Daily Macro US
Hormuz Policy Shock
20% toll
US reinstates blockade + tolls ALL cargo; Houthis blockade Saudi — oil ~$82 (+15% off trough)
Fed Hike 2026 (pos-010)
58.5%
+6pp on $43.6K volume — GREEN +$12.7; FV 56 → 60, trim line to 64c
BoJ Sep Hike
19c
WOKE UP: 8 → 19 on $4.4K volume as BoJ growth-upgrade reporting lands. Edge now 6pp — below our bar. NO ENTRY
pos-018 (GDP)
26.5c
+47% in two sessions; crowd's 2.0-2.5 slips 41 → 32.5c as the distribution converges on us
10Y Touch (pos-017)
24.5c
+$12 — war-premium engine bid on blockade + Saudi escalation
Book
+$52.13
Best unrealized of the run; 5 of 6 positions green into FOMC week
The war premium just became policy. Overnight the US administration reinstated a naval blockade of Iranian ports near Hormuz AND imposed a 20% toll on ALL cargo transiting the strait — a tariff on the world's most important waterway — while Yemen's Houthis declared their own naval blockade against Saudi Arabia. Crude has run roughly 15% off its recent trough to the $82 area. Every position this book holds sits downstream of that: pos-010 jumped to 58.5c on $43.6K of volume (+$12.7, green), pos-017 to 24.5c (+$12) as term premium rebuilds, and we raise FV on the hike market from 56 to 60 — a 20% toll on a fifth of seaborne oil is an inflation impulse with a policy signature, not a weather event. The trim line moves with it, to 64c. The day's real test was elsewhere, though. Our two-week-old BoJ September gate finally saw its market wake up: 8c to 19c on $4,396 of volume — the first real turnover this contract has had since we started tracking it — after Bloomberg and Japan Times reporting that the BoJ will raise its FY26 growth forecast on July 31 while standing pat on rates, with traders now at ~69% for a hike by October. That reporting is exactly the thesis we wrote down. And we are not entering. At 19c against our unchanged FV of 25, the edge is 6pp — below the 10pp bar this site publishes as its threshold — and the hedge that would have justified stretching (USD/JPY 165) is at 77c, past saving. So the gate closes on its own terms: we were right about the direction, too slow on the price, and the rule that would have made us money at 7.5c refuses to make us mediocre money at 19c. Written down, published, no exception granted. Elsewhere the crowd keeps walking toward pos-018: the GDP distribution has compressed onto our bracket (2.0-2.5 slipped 41c → 32.5c, 1.0-1.5 nearly dead at 2.9c) and the position marks 26.5c, +47% in two sessions. Book: 6 open, $457 staked, +$52.13 unrealized (best of the run), +$476.28 realized, 9/12. Calendar: Japan CPI tomorrow, FOMC Jul 29, then Jul 30-31: BEA advance + BoJ statement.
Today's Market Moves
BoJ 25bp Hike at Sep Meeting (GATE CLOSED, NO ENTRY)
8%→19%+11pp
The thesis was right and the entry is gone. Bloomberg/Japan Times: BoJ to RAISE the FY26 growth forecast Jul 31 while holding rates; traders ~69% for a hike by October. The market repriced 8 → 19 on its first real volume in three weeks. Our FV stays 25 → edge 6pp, under the 10pp entry bar, and the USD/JPY hedge (77c) can no longer justify a stretch. Two weeks of patient gating produced a correct call and zero dollars. That is the honest arithmetic of a rules-based book: the same discipline that saved us on Hormuz and gold costs us here.
Fed Rate Hike 2026 (pos-010)
52.5%→58.5%+6pp
A 20% toll on Hormuz cargo is a supply-side inflation shock with a policy signature — the Sep/Oct hike windows just got a new argument that isn't about labor. FV 56 → 60; trim line raised to 64c; floor 48c. FOMC Jul 29 now carries genuine two-way risk.
US GDP Q2 = 1.5-2.0% (pos-018)
22.5%→26.5%+4pp
+47% since Friday's automated 18c fill. The distribution is compressing onto the model's bracket: 2.0-2.5 down to 32.5c, 1.0-1.5 nearly extinct at 2.9c. FV 35 unchanged — we don't raise FV because the price rose.
10Y Touches 4.8% (pos-017)
22.5%→24.5%+2pp
Blockade + Houthi escalation = term-premium bid without a Fed catalyst. The dual-engine design is doing exactly what it was built for.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | 10Y Touches 4.8% Before 2027 | Dec 31 | 24.5% | 38% | +14pp | HOLD $25 YES — war engine running hot | $$245K | 6/10 |
| 2 | US GDP Q2 = 1.5-2.0% | Jul 30 | 26.5% | 35% | +9pp | HOLD $25 YES — distribution converging on the model | $$15K | 5/10 |
| 3 | BoJ 25bp Hike at Sep Meeting | Sep 2026 | 19% | 25% | +6pp | NO ENTRY — edge below the 10pp bar; gate closed with the thesis correct | $$4.4K/day | 5/10 |
| 4 | Fed Rate Hike 2026 | Dec 2026 | 58.5% | 60% | +2pp | HOLD YES — FV raised on the toll shock; trim >64c | $$43.6K/day | 7/10 |
| 5 | Zero Fed Cuts 2026 | Dec 31 | 84.6% | 88% | +3pp | HOLD YES — efficiency review at 90c | $$15K/day | 7/10 |
| 6 | US Unemployment ≥5.0% (held NO) | Dec 31 | 12.4% | 10% | -2pp | HOLD NO — early-exit review below 8c | $Low | 6/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
BoJ 25bp Hike at September Meeting — YES
↑ BUY YES+6pp
Market price
19%
Fair value
25%
Gap: +6pp
The most instructive non-trade this site has published. Two weeks ago we identified a 17pp gap on a comatose market and wrote a gate: enter only after the statement confirms the tightening bias. Today the reporting arrived (BoJ raising its FY26 growth forecast July 31, traders ~69% for an October hike), the market repriced 8 → 19 on real volume, and our edge fell under the threshold before our gate opened. We could rationalize an entry at 19c. We won't: the 10pp bar exists precisely to stop 'I was right, so I deserve the trade' reasoning. Correct thesis, forgone profit, zero dollars — and the rule survives to save us the next time.
▵ Bull case
- Thesis fully validated by the reporting we anticipated
- Still 6pp of theoretical edge with October at 69%
▿ Bear case
- 6pp < 10pp bar, and thin-book slippage eats a third of that
- The hedge (USD/JPY 165 at 77c) is gone — unhedged gate risk
- Chasing a repriced flag is the failure mode we documented on Monday
2
Fed Rate Hike 2026 — YES
↑ BUY YES+2pp
Market price
58.5%
Fair value
60%
Gap: +2pp
A 20% toll on all Hormuz cargo is not a headline, it is a tax on global energy logistics — the kind of supply shock that shows up in core goods and services within two prints. That's a hike argument independent of the labor market, which is what this position needed after the soft CPI. FV 56 → 60, and the trim line moves with it: 64c, not 62c, because the thesis strengthened rather than merely the price.
▵ Bull case
- Toll + blockade + Houthi escalation = compounding supply shock
- $43.6K of volume behind the repricing — real money agrees
- Sep and Oct windows both live with two CPIs to come
▿ Bear case
- Only 1.5pp of edge left at the current price
- FOMC Jul 29 could deliver dovish guidance that unwinds the week
- Oil shocks can be dismissed by central banks as 'transitory' — Warsh has that option
3
10Y Treasury Touches 4.8% Before 2027 — YES
↑ BUY YES+14pp
Market price
24.5%
Fair value
38%
Gap: +14pp
+48% since entry, and the reason is the engine we couldn't have forecast: a shipping tax on Hormuz. The Fed engine is idling into next Wednesday; the war engine is running hot enough alone. This is what buying an under-loved touch market in a two-catalyst world looks like.
▵ Bull case
- Term premium bid on supply-shock inflation
- One 4.80 print ends it; the 10Y touched 4.60 twelve days ago
▿ Bear case
- Ceasefire headline collapses one engine instantly
- Correlation cap keeps size at $25 despite the edge
4
US GDP Q2 = 1.5-2.0% (advance) — YES
↑ BUY YES+9pp
Market price
26.5%
Fair value
35%
Gap: +9pp
The automated Friday entry at 18c is +47% and the market's distribution keeps collapsing toward GDPNow's answer — the 1.0-1.5 bracket is effectively dead, the 2.0-2.5 favorite has bled nine points. We hold FV at 35: the model's 0.77pp error hasn't shrunk just because the crowd came around.
▵ Bull case
- Distribution compression toward our bracket
- Nine days, two GDPNow refreshes, each a free invalidation check
▿ Bear case
- Edge down to 9pp — approaching hold-only territory
- Blockade-driven trade disruption could scramble Q2 inventory math late
5
Zero Fed Cuts 2026 — YES
↑ BUY YES+3pp
Market price
84.6%
Fair value
88%
Gap: +3pp
Unmoved while everything around it repriced — which, for a position whose thesis is 'nothing the Fed does this year is a cut,' is exactly right. A Hormuz toll shock makes cuts less likely, not more; the efficiency review at 90c is the only live decision.
▵ Bull case
- Supply shock removes the last dovish argument
- Every FOMC outcome next week supports the thesis
▿ Bear case
- 3.4pp of edge — inventory
- Capital tied up until December