Back to the register
Macro & Policy · 9 September 2026
The options market is pricing calm into a rates market pricing a firmer path and a Treasury yield…
The options market is pricing calm into a rates market pricing a firmer path and a Treasury yield at the 99.2nd percentile of its year, a positioning gap the 8 September note's credit-stress finding does not explain.
- What would prove it wrong
- If the VIX closes above 20 in the five sessions following the 11 September Core CPI y/y print, the options market has repriced its assessment of the rate-path risk it is currently underpricing.
- Stated probability the thesis holds
- 62% · 6d horizon
- Status
- Broke · 10 September 2026 · Assessed against market data
- How it settled
- VIXCLS closed below 20 on 2026-09-10 (close 17.84)
A dated research thesis and its assessment. This is not portfolio performance or an investment recommendation.