Daily Macro US
Oil
~$80
-5%+ on Trump-Iran de-escalation talks; war premium paused
10Y Treasury
4.676%
-7bp — pos-017 touch now ~12bp away (was 5bp Fri); FV trimmed 80→72
Fed Sep Hike
54.5%
Two 2026 hikes still priced post-FOMC; pos-010/011 thesis intact
ECB Sep (the non-trade)
87.5%
Flipped from 16c over six weeks — right that it was mispriced, right to never trade it
July Unemployment
coin-flip
4.1/4.2/4.3 all ~28-32c — no anchor to break the tie; no trade. NFP Fri
Book
+$130.5
Mild give-back on the oil dip; +$611.08 realized, 11/14, 5 open
The war engine idled, and the book gave back a little — the healthy kind of pullback. President Trump called off 'massive' strikes and opened new talks with Iran on Monday, and the reaction was fast: US oil fell more than 5% to near $80, the 10-year yield dropped ~7bp to 4.676%, and the two-year eased to 4.241%. For a book that spent three weeks levered to a rising war premium, this is the symmetric move — and it lands on our most sensitive position. pos-017 (10Y touches 4.80) sat ~5bp from resolution on Friday; the de-escalation pushed it back to ~12bp away, and we trim its fair value from 80 to 72 accordingly. It still marks 67.5c (+$77, the book's biggest gain) because the structural push hasn't gone anywhere: the FOMC's three hike-dissents still have the market pricing two 2026 increases, September hike odds sit at 54.5%, and Friday's NFP is a live upside catalyst. Nothing hit a gate today — pos-010's runner holds at 67.5c (trim line 72c), pos-013 grinds at 88.7c just under the 90c efficiency-review trigger, pos-011 rides at 32.3c on the still-live single-hike path. No trades. On the scan for fresh positions: the standout is what DIDN'T become a trade — the ECB September market, which we watched sit at 16c for six weeks expecting no hike, has flipped to 87.5% pricing a hike. We were right it was mispriced and wrong on direction, and the discipline of never trading a sub-threshold edge saved us from being run over; a good reminder that 'interesting' and 'tradeable' are different words. July unemployment (Fri) is a three-way coin-flip (4.1/4.2/4.3 all near 28-32c) with no model anchor to break the tie — no edge, no trade. Book: 5 open, $332 staked, +$130.5 unrealized, +$611.08 realized, 11/14. NFP Friday is the week's decider — and this book will be watching it live: we're moving to scheduled weekday runs so a gate never opens again while we're away, the one lesson the BoJ miss taught for real.
Today's Market Moves
10Y Touches 4.8% (pos-017)
69%→67.5%-2pp
Iran de-escalation cooled the rate engine — 10Y back to 4.676%, touch ~12bp off. We trim FV 80→72 to reflect the paused war premium, but hold: two 2026 hikes priced + NFP Friday keep the path alive, and this remains +$77 from a $25 stake. No panic on a 2c dip after a 4x run.
ECB Sep Hike (the non-trade)
16%→87.5%+71pp
The most instructive market we never touched. Six weeks at ~16c looked rich to us (we leaned no-hike, FV ~10); it has now flipped to 87.5% pricing a hike. Our lean was WRONG on direction — and because the edge never cleared the 10pp bar, we never sized it, so being wrong cost nothing. The bar exists precisely to keep bad directional guesses off the book.
Fed Rate Hike 2026 (pos-010 runner)
67.5%→67.5%0pp
Flat through the oil dip — the runner shrugs off de-escalation because two 2026 hikes are still base case. Trim >72c, floor 48c.
Zero Fed Cuts 2026 (pos-013)
88.8%→88.7%0pp
Parked below the 90c review line. A softer-oil world barely dents a no-cut thesis anchored on a Fed with three hike-dissenters.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | 10Y Touches 4.8% Before 2027 | Dec 31 | 67.5% | 72% | +5pp | HOLD $25 YES — touch 12bp away; NFP Fri live catalyst | $$245K | 6/10 |
| 2 | Zero Fed Cuts 2026 | Dec 31 | 88.7% | 90% | +1pp | HOLD YES — efficiency trim at 90c | $$35K/day | 7/10 |
| 3 | Fed Rate Hike 2026 (runner) | Dec 2026 | 67.5% | 66% | -2pp | HOLD $100 — trim >72c; two hikes priced | $$15K/day | 6/10 |
| 4 | Fed Funds End 2026 = 4.0% | Dec 31 | 32.3% | 34% | +2pp | HOLD $25 YES | $Low | 6/10 |
| 5 | US Unemployment ≥5.0% (held NO) | Dec 31 | 9.6% | 9% | -1pp | HOLD NO — NFP Fri; early-exit review <8c | $Low | 6/10 |
| 6 | July Unemployment = 4.2% | Aug 7 | 28% | 30% | +2pp | NO TRADE — three-way coin-flip, no model anchor | $$2K/day | 3/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
10Y Treasury Touches 4.8% Before 2027 — YES
↑ BUY YES+5pp
Market price
67.5%
Fair value
72%
Gap: +5pp
The de-escalation test: a position built on two engines (Fed path + war premium) just had the war engine paused, and it barely flinched (-2c). That's the value of dual-engine design. The touch is ~12bp away with NFP Friday as a live upside trigger and two 2026 hikes still priced. We trim FV to 72 honestly — the war bid is softer — but a +$77 position on a $25 stake with five months of runway holds easily.
▵ Bull case
- Two 2026 hikes still the market base case
- NFP Friday a live upside catalyst for yields
- Five months of runway for a 12bp move
▿ Bear case
- War engine paused — FV cut 80→72
- Iran deal + soft NFP could stall yields for weeks
- Edge now only 5pp at 67.5c — hold, not add
2
Zero Fed Cuts 2026 — YES
↑ BUY YES+1pp
Market price
88.7%
Fair value
90%
Gap: +1pp
Softer oil is the only argument a cut-believer has, and it's not enough against a Fed with three members who wanted to hike last week. 88.7c, a hair under the 90c line where we trim for capital efficiency. The thesis is all but resolved; this is now a carry-versus-redeploy decision, not a conviction one.
▵ Bull case
- Three FOMC hike-dissents make a cut nearly impossible
- Grinding to FV on steady volume
▿ Bear case
- 1pp edge — inventory
- A weak NFP is the one thing that could seed cut talk
3
Fed Rate Hike 2026 (runner) — YES
↑ BUY YES-2pp
Market price
67.5%
Fair value
66%
Gap: -2pp
House money on the Sep/Oct windows after we banked the first half at 66.5c. Flat through the oil dip because the hike case is now about the FOMC's own dissenters, not the war premium. Trim the runner above 72c; nothing to do at 67.5.
▵ Bull case
- Two 2026 hikes priced; Sep at 54.5%
- First half already booked — pure upside optionality
▿ Bear case
- Slightly above FV
- Soft NFP could unwind hike pricing
4
Fed Funds Rate End 2026 = 4.0% — YES
↑ BUY YES+2pp
Market price
32.3%
Fair value
34%
Gap: +2pp
The single-hike satellite, near fair value, riding the same two-hike pricing that lifts the runner. Small stake, NFP Friday the next input.
▵ Bull case
- 4.0% year-end is live if one of two priced hikes lands here
▿ Bear case
- 2pp edge; binary on the hike
5
July Unemployment = 4.2% (scanned, passed) — YES
↑ BUY YES+2pp
Market price
28%
Fair value
30%
Gap: +2pp
The one new candidate, and a pass. With 4.1/4.2/4.3 all clustered at 27-32c, the market has no strong view — and neither do we without a labor nowcast that pins the exact tenth. Buying a coin-flip because it's 'about fair' is how you bleed edge. NFP resolves it Friday; we watch, we don't guess.
▵ Bull case
- 4.2% was the prior print; base-rate favorite
▿ Bear case
- No model anchor on the exact decimal
- Three brackets within 5c = noise