Daily Macro US
Hormuz Jul-31 Market
14.5%
-11pp on IRGC corridor warnings + 8 weekend U-turns — pos-012 exited by rule at -$55
Brent Crude
$71.79
Near 4-month lows despite Hormuz stress — OPEC+ adds +188K b/d from August
Gold
$4,166
Easing after last week's +2%; July hike repricing largely done
USD/JPY
161.79
Within 1% of the 162.84 four-decade yen low — intervention watch
Fed July 29
78% hold
Futures-implied after the corrected +57K NFP; Sep/Oct windows hinge on CPI Jul 14
Zero Fed Cuts 2026 (pos-013)
77.7%
No weekend rebound → planned add executed: +$75 at 77.7c, stake now $82
Three portfolio actions this morning — including our first loss. Over the July 4-5 weekend, Iran turned the Hormuz reopening from a ramp into a standoff: IRGC patrol boats issued VHF warnings against the US-backed southern corridor, at least eight vessels U-turned trying to exit the Gulf (Bloomberg), and Tehran warned tankers to use Iran-approved routes or face a 'forceful response' (PBS). July 4 transits totaled ~25 with six diversions/reversals. The Jul-31 normalization market crashed from 25.5c to 14.5c on $106K of weekend volume — and our exit rule (<20c before the Jul 19 checkpoint without confirmed recovery) fired. We exited pos-012 at 14.5c for -$55.23, the book's first loss in nine resolutions. The thesis needed cooperative physicals; it got armed interference. Documented, sized small (7.5% of budget), closed by rule — not by hope. Second action: we took early profits on both deep-ITM unemployment/rates NOs — pos-002 (U/E ≥6.0% NO, +$14.02) and pos-003 (Fed <3.0% NO, +$15.63) — freeing ~$254 of capital that was earning pennies per month. Third: the planned Zero Fed Cuts add executed. The market did NOT rebound over the weekend (77.7c vs Friday's 77.6c), so we deployed $75 at 77.7c, lifting pos-013 to $82 at a blended 77.6c. The 57K-payrolls repricing still looks like an overshoot: futures imply a 78% hold for July 29, but pricing a 14.5% chance of an actual 2026 CUT with core CPI at 4.2% under a Warsh Fed remains too generous. Elsewhere: OPEC+ agreed another +188K b/d from August — the third consecutive increase — keeping Brent near four-month lows at $71.79 despite the Hormuz stress; a remarkable decoupling that confirms the war premium is structurally gone. Gold eased to $4,166 after last week's 2% jump. The yen sits at 161.79, within a percent of its 162.84 four-decade low, with intervention watch intensifying. Asia traded cautious ahead of AI-sector earnings. Book after today: 4 open positions, $407 staked, realized +$559.33 (8/9 correct). Next gates: CPI June (Jul 14) for pos-010/011/013, BoJ (Jul 15) for the watchlist entry.
Today's Market Moves
Strait of Hormuz Jul 31 (pos-012 — EXITED)
25.5%→14.5%-11pp
EXIT EXECUTED at 14.5c, -$55.23 realized — the book's first loss (8/9 record). The rule was explicit: <20c before Jul 19 without confirmed transit recovery → exit. Weekend brought the opposite of recovery: IRGC VHF warnings against the southern corridor, eight U-turned vessels, Iran dictating northern routes under threat of 'forceful response.' The 60-calls/day bar by Jul 31 is now implausible without a diplomatic reset. We do not re-enter below 20c — this is a geopolitical coin-flip now, not a mispricing.
Zero Fed Cuts 2026 (pos-013)
77.6%→77.7%0pp
ADD EXECUTED: +$75 at 77.7c per Friday's plan (condition: still ≤80c at Monday liquidity — met). Stake now $82 at blended 77.6c. FV 88 → +10pp edge, conf 8. The 1-cut bracket still prices 14.5% — too high with core CPI 4.2%. Exit below 72c on a soft CPI Jul 14.
Fed Rate Hike 2026 (pos-010)
46.5%→47.5%+1pp
Stabilizing at 47.5c after the NFP shock — the market agrees the cut story was overdone. FV 56 unchanged. CPI Jul 14 decisive: ≥0.4% MoM deploys the reserved $100-125; a soft print triggers exit discipline below 40c. MTM: 363.6 shares × $0.475 = $172.7 vs $200 = -$27.3.
Fed Rate End 2026 = 4.0% (pos-011)
25.4%→20.2%-5pp
Drifting to 20.2c with single-hike doubts. Small satellite ($25), same CPI gate as pos-010. FV 26. MTM -$10.1.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Zero Fed Cuts 2026 | Dec 31 | 77.7% | 88% | +10pp | ADDED $75 TODAY — position now $82 at blended 77.6c | $$34M | 8/10 |
| 2 | Fed Rate Hike 2026 | Dec 2026 | 47.5% | 56% | +9pp | HOLD YES — CPI Jul 14 gate for the reserved $100-125 | $$3.8M | 6/10 |
| 3 | BoJ 25bp Hike at Sep Meeting | Sep 2026 | 13% | 25% | +12pp | WATCH — BoJ Jul 15 is the entry gate; yen at 161.79 forces the issue | $Low | 5/10 |
| 4 | Fed Funds Rate End 2026 = 4.0% | Dec 31 | 20.2% | 26% | +6pp | HOLD YES (small) | $$8.2M | 6/10 |
| 5 | Gold ≥ $4,300 in July | Jul 31 | 56.5% | 50% | -7pp | NO ACTION — edge faded from -10pp as gold eased to $4,166 | $$5.4M | 4/10 |
| 6 | US Recession by End of 2026 | Dec 31 | 8.5% | 13% | +5pp | WATCH — market cut recession odds to 8.5% into a rolling labor market; below entry bar | $$2.7M | 5/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Zero Fed Cuts 2026 — YES
↑ BUY YES+10pp
Market price
77.7%
Fair value
88%
Gap: +10pp
The weekend test passed: no rebound from Friday's crash means the 77-78c level is the market's considered post-NFP price, not a holiday artifact. We still think it's wrong — a 22.3% implied chance of at least one 2026 cut requires the Fed to ease with core CPI 200bp above target, months after debating a hike. Add executed at 77.7c per plan.
▵ Bull case
- Core CPI 4.2%, PCE 4.0% — no modern Fed has cut against that backdrop absent a crisis
- July 29 is priced 78% hold, 22% HIKE — zero percent cut, yet the annual market prices 22.3% cumulative cut odds
- Deep $34M book — full liquidity multiplier, cleanest structure on the board
▿ Bear case
- 57K payrolls + -74K revisions is how easing cycles start; two more misses and December cut pricing is legitimate
- Participation-driven U/E stability can unwind fast
- Entry near the recent low — a further labor shock hits immediately
2
Fed Rate Hike 2026 — YES
↑ BUY YES+9pp
Market price
47.5%
Fair value
56%
Gap: +9pp
A +1pp weekend drift says the hike case found its floor. Everything now compresses into July 14: a ≥0.4% MoM CPI print reopens September (35%) and October (40%) windows; a soft one likely ends the trade. Binary and dated — exactly what the reserved capital is for.
▵ Bull case
- Core services inflation hasn't printed below 0.35% MoM since March
- Warsh's reaction function is inflation-first; labor softness alone doesn't close the hike door
- Position carries -$27 MTM — the add point is AFTER confirmation, not before
▿ Bear case
- 78% hold pricing for July 29 can harden into 'done for the year' narrative by September
- Bond market (2Y 4.11%) is fading the hike
- OPEC+ supply + Hormuz-insensitive oil = energy disinflation doing the Fed's work
3
BoJ 25bp Hike at September Meeting — YES
↑ BUY YES+12pp
Market price
13%
Fair value
25%
Gap: +12pp
Drifted 11 → 13 as the yen pressed 161.79, within 1% of the four-decade low. The setup strengthens weekly — Tankan +22, imported inflation, explicit MoF warnings — but the entry gate stays BoJ July 15: a statement that keeps the tightening bias makes 13c cheap; one that doesn't kills the trade before capital is at risk.
▵ Bull case
- Yen at 162 makes 'hike or intervene' the only menu; intervention buys weeks, not quarters
- Nagahama's year-end guidance implies Sep or Oct — market prices Sep at 1-in-8
▿ Bear case
- BoJ gradualism: no back-to-back tightening inside four months in the modern era
- Thin book — ×0.2 liquidity multiplier caps this at $25 regardless of edge
4
Strait of Hormuz Normal by Jul 31 — YES
↓ SELL YES-3pp
Market price
14.5%
Fair value
12%
Gap: -3pp
Post-mortem, not a trade. We exited at 14.5c this morning (-$55.23) when the exit rule fired. At 14.5c the market is now roughly fair for a scenario needing a diplomatic reset plus a 2.5x transit ramp inside 25 days. No re-entry either direction — the residual is a geopolitical coin-flip with IRGC boats on the water.
▵ Bull case
- A genuine Vance-Iran breakthrough before Jul 19 could still triple the price
- Toll-free MOU economics remain in place on paper
▿ Bear case
- Armed interference with the US-backed corridor is the opposite of the ramp the thesis required
- Eight U-turned vessels in 48 hours; crisis trackers back at 'extreme'
- Rule-based exit already executed — re-entry would be thesis creep
5
Fed Funds Rate End 2026 = 4.0% — YES
↑ BUY YES+6pp
Market price
20.2%
Fair value
26%
Gap: +6pp
The cheapest expression of the single-hike scenario after its 5pp weekend drift. Below the add threshold and holding $25 only as a convexity satellite to pos-010 — same catalyst, same discipline.
▵ Bull case
- One 25bp hike resolves YES; pays nearly 4:1 at 20.2c
- Gap widened while the parent hike market firmed — relative-value wrinkle in our favor
▿ Bear case
- No hike = zero; the market is telling you the modal path shifted to hold-all-year
- Edge +5.8pp below the 8-10pp action bar