Daily Macro US
Brent Crude
~$92
5-week high (from <$72 early July) — 20% Hormuz toll + ongoing strikes; the book's master variable
10Y Treasury
4.592%
~21bp from pos-017's 4.80 touch — oil is pure term-premium fuel now; FV raised to 42
Fed Hike 2026 (pos-010)
60.5%
+$20 MTM, best since entry; July-hike market rebounded 6.6 → 14.5c on the oil channel
Japan CPI (correction)
Was Jul 18
Our 'Jul 22' flag was off — June national print already landed (cooled, sub-2%). BoJ Jul 31 is the live event
pos-018 (GDP)
23.5c
Eased on thin volume; GDPNow ~1.7 unchanged. BEA advance Jul 30 — no chase, no panic
Book
+$57.85
Fresh unrealized high; 5 of 6 green three sessions from the crescendo
Brent touched $92 — a five-week high, up from under $72 at the start of July — and the whole book is levered to it. A calendar correction first, in keeping with how we run: we'd flagged 'Japan CPI Wednesday' as today's catalyst, but the national June print actually landed July 18 (core cooled as expected, still sub-2% on fuel subsidies and base effects). There is no fresh Japan data today; the BoJ statement on July 31 remains the only live Japan event, and our September-hike market drifted back to 12.5c — still no re-entry (our re-open line is <13c, which it now technically satisfies, but with FV 25 that's a 12.5pp edge on a comatose $1K book, and the July 30-31 statement is nine days out; we hold the gate rather than chase a print that already happened). The real action is the oil-to-rates transmission working in real time. With Brent at $92 and a 20% Hormuz toll in force, Treasury yields pushed the 10Y to 4.592% — now just ~21 basis points from the 4.80 touch that resolves pos-017, which marks 26.5c (+$15, the book's best position) and gets its FV raised to 42. pos-010 hit 60.5c (+$20) as the July-hike market itself rebounded from 6.6c to 14.5c — the same energy-inflation logic re-arming the entire hike complex a week before the FOMC. Zero-cuts sits at 84.8c; a $92-oil world simply has no cut in it. The one soft spot is pos-018, which eased to 23.5c on thin summer volume even as GDPNow holds near 1.7 — we don't chase our own thesis down, but we don't panic on $106 of turnover either; BEA advance is eight days out. Equities, notably, shrugged the oil off: chips and bank earnings (Morgan Stanley, BofA) lifted all three indexes Tuesday, the S&P +0.89%. Book: 6 open, $457 staked, +$57.85 unrealized (a fresh high), +$476.28 realized, 9/12. The runway to the July 29-31 crescendo is now three sessions. No trades today.
Today's Market Moves
10Y Touches 4.8% (pos-017)
24.5%→26.5%+2pp
The 10Y at 4.592 is ~21bp from resolution and Brent at $92 is still climbing — the war engine alone could print the touch before the FOMC. FV 38 → 42. This under-loved $25 position is quietly becoming the book's best asymmetric bet.
Fed Rate Hike 2026 (pos-010)
58.5%→60.5%+2pp
60.5c on $65K volume — the market keeps walking to our raised FV of 60 as $92 oil makes the supply-inflation hike case louder. Trim half >64c; the FOMC Jul 29 is the two-way event.
BoJ 25bp Hike at Sep Meeting
19%→12.5%-6pp
Fell back to 12.5c — technically at our <13c re-open line, but we DON'T re-enter: FV 25 gives a fat edge on paper, yet it's a $1K-volume book, the catalyst (statement) is nine days out, and re-entering a gate we closed yesterday on a mechanical price tick is exactly the discipline-drift we warned against. Hold the gate; the statement decides.
US GDP Q2 = 1.5-2.0% (pos-018)
26.5%→23.5%-3pp
Thin-volume give-back; GDPNow anchor unchanged near 1.7. We hold FV at 35 and the position at $25 — the invalidation is a GDPNow move outside 1.40-2.05, not a $106 price wiggle.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | 10Y Touches 4.8% Before 2027 | Dec 31 | 26.5% | 42% | +15pp | HOLD $25 YES — 21bp from resolution, Brent $92 fueling it | $$245K | 6/10 |
| 2 | US GDP Q2 = 1.5-2.0% | Jul 30 | 23.5% | 35% | +12pp | HOLD $25 YES — GDPNow ~1.7; thin-volume dip, no chase | $$15K | 5/10 |
| 3 | Fed Rate Hike 2026 | Dec 2026 | 60.5% | 60% | 0pp | HOLD YES — at FV; trim half >64c; FOMC Jul 29 | $$65K/day | 7/10 |
| 4 | Zero Fed Cuts 2026 | Dec 31 | 84.8% | 88% | +3pp | HOLD YES — $92 oil removes the last cut argument; review 90c | $$19K/day | 7/10 |
| 5 | BoJ 25bp Hike at Sep Meeting | Sep 2026 | 12.5% | 25% | +12pp | GATE HELD — at re-open line but statement 9 days out; no chase | $$1K/day | 5/10 |
| 6 | Fed Funds End 2026 = 4.0% | Dec 31 | 26.8% | 30% | +3pp | HOLD $25 YES — rides pos-010 | $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+15pp
Market price
26.5%
Fair value
42%
Gap: +15pp
Twelve days ago this was a $25 lottery ticket at 16.5c that 'shouldn't be working.' Today the 10Y is 21bp from the touch, Brent is at a five-week high, and a 20% shipping tax is manufacturing exactly the term-premium the contract needs. We raise FV to 42 — the war engine alone now justifies it, before the Fed engine even fires next Wednesday.
▵ Bull case
- 10Y 4.592 — the last 21bp is one hawkish FOMC or one oil headline
- Brent $92 and climbing feeds breakevens directly
- $60B+ H2 issuance calendar is an independent third push
▿ Bear case
- A sudden Iran ceasefire collapses the war engine (see the ceasefire markets)
- Correlation cap keeps size at $25 despite a 15pp edge
- The Fed could verbally cap yields with dovish guidance
2
US GDP Q2 = 1.5-2.0% (advance) — YES
↑ BUY YES+12pp
Market price
23.5%
Fair value
35%
Gap: +12pp
Eased 3c on nothing — $106 of daily volume in a sleepy summer market. The anchor that matters, GDPNow, sits near 1.7 exactly where it was at entry. We built a rule for this: the invalidation is a model move, not a price move. Eight days and two more GDPNow refreshes to the BEA advance.
▵ Bull case
- Model anchor unchanged; crowd's 2.0-2.5 favorite still bleeding (28.5c)
- Two refreshes left, each a free invalidation check
▿ Bear case
- Blockade-driven trade/inventory swings are GDPNow's known weak spot
- Edge back to 12pp but conviction stays 5 on model error
3
Fed Rate Hike 2026 — YES
↑ BUY YES0pp
Market price
60.5%
Fair value
60%
Gap: 0pp
At fair value and +$20 — the thesis is now mostly realized and the position is inventory awaiting a catalyst. That catalyst is a week away and genuinely two-sided: a Warsh Fed that acknowledges the $92-oil supply shock pushes this through 64c and triggers our half-trim; dovish 'look-through' guidance sends it back toward 52c and tests patience. Rules are written for both.
▵ Bull case
- $92 Brent is a supply shock a hawkish chair can cite directly
- Sep and Oct windows both live; two CPIs before year-end
▿ Bear case
- Zero edge at 60.5 vs FV 60 — pure inventory now
- 'Transitory oil' is the dovish escape hatch Warsh could take
4
Zero Fed Cuts 2026 — YES
↑ BUY YES+3pp
Market price
84.8%
Fair value
88%
Gap: +3pp
The quietest 'right' on the board: a market pricing whether the Fed cuts in a year when oil just hit $92 and a shipping toll is live. It doesn't. 84.8c grinding toward 88; the only decision is the capital-efficiency review if it reaches 90c into a year-end that's still five months of carry away.
▵ Bull case
- Every macro vector this week deepens the no-cut case
▿ Bear case
- 3.2pp of edge; long carry; a growth shock is the lone tail
5
BoJ 25bp Hike at September Meeting — YES
↑ BUY YES+12pp
Market price
12.5%
Fair value
25%
Gap: +12pp
Back at 12.5c, technically our <13c re-open line — and we still decline. Not because the edge isn't there on paper (it is, 12pp) but because re-entering a gate we closed yesterday, on a mechanical tick, in a $1K book, nine days before the only catalyst, is how a rules-based portfolio quietly stops being one. The statement on July 31 opens the gate honestly or not at all.
▵ Bull case
- 12pp paper edge; October hike odds still ~69%
▿ Bear case
- $1K daily volume can't absorb a real position
- Re-opening on a price tick is discipline-drift by another name