 4pp to FV — tail risk remains
4
Fed Rate End 2026 = 4.0% — YES
↑ BUY YES+5pp
Market price
26%
Fair value
31%
Gap: +5pp
pos-011 at 26c. Hike probability 57% → FV ~31c. One 25bp hike from 3.75% = 4.0% = YES. PCE confirms the path. $25 stake. HOLD.
▵ Bull case
- Hike 57% → FV 31c
- PCE 4.0% YoY = rate pressure intact
▿ Bear case
- Still -8pp from 34c entry
5
BoJ September 2026 Rate Hike — YES
↑ BUY YES+11pp
Market price
51%
Fair value
62%
Gap: +11pp
BoJ Sep hike at 51%. USD/JPY ~161 — yen weakness intact. PCE 4.0% US headline raises global rate floors: if the Fed hikes, the divergence between BoJ at 1.0% and Fed at 4.0% widens, putting further pressure on JPY. Japan July CPI (late July) is the gate. 11pp gap is compelling. Do not enter before July CPI — confirming data required. Target entry 55-65c.
▵ Bull case
- USD/JPY 161 — extreme yen weakness amplifying import CPI
- US PCE 4.0% raises global rate floors, widens USD/JPY divergence
- BoJ hike cycle active (1.0% Jun 16)
▿ Bear case
- WTI $71 lowers energy import costs partially
- BoJ may pause to assess June hike
- Confirming data required