Daily Macro US
pos-013 CLOSED in full
+$8.03 at the 92.8c bid
The pre-committed review fired and took the whole position this time. Meeting ladder caps no-cut-in-2026 at 91.85 under perfect correlation against a 92.85 market. $3.80 of upside left against $49.03 at risk - 12.9 to 1 against.
pos-010 CLOSED, no gate required it
+$3.41 at the 70c bid
Fair value cut 70 -> 65 on two agreeing constructions (meeting route 64, ladder hike mass 65.1) against a 70.5 market. We closed pos-013 at one point rich; holding this at 5.5 would be a stricter test on the position we wanted to sell.
Gate evaluation CHANGED
daily settle, not intraday
Five consecutive late gates since Aug 31. The fix is to match trigger frequency to observation frequency rather than confess again. Costs us the best intraday exits; buys a rule we can actually keep.
Fed September
48.5c / FedWatch 49.4%
The trade we refused on Sep 2 at 8.5 points has closed to 0.9 - by the MARKET falling to us, not by our side being paid. Waller's Thursday remarks took September from about 65% to a coin flip.
Brent crude
near $97, highest since July
US strikes on three Iranian oil tankers over the weekend, one destroyed, after ballistic-missile attacks on US Navy warships. Tehran promises a restricted maritime zone beyond Hormuz; Vance rules out talks until attacks stop.
Book
2 positions, $125 staked
The smallest this book has been. Both survivors are marked CHEAP on the identical test that closed the other two: pos-004 3.8 points, pos-011 1.2 points at the bid.
Stake ladder RESCALED
$50 / $100 / $125 / $175 / $225 / $275 / $350
Equity is $1,763.04 and 91.5% of it sits in cash, with no NEW position opened since July. The ladder was always percentages of the bankroll and we stopped updating the base. Entry bar, Kelly formula and correlation cap all unchanged - nothing gets bought that would not have been.
Sunday's refresh honoured two written gates and deliberately published no letter, on the grounds that a gate left unhonoured because of our own calendar is not a rule. This is the letter it owed, and the first thing it does is correct Sunday. pos-013 is now FULLY CLOSED. On Sunday we trimmed half on the 90c efficiency gate, wrote plainly that the arithmetic said all of it, and admitted we had taken half because halves are what this book does - convention beating arithmetic rather than analysis. We pre-committed to a fresh review at the next run with a full exit on the table if the leg was still at or above fair value. It is. Polymarket's own meeting ladder now prices a cut at 0.50% in September, 3.70% in October and 8.15% in December; under perfect correlation - the most generous construction available to us - the ceiling on no-cut-in-2026 is 91.85, against a 92.85 market. One point rich on the flattering number and 4.85 on the honest one, with $3.80 of upside left over 115 days against $49.03 of capital at risk. Twelve to one against. Sold, all of it, at the 92.8c bid for +$8.03. Then pos-010 went too, and no gate required it. Its fair value is cut 70 to 65 on two independent constructions that agree with each other - the meeting route gives 64, the ladder's hike mass gives 65.1 - against a market at 70.5. We had just closed pos-013 for being ONE point rich. Holding pos-010 at five and a half would have meant applying a stricter test to the position we wanted to sell than to the one we wanted to keep, which is not a method, it is a preference with arithmetic attached. Both go, same test, same session. We publish the counterweight against ourselves: that stub had genuinely better convexity than pos-013 did, 2.3 to 1 rather than 12.9 to 1, and selling it on a consistency argument has a real cost. And the structural failure gets fixed rather than confessed a fifth time. Every gate since Aug 31 has been honoured late, because each fired intraday while no run was scheduled. Sunday named the calendar as the problem and said repeating a confession is not the same as correcting a process. So, effective today: every price-triggered gate in this book now evaluates on the DAILY SETTLE, not on any intraday print. A desk that looks once a day cannot honour an intraday trigger, and writing one guarantees lateness. This will cost us the best intraday exits, and we take that trade, because a rule we can keep beats a better rule we cannot.
Today's Market Moves
Zero Fed Rate Cuts in 2026 (pos-013)
92.95%→92.85%-0.1pp
CLOSED IN FULL at the 92.8c bid into 4,969 shares of depth - no walk. The pre-commitment written Sunday said a full exit was on the table if the leg was still at or above fair value, and at 92.85 against a 91.85 ceiling it is. Sunday's half sold at 92.9; today's half at 92.8. The convention cost five hundredths of a cent, which is luck rather than vindication.
Fed Rate Hike in 2026 (pos-010)
71.5%→70.5%-1.0pp
CLOSED at the 70c bid on a consistency argument rather than a gate. The 72c trim stayed disarmed - it re-arms only below 68c and the leg has not been there since Friday - and the 48c floor is 22 points away. What moved was our own number: 70 -> 65. Whole-position result: entered 55c on $200 in June, out across four trims and a close at 66.5, 70, 71, 71 and 70, realised +$48.87.
Fed September 25bp increase
59.5%→48.5%-11.0pp
Bid 48 / ask 49; no change 51.5c. CME FedWatch 49.4% hike against 50.6% hold, down from 57% a week ago and about 65% on Wednesday. We refused this at 8.5 points on Sep 2 and the gap is now 0.9 - closed entirely by the market coming down to us. Right call, and we did not earn it.
US Unemployment 2026 >= 5.0% (pos-004)
9.25%→9.75%+0.5pp
FOURTH consecutive session rising against us on the best news this position will ever get. Payrolls +162,000, July revised -23,000 to +23,000, unemployment HELD at 4.1%. We log the disagreement for a second letter rather than reaching for a story. Still marked 3.8 points cheap on our own fair value of 6.
Fed Rate End 2026 = 4.0% (pos-011)
41.75%→41.2%-0.55pp
FV 44 -> 41 mechanically, so our number and the market have converged for the first time since entry. The internal disagreement we flagged all week narrowed hard: ladder hike mass 65.10 against the standalone contract's 70.50 is 5.4 points, from 9.0 Wednesday and 9.3 Tuesday. Better agreement makes today's fair value the most trustworthy we have published here.
10Y Touches 4.8% Before 2027 (pos-017, closed Sep 1)
91.3%→93.7%+2.4pp
Still not ours and still unresolved. The 10-year settled 4.78% on Friday (Treasury par curve), two basis points from the barrier. Our 151.5152 shares would fetch $141.76 at today's mid against the $108.61 we took on Sep 1. Verdict unchanged: correct process, bad outcome.
Screening Table
| # | Market | Expiry | Market Price | Fair Value | Gap (pp) | Direction | Volume | Confidence |
|---|---|---|---|---|---|---|---|---|
| 1 | Zero Fed Rate Cuts in 2026 | Dec 31 | 92.85% | 92% | -0.85pp | CLOSED $41 YES at 92.8c on the pre-committed review - one point above the most generous fair value, 12.9:1 against on remaining upside | $$7.9M | 5/10 |
| 2 | Fed Rate Hike in 2026 | Dec 31 | 70.5% | 65% | -5.5pp | CLOSED $12.50 YES at 70c - no gate required it; closing pos-013 at one point rich makes holding this at 5.5 indefensible | $$8.4M | 4/10 |
| 3 | US Unemployment 2026 >= 5.0% | Dec 31 | 9.75% | 6% | +3.75pp | HOLD $100 NO - marked 3.8pp cheap; fourth session rising against us on good news and still no verified explanation | $$124.6K on the leg | 4/10 |
| 4 | Fed Rate End 2026 = 4.0% | Dec 31 | 41.2% | 41% | -0.2pp | HOLD $25 YES - FV 44 -> 41 and our number has converged with the market; 1.2pp cheap at the bid | $$1.37M on the leg | 3/10 |
| 5 | Fed September 25bp increase | Sep 16 | 48.5% | 49% | +0.5pp | NO POSITION - the 8.5pp we refused on Sep 2 is now 0.9pp, closed by the market falling to us rather than by us being paid | $$16M on the leg | 4/10 |
| 6 | SIZING METHOD - stake ladder rescaled to equity | standing | 0% | 0% | 0pp | CHANGED - ladder restated as 2.5/5/7.5/10/12.5/15/20% of equity, recomputed monthly; cap 20%. Entry bar untouched at 10pp. | $$1,613.76 idle (91.5% of equity) | 5/10 |
Market vs Fundamentals
Market Price (red) vs Estimated Fair Value (green) — %
Top 5 Opportunities
1
Zero Fed Rate Cuts in 2026 - the pre-commitment fired and we took all of it this time — YES
↑ BUY YES-0.85pp
Market price
92.85%
Fair value
92%
Gap: -0.85pp
On Sunday the 90c efficiency gate fired on the payrolls print and we trimmed half. In the same note we wrote that the arithmetic said the whole position, that pos-002 and pos-003 had both been closed entirely on this identical calculation in July, and that we had taken half because halves are what this book does. We called it convention beating arithmetic and told readers to judge it accordingly. Then we pre-committed: a fresh review at the next run, full exit on the table, if the leg was still at or above fair value. It is 92.85 against a fair value of 92, so the review runs and the answer is sell everything. The construction, on today's numbers rather than Sunday's: Polymarket's meeting ladder prices a cut at 0.50% in September, 3.70% in October and 8.15% in December. Treating a cut at any meeting as one regime shift rather than three independent draws - the assumption most generous to a position we own - caps no-cut-in-2026 at 91.85. Under independence it is 88.0. We were marked one point above the flattering number and 4.85 above the honest one, holding $49.03 of capital for $3.80 of remaining upside over 115 days. Sold at the 92.8c bid into 4,969 shares of depth.
▵ Bull case
- Cleveland's September core PCE nowcast is 3.49% and headline PCE 3.91%. Inflation accelerating into the autumn is still the strongest argument this thesis ever had.
- Payrolls +162,000 with unemployment holding 4.1% removes the labour-market excuse for a cut entirely.
- Brent near $97 after strikes on three Iranian tankers keeps the energy contribution to inflation positive.
- The position was right the whole way: $82 of stake returned +$16.11 across the trim and the close, and it never once traded against the thesis.
▿ Bear case
- We sold at 92.8 and the contract can only go to 100. If no cut happens - and our own model says that is 88 to 92 likely - we have left $3.80 on the table for the certainty of not losing $49.03.
- Sunday's half-trim was the wrong size and we knew it at the time. Getting it right two days later at a price five hundredths of a cent worse is luck, not process.
- Closing this removes the book's largest position and its anchor holding. Two positions and $125 of stake is a very small book to be running.
- The 8.15% December cut probability that drove the ceiling is itself a market price we did not independently verify - we are marking one Polymarket contract off another.
2
Fed Rate Hike in 2026 - closed on consistency, with no gate to hide behind — YES
↑ BUY YES-5.5pp
Market price
70.5%
Fair value
65%
Gap: -5.5pp
No written trigger covered this. The 72c trim stayed disarmed all session - it re-arms only below 68c and the leg has not been there since Friday morning - and the 48c floor is twenty-two points away. What changed is our own number, and it changed a lot. Fair value is cut from 70 to 65 on two constructions built independently and published so both can be checked. The meeting route: Polymarket has a September hike at 48.5c and CME FedWatch at 49.4%, blending to 48.6, and conditional on no September move roughly 30% across October and December gives 0.486 + 0.514 x 0.30 = 0.640. The ladder route: the end-2026 rate ladder prices 4.0% at 41.20, 4.25% at 19.05 and 4.5%-or-more at 4.85, a hike mass of 65.10 - which is the market's direct answer to the same question this contract asks. Sixty-four and 65.1. The leg trades 70.5, so we are marked 5.5 points rich. We closed pos-013 an hour earlier for being ONE point rich. There is no defensible way to apply a one-point test to the position we wanted to sell and a five-and-a-half-point tolerance to the one we wanted to keep. Both go, on the same test, in the same session.
▵ Bull case
- Cleveland has September core PCE at 3.49%, accelerating. A committee facing that does not obviously stop at zero hikes.
- The December meeting still prices a 43.5% chance of a 25bp increase. The year is not over and this contract runs to Dec 31.
- Brent near $97, the highest since July, with Tehran promising a restricted maritime zone beyond Hormuz. Energy is pushing the wrong way for the doves.
- The stub had genuinely better convexity than pos-013: $6.82 of upside against $15.91 at risk, 2.3 to 1 rather than 12.9 to 1. We sold a better-shaped position than the one the arithmetic actually condemned.
▿ Bear case
- Two independent constructions put fair value at 64 and 65.1 against a 70.5 market. Being 5.5 points rich is not a rounding error.
- Waller said Thursday he could support a hold if disinflation continues and that August inflation will drive his vote. The Fed's own governors are talking the hike odds down.
- FedWatch has gone 65% to 49.4% in four sessions. Our thesis is being repriced by the people who set the price.
- Consistency forced this and consistency is not analysis. We should be clear that we sold a position on a comparison rather than on its own merits.
3
US Unemployment 2026 - four sessions rising against us on the best news it will ever get — NO
↑ BUY YES+3.75pp
Market price
9.75%
Fair value
6%
Gap: +3.75pp
The August employment report was the single most favourable print this position could have received. Payrolls came in at +162,000 against a consensus near 53-60,000, July was revised from -23,000 to +23,000, and the unemployment rate HELD at 4.1% when consensus had it ticking to 4.2%. Our side of the contract should have fallen. It has gone 7.55 to 9.25 to 9.75 across four sessions instead. This is the second letter running in which we have written that we do not have an explanation, and we are still not going to manufacture one. The candidates - thin liquidity on the leg, a hiking Fed raising the 2027 policy-error tail, internals narrower than the headline - are all unverified, and picking the most flattering would be worse than admitting the gap. What we can say is that the position is still cheap on our own arithmetic and that is the only reason it survives a session in which we closed two others. Fair value 6 on the YES makes the NO worth 94; the size-aware bid is 90.2. We are 3.8 points cheap, on a contract that still needs roughly 1.4 million additional unemployed Americans in under four months.
▵ Bull case
- Payrolls +162,000 with July revised positive and unemployment holding at 4.1%. The path to 5.0% by December got materially harder on Friday.
- Marked 3.8 points cheap on our own fair value - the same test that closed pos-013 and pos-010 keeps this one.
- The hard auto-close at YES below 5c is untriggered and carries no discretion, so the downside process is already written.
- ISM manufacturing at 54.6 and GDPNow at 4.7% describe an economy that does not shed 1.4 million jobs in a quarter.
▿ Bear case
- The market has moved against us for four consecutive sessions on unambiguously good news and we cannot explain it. That is the strongest bear argument available and it is ours.
- Fair value of 6 is our number; the market says 9.75. When a disagreement persists and widens, the base case should shift toward the market being right.
- The leg carries thin liquidity and our 133.3333 shares walk three levels to clear, so the published mark flatters what we could actually realise in a hurry.
- A hiking Fed genuinely does raise the tail of a policy-error recession, which is a mechanism that argues the market is pricing something real.
4
Fed Rate End 2026 = 4.0% - our number and the market finally agree — YES
↑ BUY YES-0.2pp
Market price
41.2%
Fair value
41%
Gap: -0.2pp
Fair value is cut from 44 to 41, mechanically and by the same method we have used all week: the end-2026 ladder prices 3.5% at 6.65, 3.75% at 23.10, 4.0% at 41.20, 4.25% at 19.05 and 4.5%-or-more at 4.85, a hike mass of 65.10, and pos-010's rebuilt fair value of 65 gives 65 x 41.20/65.10 = 41.1. So for the first time since we opened this position our number and the market's are the same number. That is worth as much attention as a disagreement would be. The internal inconsistency we have flagged loudly for a week has also narrowed hard: the ladder's hike mass of 65.10 against the standalone hike contract at 70.50 is 5.4 points, down from 9.0 on Wednesday and 9.3 on Tuesday. Two markets on one event agreeing better than they have all week makes today's fair value the most trustworthy number we have published on this leg. This position survives a session that closed two others for one reason only: at the 39.8c bid it is 1.2 points cheap, and the same test that condemned pos-013 at one point rich and pos-010 at 5.5 keeps this one.
▵ Bull case
- If the Fed hikes once and stops, this is the bucket that pays $73.53 on a $25 stake. FedWatch at 49.4% makes exactly one hike the modal outcome.
- The ladder-versus-contract disagreement has narrowed from 9.3 to 5.4 points, so the derivation behind our fair value is more reliable than at any point this week.
- Marked 1.2 points cheap at the size-aware bid, on the identical test that closed the other two positions today.
- Cleveland's September core PCE at 3.49% supports one hike considerably better than it supports none.
▿ Bear case
- Our fair value and the market are now identical. There is no edge here, only carry and a wide spread.
- The spread is 2.8 points - bid 39.8, ask 42.6 - on a $25 ticket, and our 73.5294 shares walk three levels to clear.
- Fair value is derived from pos-010's, and we just closed pos-010 for being mispriced. Deriving one number from a contract we consider 5.5 points rich deserves scepticism.
- Two hikes, or none, and this bucket pays nothing. It is the narrowest expression of a view the book no longer holds anywhere else.
5
Fed September - the trade we refused closed its own gap — NO POSITION
↑ BUY YES+0.5pp
Market price
48.5%
Fair value
49%
Gap: +0.5pp
On Sep 2 we declined this leg at 59.5c against a FedWatch of 65-68%, an 8.5-point gap, on the grounds that it sat under our published 10-point bar. We noted at the time that we kept failing by less than a point and that the temptation to write 'nine is basically ten' was exactly what a published bar exists to resist. Today it trades 48.5c against a FedWatch of 49.4%. The gap is 0.9 points. It closed almost entirely by the market falling eleven points to meet the futures, not by our side of the disagreement being paid. Two things follow, and they point in opposite directions. The bar was right: had we taken the trade at 59.5 on a 68 fair value, we would be eleven points underwater on a position that expires in nine days. And we did not earn that - we declined for a reason unrelated to what actually happened, which was Waller telling an audience on Thursday that he could support a hold if disinflation continues and that August CPI would drive his vote. Being right for a reason you did not have is worth logging as luck.
▵ Bull case
- The bar worked. Refusing an 8.5-point gap saved us an eleven-point drawdown into a nine-day expiry.
- At 48.5c against a 49.4% FedWatch there is now no gap at all, so there is nothing to reconsider.
- The correlation objection has fully resolved itself - the book holds no hike expression at all after today's two closes.
- Friday's CPI is a genuine two-sided catalyst nine days before the meeting, which is a reason to have no position rather than a small one.
▿ Bear case
- We refused it on a bar, not on a view. The reason it worked out was Waller, whom we did not forecast.
- Having closed pos-010 and pos-013, this book now has no expression at all on the single macro question it has written about every day for a month.
- 0.9 points is inside the spread, so there is no information in the market-versus-futures comparison today either way.
- A book down to two positions and $125 of stake may be running a discipline problem in the opposite direction - refusing everything is also a way to have no method.