Daily Macro US
JOLTS (June)
7.36M
Below forecast, May revised down — softening labor demand feeds the dovish drift
10Y Treasury
~4.6%
Eased further — pos-017 touch now ~20bp off (was 5bp Fri); FV trimmed 72→62
Fed Sep Hike
47.5%
Slipped under 50% (from 54.5 a week ago) — hike path softening into NFP
Zero Cuts (pos-013)
88.7%
Resilient — a dovish drift isn't a cut with a hike-dissenting Fed
Today's data
ADP + ISM Svcs
Refine the labor read; NFP Friday is the decisive print
Book
+$104.7
Cooling with the hawkish complex; +$611.08 realized, 11/14, 5 open
The dovish drift has legs, and it's testing the book's most-loved position two days before the verdict. Iran de-escalation last week plus a soft JOLTS print Tuesday (job openings 7.36M, below forecast and revised down from 7.54M) have pulled the 10-year to ~4.6% and knocked September Fed-hike odds back under 50% (47.5c, from 54.5 a week ago). The hawkish complex we've ridden all summer is cooling in unison: pos-017 (10Y touches 4.80) has given back 11 points in two sessions to 56.5c — the touch is now ~20bp away versus ~5bp at Friday's peak, and we trim its fair value to 62. It's still +$60.6 on a $25 stake and nowhere near its exit (which requires the 10Y below 4.25, currently 4.6), but the honest read is that tomorrow's NFP is now make-or-break for it: a hot payroll re-arms the whole rate story, a soft one likely caps the summer's yield path and this position drifts toward a coin-flip. pos-010's runner eased to 62.5c (half already banked at 66.5c; trim line 72c untouched), pos-011 sits flat at cost, and pos-013 (zero cuts) shrugs the whole thing off at 88.7c because a dovish drift is not a cut — with a Fed that had three hike-dissenters in July, the no-cut thesis needs an actual recession, not softer oil. Today's ADP and ISM Services refine the picture, but everyone knows Friday's NFP is the print that reprices rates in minutes. No trades, nothing at a gate, and — notably — this is the first daily produced under the new scheduled-run regime, so whatever NFP delivers tomorrow at 14:30 CET, the book will be present at 14:40 to act on it. Book: 5 open, $332 staked, +$104.7 unrealized, +$611.08 realized, 11/14.
Today's Market Moves
10Y Touches 4.8% (pos-017)
67.5%→56.5%-11pp
The de-escalation + soft-JOLTS combo cut the rate engine hard: 10Y ~4.6%, touch ~20bp away. FV 72 → 62. Still +$60.6 and far from its exit, but tomorrow's NFP is the binary — hot re-arms it, soft caps it. We hold into the print rather than guess ahead of it.
Fed Rate Hike 2026 (runner)
67.5%→62.5%-5pp
Runner easing with Sep hike odds (47.5%). Still house money — half booked at 66.5c. No action: trim line 72c, floor 48c, both far. NFP decides the near-term direction.
Fed Sep Hike (context)
54.5%→47.5%-7pp
Under 50% for the first time since the FOMC. Soft JOLTS + cheaper oil did it; a hot NFP tomorrow could snap it back, which is exactly why we hold the hike-side book rather than trim into weakness.
Zero Fed Cuts 2026 (pos-013)
88.7%→88.7%0pp
Unmoved — the cleanest tell that this is a dovish drift, not a cut regime. Efficiency trim still armed at 90c.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | 10Y Touches 4.8% Before 2027 | Dec 31 | 56.5% | 62% | +6pp | HOLD $25 YES — NFP tomorrow is make-or-break; hold into it | $$245K | 6/10 |
| 2 | Zero Fed Cuts 2026 | Dec 31 | 88.7% | 90% | +1pp | HOLD YES — resilient; efficiency trim at 90c | $$96K/day | 7/10 |
| 3 | Fed Rate Hike 2026 (runner) | Dec 2026 | 62.5% | 62% | 0pp | HOLD $100 — at FV; trim >72c, floor 48c | $$104K/day | 6/10 |
| 4 | Fed Funds End 2026 = 4.0% | Dec 31 | 34.3% | 34% | 0pp | HOLD $25 YES — at FV; NFP + Sep FOMC | $Low | 6/10 |
| 5 | US Unemployment ≥5.0% (held NO) | Dec 31 | 9.6% | 9% | -1pp | HOLD NO — NFP tomorrow; early-exit review <8c | $Low | 6/10 |
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+6pp
Market price
56.5%
Fair value
62%
Gap: +6pp
The dual-engine bet is down to one engine at low idle: war premium gone (Iran talks), rate premium fading (soft JOLTS, 10Y ~4.6%). Still +$60.6 from a $25 ticket, but the edge has compressed to 6pp and tomorrow's NFP is the fork — a hot print puts the touch back in play within days, a soft one likely ends the summer's yield run. We hold into the number because selling a still-positive-EV position the day before its catalyst is just flinching.
▵ Bull case
- NFP tomorrow can re-arm it in one print
- Two 2026 hikes still (barely) priced; issuance calendar unchanged
- Far from any exit trigger (10Y 4.6 vs 4.25 floor)
▿ Bear case
- Both engines now soft — FV cut 72→62
- A soft NFP caps yields and turns this to a coin-flip
- Edge down to 6pp
2
Zero Fed Cuts 2026 — YES
↑ BUY YES+1pp
Market price
88.7%
Fair value
90%
Gap: +1pp
The anchor of the book, and today its steadiness is the message: while hike odds slid 7 points, 'no cut in 2026' didn't budge. That's the market agreeing a dovish drift is not an easing cycle. At 88.7c the edge is nearly gone; the only live decision is the 90c efficiency trim. A genuinely soft NFP is the sole path to cut chatter — hence the one thing worth watching Friday.
▵ Bull case
- Unmoved through a dovish drift — regime confirmation
- Three FOMC hike-dissenters make cuts a recession-only event
▿ Bear case
- 1pp edge — inventory earning carry
- A shock-soft NFP is the tail
3
Fed Rate Hike 2026 (runner) — YES
↑ BUY YES0pp
Market price
62.5%
Fair value
62%
Gap: 0pp
At fair value and pure house money after the 66.5c half-trim. Sep odds under 50% cooled it, but the Oct/Dec windows and the FOMC's hawkish dissenters keep the 2026 case alive. Nothing to do at 62.5c between the trim line (72) and floor (48); NFP sets the next move.
▵ Bull case
- Oct/Dec windows live; hawkish dissenters
- First half already banked — optionality is free
▿ Bear case
- Sep sub-50% and slipping
- Soft NFP pressures it toward the floor
4
Fed Funds Rate End 2026 = 4.0% — YES
↑ BUY YES0pp
Market price
34.3%
Fair value
34%
Gap: 0pp
The single-hike satellite, exactly at fair value, riding the same softening path as the runner. Small stake, no edge to act on, NFP the next input.
▵ Bull case
- One of two priced 2026 hikes could land here
▿ Bear case
- No edge at FV; binary on the hike landing
5
US Unemployment ≥5.0% (held NO) — NO
↓ SELL YES-1pp
Market price
9.6%
Fair value
9%
Gap: -1pp
Quietly compounding at +$18.9 — a 5% unemployment rate remains a distant scenario even with softening JOLTS. Tomorrow's NFP (and its unemployment rate) is the read; the early-exit review at 8c is the only near-term decision, for capital efficiency.
▵ Bull case
- Labor cooling slowly, not cracking — 5% is far
▿ Bear case
- Long carry to Dec; a shock-weak NFP would wobble it