Daily Macro US
June CPI Market
3.8% @ 52.6c
Yesterday's 4.0-4.2 migration FULLY reversed in 24h — contagion call vindicated; our 3.9 firms to 17c
Cleveland Nowcast
3.92%
Unmoved through the whole episode — the model doesn't read Fed minutes
FOMC Minutes
Split
'Family fight': hike and cut cases both argued; inflation risks tilted up — muted market reaction
Fed July Hike Mkt
20.7%
Faded from 24.6c — Wednesday's 24.5c exit caught ~the top
10Y Treasury
~4.48%
NEW pos-017: $25 YES on a 4.80% touch by Dec 31 at 16.5c — rules verified (Treasury daily par yield, any print)
Unrealized P&L
+$33.91
First green book since the Hormuz exit; 6 of 7 positions positive
Vindication day, in three acts. Act one: yesterday's bizarre CPI-bracket migration — the crowd abandoning 3.8% for 4.0-4.2% while the Cleveland model stood still — REVERSED COMPLETELY within 24 hours. The 3.8% bracket is back at 52.6c (from 2.4c), the 4.0-4.2 complex collapsed to under 4c combined, and our 3.9% bracket firmed to 17c. We called it narrative contagion and held; the market agreed by breakfast. The model remains at 3.92%, our position is +$10, and the real referee arrives Tuesday at 8:30 ET. Act two: the July FOMC minutes landed as a 'family fight' — a committee openly split between hike and cut cases, agreeing only that inflation risks tilt upward while tariff and energy effects fade slowly. The market's muted reaction (yields drifted higher, futures soft) faded the July-hike market from 24.6c to 20.7c — meaning Wednesday's 24.5c exit caught nearly the top of the move. pos-010 held steady at 58c, green and boring, exactly what a thesis position should be between catalysts. Act three: yesterday's research flag graduated to a position. We verified the 10Y touch market's resolution rules — official Treasury Daily Par Yield Curve, '10 Yr' column, resolves YES on ANY daily print ≥4.80% through December 31 — and entered $25 YES at 16.5c (pos-017). The 10Y sits at ~4.48 after the minutes; pricing a 32bp touch at 1-in-6 odds, through a window containing a possible September hike and heavy H2 issuance, understates the path. Sized deliberately small: the book is now concentrated hike-side (pos-010, 011, 013, 017 all profit from the same world), and correlation is the quiet killer of Kelly math. Book status: +$33.91 unrealized — the first meaningfully green book since the Hormuz exit — atop +$576.28 realized. Five days to CPI, six to BoJ and China GDP.
Today's Market Moves
June CPI Annual (pos-014)
15.5%→17%+2pp
The 24-hour round trip is a case study in why we anchor to models, not crowds: 3.8 went 51 → 2.4 → 52.6 while Cleveland printed 3.92 three days running. Whoever nuked the 3.8 bracket Wednesday unwound it Thursday. Our 3.9 rode from 15 to 17c. FV restored to 45. Five days to the print — no add, no trim, just the model versus the crowd.
10Y Touches 4.8% Before 2027 (pos-017 — NEW)
13%→16.5%+4pp
ENTERED $25 YES at 16.5c after the rules check cleared: resolution on ANY official daily par-yield print ≥4.80 through Dec 31 — a touch market on a 32bp move with a hiking Fed, heavy H2 issuance, and 5+ months of window. FV ~32. The 3.5pp move since yesterday's flag cost us again (the Friday lesson repeats at smaller scale — flagged edges decay). Correlation caveat sized it at $25.
Fed Hike at July Meeting (exited)
24.6%→20.7%-4pp
Post-minutes fade to 20.7c validates Wednesday's exit at 24.5c — the convergence trade captured the peak. FedWatch July hovers ~22-25%; the market and futures now agree. Nothing to do.
Fed Rate Hike 2026 (pos-010)
57.5%→58%0pp
Steady at 58c, +$11 MTM. Split minutes neither helped nor hurt. FV 63; trim >62c, floor 48c, CPI decides.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | June CPI YoY = 3.9% | Jul 14 | 17% | 45% | +28pp | HOLD $75 YES — model 3.92 vs crowd back at 3.8 | $$656K | 7/10 |
| 2 | 10Y Touches 4.8% Before 2027 | Dec 31 | 16.5% | 32% | +16pp | ENTERED $25 YES — rules verified; correlation-capped size | $$245K | 5/10 |
| 3 | BoJ 25bp Hike at Sep Meeting | Sep 2026 | 9% | 25% | +16pp | GATED — Jul 15 statement; 9c on thin volume | $Minimal | 5/10 |
| 4 | China GDP Q2 = 4.6-4.9% | ~Jul 15 | 73% | 85% | +12pp | HOLD $25 YES | $$144K | 5/10 |
| 5 | Fed Rate Hike 2026 | Dec 2026 | 58% | 63% | +5pp | HOLD YES — green and boring between catalysts | $$36K/day | 7/10 |
| 6 | Zero Fed Cuts 2026 | Dec 31 | 79% | 85% | +6pp | HOLD YES — $106K daily volume confirms 79c is considered | $$106K/day | 7/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
June CPI YoY = 3.9% — YES
↑ BUY YES+28pp
Market price
17%
Fair value
45%
Gap: +28pp
The full round trip — 3.8 at 51c Tuesday, 2.4c Wednesday, 52.6c Thursday — happened while the model that prices this market's actual referent moved zero basis points. If you needed a cleaner demonstration of why this site trades models against crowds, the market just provided it free of charge. Confidence restored to 7 with the two-sided bracket risk back to one-sided.
▵ Bull case
- Cleveland at 3.92 for a fourth straight session, most June inputs ingested
- The crowd's 24-hour panic-and-unwind reveals no private information existed
- 17c pays 4.9:1 on the model being ordinary
▿ Bear case
- 3.84-3.85 still rounds against us
- Final gasoline week enters the model Friday — one more revision possible
- The Wednesday mover, whoever it was, may return
2
10Y Treasury Touches 4.8% Before 2027 — YES
↑ BUY YES+16pp
Market price
16.5%
Fair value
32%
Gap: +16pp
Now a position. The rulebook is clean: any single official daily print at 4.80+ through December resolves YES. The 10Y closed at ~4.48 on hawkish-tilted minutes; the market says 1-in-6 that it travels 32bp higher at ANY point in five-plus months containing a possible September hike, October QT flows, and record H2 coupon issuance. Our path-weighted estimate is roughly 1-in-3. Sized $25 because the book already owns this world three other ways.
▵ Bull case
- Touch beats close: one hawkish CPI morning suffices
- Sep hike scenario (58% market-priced) almost mechanically drags the 10Y through 4.7+
- Issuance calendar is a structural tailwind for yields
▿ Bear case
- A soft CPI Tuesday could cap yields for the summer
- Correlation: this is the fourth position long the hawkish world
- Term premium could compress if growth data rolls
3
BoJ 25bp Hike at September Meeting — YES
↑ BUY YES+16pp
Market price
9%
Fair value
25%
Gap: +16pp
Six days to the gate. The quote crawled from 6 to 9c — even thin books eventually notice a currency at 40-year lows with the US Treasury Secretary demanding action. The waiting is deliberate: the July 15 statement is a free option on information, and this book has been paid twice this week for respecting gates.
▵ Bull case
- Every session of yen weakness compounds the political case
- 9c still pays 11:1
▿ Bear case
- Thin book remains untradeable at conviction size
- Intervention-first path would stall the market for weeks
4
Fed Rate Hike 2026 — YES
↑ BUY YES+5pp
Market price
58%
Fair value
63%
Gap: +5pp
The dullest position on the book and proud of it: green, steady at 58c through a split-minutes session, waiting on CPI like everyone else. The +25pp week is behind it; what remains is grind toward FedWatch's two-thirds. Discipline notes unchanged: trim consideration above 62c, hard floor 48c.
▵ Bull case
- FedWatch ~66% by Dec still above market
- Split committee needs only one hot CPI to tip
▿ Bear case
- Soft CPI unwinds the week
- Remaining edge is 5pp — the trade is mostly done
5
China GDP Q2 = 4.6-4.9% — YES
↑ BUY YES+12pp
Market price
73%
Fair value
85%
Gap: +12pp
Flat at 73c with six days to the print. Nothing has changed, including our humility about it: this is a bet on bureaucratic regularity, not economic insight, and it resolves alongside the BoJ in the busiest 24 hours the book has ever scheduled.
▵ Bull case
- Print regularity
- Costless carry so far
▿ Bear case
- No consensus data underneath
- Tail: stimulus-justifying low print