Daily Macro US
FOMC June Minutes
Today
9/19 dots ≥1 hike in 2026; PCE '26 revised to 3.6% — the morning's hawkish catalyst
Fed July Hike Mkt
24.6%
14.6 → 24.6 overnight — pos-015 EXITED at 24.5c: +68% in 22 hours
Fed Hike 2026 (pos-010)
57.5%
+9pp, GREEN first time (entry 55). FedWatch ~2/3 by Dec → FV 56 → 63
June CPI Market
4.0-4.2%
Mass migrated up; 3.8 collapsed 51→2.4c. Cleveland UNCHANGED at 3.92 — divergence widened
Cleveland Nowcast
3.92%
June CPI YoY — identical to Jul 6; the model saw nothing new. Our 3.9 bracket holds
FedWatch July 29
26.6%
Hike probability; hold 73.4% — CPI Jul 14 remains the decisive input
The fastest win in the book's history, and the strangest market move we've documented — both before 10am. First the win: yesterday's Fed-July entry (pos-015, $25 at 14.6c) converged to CME FedWatch overnight as the market repriced from 14.6c to 24.6c ahead of today's June FOMC minutes release. FedWatch prices the July 29 hike at ~26.6%; at 24.5c the gap we bought is gone, and the rule is the rule: exited for +$16.95, a 68% return in 22 hours. The thesis was never 'the Fed will hike in July' — it was 'this market will converge to the futures market,' and it did. Second, the bigger position: pos-010 (Fed Rate Hike 2026) broke GREEN for the first time at 57.5c (entry 55c, +25pp on the week) as FedWatch moved to roughly two-thirds probability of at least one hike by December and the minutes preview showed 9 of 19 dots at one-plus hikes with 2026 PCE projections revised to 3.6%. We raise FV from 56 to 63 and hold — the residual +5.5pp no longer justifies the reserved deploy unless CPI surprises. And then the strange one: the June CPI bracket market REORGANIZED overnight. The 3.8% bracket — the 51c consensus favorite just yesterday — collapsed to 2.4c, and the probability mass migrated up to 4.0-4.2% (23c/21.5c/19c). Our 3.9% bracket barely moved: 15 → 15.5c. Here is the puzzle: the Cleveland Fed nowcast is UNCHANGED at 3.92%. June prices are historical facts — hawkish Fed minutes cannot retroactively change what gasoline cost in June — so either the market learned something the model doesn't ingest (private nowcasts, seasonal-factor arcana), or this is narrative contagion: traders marking every inflation-adjacent market hawkish on minutes day. We hold pos-014 at 15.5c, trim FV 45 → 40 (both adjacent brackets are now live risks), and note the irony that the repricing helps our other positions: a market convinced of 4%+ inflation is a market that keeps zero-cuts and hike pricing bid. Tooling note, in the spirit of documenting everything: our browser link was down this morning, so thin-market quotes (pos-004, 011, 013, 016, BoJ) are carried from Jul 7 and flagged as such — the deep markets above were verified directly against the exchange API. Six days to CPI.
Today's Market Moves
Fed Hike at July Meeting (pos-015 — EXITED)
14.6%→24.6%+10pp
EXITED at 24.5c for +$16.95 (+68% in 22 hours) — the fastest resolution in the book. The entry thesis was convergence to FedWatch (26.6%), not a call on the decision itself; with the market at 24.6c the edge is arithmetic dust. Holding through the minutes would have been a coin-flip bet with other people's discipline.
Fed Rate Hike 2026 (pos-010)
48.5%→57.5%+9pp
GREEN at last: 57.5c vs 55c entry after a +25pp week. FedWatch ~66% by December → FV 56 → 63. Hold; the reserved $100-125 deploy now requires a hot CPI AND a pullback below 52c — deploying into strength violates the entry discipline that got us here. Trim consideration above 62c.
June CPI Annual (pos-014)
15%→15.5%+1pp
The market reorganized around us: 3.8% crashed 51 → 2.4c, mass moved to 4.0-4.2%, our 3.9% steady. Cleveland's model — updated this morning — still says 3.92. Either the crowd knows something the model can't see, or minutes-day hawkishness leaked into a market that resolves on June's already-lived prices. FV 45 → 40 (two-sided bracket risk now). HOLD, no add: the position was sized for exactly this uncertainty.
Zero Fed Cuts 2026 (pos-013)
79%→79%0pp
Quote carried from Jul 7 (tooling). Directionally the minutes help: every hawkish dot is a nail in the cut case. FV 85, hold.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | June CPI YoY = 3.9% | Jul 14 | 15.5% | 40% | +25pp | HOLD $75 YES — Cleveland 3.92 unchanged; market mass migrated above us | $$656K | 6/10 |
| 2 | Fed Rate Hike 2026 | Dec 2026 | 57.5% | 63% | +6pp | HOLD YES — green; FV raised on FedWatch 2/3; no deploy into strength | $$128K/day | 7/10 |
| 3 | Zero Fed Cuts 2026 | Dec 31 | 79% | 85% | +6pp | HOLD YES (quote carried) — minutes reinforce | $$24.5K/day | 7/10 |
| 4 | Fed Hike at July Meeting | Jul 29 | 24.6% | 26.6% | +2pp | EXITED at 24.5c (+68%) — edge converged to FedWatch | $$1.4M/day | 8/10 |
| 5 | BoJ 25bp Hike at Sep Meeting | Sep 2026 | 6% | 25% | +19pp | GATED to BoJ Jul 15 (quote carried) | $Minimal | 5/10 |
| 6 | China GDP Q2 = 4.6-4.9% | ~Jul 15 | 72.5% | 85% | +13pp | HOLD $25 YES (quote carried) | $$144K | 5/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
June CPI YoY = 3.9% — YES
↑ BUY YES+25pp
Market price
15.5%
Fair value
40%
Gap: +25pp
Yesterday we were long 3.9 against a crowd at 3.8; today the crowd teleported to 4.0-4.2 and we're long 3.9 against the OTHER side. The model that justified the entry hasn't moved: 3.92, updated this morning. A YoY print is arithmetic over prices that already happened — minutes can't change it. If the crowd is marking inflation markets hawkish out of narrative momentum, our bracket is now the calm center of a repricing storm. If they know something (seasonal factors, private data), we're wrong from above instead of below. Confidence 7 → 6; hold, don't add.
▵ Bull case
- Cleveland unchanged at 3.92 with most June inputs already ingested
- The 3.9 bracket is now the VALLEY between two crowds — it profits if the model is simply right
- Hawkish repricing helps our correlated hike/no-cut book even if this bracket loses
▿ Bear case
- Somebody nuked the 3.8 bracket from 51c to 2.4c — that is not noise, that is conviction
- If a private nowcast says 4.1, the market found it before we did
- Two-sided rounding risk now: 3.84 kills us low, 3.95 kills us high
2
Fed Rate Hike 2026 — YES
↑ BUY YES+6pp
Market price
57.5%
Fair value
63%
Gap: +6pp
A +25pp week vindicates six weeks of underwater patience: entered at 55c on a 17pp FedWatch gap, watched it go to 46.5c on the NFP shock, and now green at 57.5c with FedWatch at two-thirds by December. The lesson the archive will keep: the gap closed toward the futures market, not away from it. FV 63; hold, and honor the discipline both ways — no chasing with the reserve.
▵ Bull case
- 9/19 dots at one-plus hikes; PCE '26 revised up to 3.6%
- FedWatch two-thirds by Dec sits ABOVE the market still
- Sep (35%) and Oct windows both live
▿ Bear case
- A soft CPI Jul 14 unwinds this week's entire move
- Two-thirds priced means the easy money is taken — remaining edge is grind
- Labor is still rolling over underneath the hawkish narrative
3
Fed Hike at July 29 Meeting — YES
↑ BUY YES+2pp
Market price
24.6%
Fair value
26.6%
Gap: +2pp
Post-mortem of the book's fastest trade: entered 14.6c Tuesday on an ~8pp FedWatch gap, exited 24.5c Wednesday when the gap hit arithmetic dust. +$16.95 on $25 in 22 hours. The uncomfortable honesty: we'd have made more entering Friday at 10.4c when we first flagged it — hesitation cost ~40% of the move. Logged for the method notes: when the calibration source and the market disagree by >10pp on a dated event, enter same-day.
▵ Bull case
- Convergence theses resolve fast — capital efficiency is the hidden return
▿ Bear case
- None — position closed
4
BoJ 25bp Hike at September Meeting — YES
↑ BUY YES+19pp
Market price
6%
Fair value
25%
Gap: +19pp
Quote carried (thin book, tooling down) — but the week's hawkish global drift and the yen's persistence near 163 keep the setup intact. Seven days to the gate. Nothing to do but wait, which is the hardest trade of all.
▵ Bull case
- Yen pressure structural; Bessent pressure public
- 6c entry post-gate pays 16:1
▿ Bear case
- Thin book distorts everything
- BoJ gradualism
5
Zero Fed Cuts 2026 — YES
↑ BUY YES+6pp
Market price
79%
Fair value
85%
Gap: +6pp
Carried quote, strengthening case: every hawkish dot in today's minutes is another argument against a 2026 cut. The position ($82 at blended 77.6c) is the book's quiet compounder — no catalyst of its own, paid by everyone else's.
▵ Bull case
- Minutes: 9/19 dots at hikes — cuts are not in the conversation
- Correlated tailwind from the entire hawkish complex
▿ Bear case
- Labor deterioration is the one path to December cut pricing
- Quote staleness cuts both ways