Global Rates
WTI / Brent
~$71.50 / ~$75.50
Stable — 4.8M b/d flowing through Hormuz; 35M barrels cleared the Gulf
USD/JPY
~162
Pushing higher — PCE-driven dollar strength; BoJ Sep watch 51%
Nikkei 225
~69,800
+0.9% recovery — Micron AI narrative lifts semis; USD/JPY tailwind for exporters
10Y UST
4.529%
+9bp — PCE 4.0% YoY headline pushed bond market to price October hike
DAX / CAC
~24,800 / ~8,390
-0.6% / -0.5% — global rate repricing on hot PCE
Gold
~$4,098
-0.9% — PCE hot = higher real rates = gold headwind
PCE day sent shockwaves through global rates markets. US May PCE: core +0.3% MoM (+3.4% YoY), headline +0.5% MoM (+4.0% YoY) — headline acceleration to 4.0% from 3.8% in April is the key number. 10Y UST spiked to 4.529% (+9bp), pulling global yields higher. European rates followed: German Bund yield rose, UK Gilt market repriced. The Hormuz story dominated commodity markets in a different, positive way: CNBC confirmed 4.8 million barrels/day now flowing through the Strait of Hormuz, with 20+ tankers carrying 35 million barrels having cleared the Gulf since the June 19 MOU signing. Energy Secretary Wright explicitly stated the U.S. has ended Iran's ability to close Hormuz. WTI held ~$71, Brent ~$75 — the disinflation pipeline from lower oil into PCE Q3 is still intact despite PCE's YoY headline jump (May captures pre-Iran-deal energy prices). Nikkei recovered on Micron beat narrative (Kospi +3% ripple), but USD/JPY pushed toward 162 as PCE-driven dollar strength resumed. BoJ September hike watch now at 51% — the widening Fed-BoJ divergence (Fed at 3.75% hiking to 4.0%, BoJ at 1.0%) puts structural yen pressure on. Gold fell: PCE hot = higher real rates = gold headwind. DAX and CAC modestly lower on rate fears. Q1 GDP final: 1.6% annualized US (in line, confirming soft landing narrative intact). Micron delivered a historic AI memory beat — the AI infrastructure cycle is accelerating, not pausing.
Today's Market Moves
BoJ September Hike Watch
50%→51%+1pp
SLIGHT ADVANCE: 51%. PCE 4.0% US headline = widening Fed-BoJ divergence. Fed at 3.75% (hiking to 4.0%), BoJ at 1.0% = 300bp gap, widening. This puts structural yen sell pressure on. USD/JPY pushing toward 162. Japan July CPI (late July) remains the decisive gate for BoJ entry. 11pp gap to FV (51% market vs 62% FV). DO NOT ENTER before July CPI — but the setup is improving.
Hormuz Jul 31 (pos-012)
47%→52%+5pp
MAJOR POSITIVE: +5pp to 52% on CNBC confirmed 4.8M b/d flowing. 35M barrels of tankers cleared the Gulf. Physical flows are real. FV upgraded to 62%. ADDING $50 to pos-012.
Global Disinflation / Oil Path
0%→0%0pp
BIFURCATED: Hormuz open = long-run disinflation (WTI $71 vs $92). But PCE May 4.0% YoY = short-run inflation still high. Key insight: May PCE still captures pre-deal energy prices (oil was higher in May). June-August PCE will reflect $71 oil. Disinflation pipeline from Iran deal will show up in PCE Q3. This maintains our 'headline cools, core stays sticky' thesis.
Bürgenstock / MOU Clock
0%→0%0pp
INTACT: MOU day 6 clean. Physical flows confirmed. August 18 = full 60-day commitment deadline. July 19 = 30-day compliance checkpoint. Energy Secretary Wright's statement ('ended Iran's ability to close Hormuz') is the strongest US signal yet of commitment to keeping the strait open. Monitoring.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | BoJ Sep 2026 Second Hike | Sep 2026 | 51% | 62% | +11pp | WATCH — entry at 55-65c after Japan Jul CPI | $TBD | 6/10 |
| 2 | Strait of Hormuz Jul 31 | Jul 31 | 52% | 62% | +10pp | ADD YES — added $50 today | $$8.2M+ | 7/10 |
| 3 | Hormuz Dec 31 Normalization | Dec 31 | 85% | 92% | +7pp | WATCH — physical flows confirmed, consider entry | $TBD | 8/10 |
Top 5 Opportunities
1
BoJ September 2026 Rate Hike — YES
↑ BUY YES+11pp
Market price
51%
Fair value
62%
Gap: +11pp
BoJ Sep hike watch at 51%. US PCE 4.0% YoY widens Fed-BoJ divergence: Fed hiking to 4.0% vs BoJ at 1.0% = 300bp structural gap. USD/JPY pushing toward 162 — every 5-handle on USD/JPY increases BoJ import inflation urgency. The AI chip rally (Micron beat, SNDK +7.6%, AMAT +6%) lifts Nikkei, giving BoJ room to hike without crashing equity markets. Japan July CPI (late July) is the trigger: print 2.5%+ sustained → enter 55-65c. 11pp gap to FV is the most attractive watch in the portfolio. DO NOT ENTER before July CPI.
▵ Bull case
- Fed-BoJ divergence widening (Fed 3.75%→4.0% vs BoJ 1.0%)
- USD/JPY pushing 162 — extreme yen weakness
- Micron AI narrative lifts Nikkei — BoJ can hike without market crash
- PCE 4.0% US raises global rate floors
▿ Bear case
- WTI $71 partially offsets yen import cost pressure
- BoJ may pause after June 16 hike
- Data confirmation required
2
Strait of Hormuz Normal by Jul 31 — YES
↑ BUY YES+10pp
Market price
52%
Fair value
62%
Gap: +10pp
CNBC confirmed June 24: 4.8 million barrels/day flowing through Hormuz. 20+ tankers with 35M barrels cleared the Gulf since June 19 MOU. Energy Secretary Wright: 'U.S. has ended Iran's ability to close Hormuz.' This is the physical confirmation the market was waiting for. FV upgrades from 52% to 62%: the IMF Portwatch 60/day MA ramp is now happening in real-time. At 52% market price vs 62% FV, there's a 10pp gap. Adding $50 to average down from 57c entry. July 19 = 30-day compliance checkpoint. ADDING.
▵ Bull case
- 4.8M b/d flowing — IMF Portwatch ramp confirmed
- 35M barrels cleared Gulf — insurance accelerating
- Energy Secretary: 'ended Iran's ability to close Hormuz'
- WTI $71 = oil market pricing long-term normalization
▿ Bear case
- 60/day 7-day MA not yet officially confirmed
- IRGC compliance must hold through July 19
3
Hormuz Dec 31 Normalization — YES
↑ BUY YES+7pp
Market price
85%
Fair value
92%
Gap: +7pp
Hormuz Dec 31 at 85%. With 4.8M b/d flowing and the Energy Secretary's statement, December normalization probability is high. 7pp gap to 92% FV is moderate. Small entry ($25) could be justified. Monitor to see if Poly moves on today's CNBC confirmation first.
▵ Bull case
- Physical flows confirmed
- Energy Secretary: permanent closure ability ended
- August 18 MOU full commitment deadline
▿ Bear case
- December is 6 months away — many political risks
- Nuclear deal still unresolved