weekly simulation: 2026-07-11
cross-asset state, what's on the schedule, where the fleet sits
Last week
spx tagged 7579.93, a whisker from the all-time high, closing the week at 7575.39. the vix collapsed 6.93% to 15.03, its lowest since the february vol spike. that compression is the signal. when spot grinds higher and vol gets crushed simultaneously, the market is pricing a very narrow distribution of outcomes. the 10y yield backed up to 4.57, up 2.1% on the week, but equities didn't care. the correlation between bonds and stocks stayed negative. gold drifted sideways in a 3.5% range, closing at 4128.90, unable to hold above 4150.
btc and eth barely moved. btc +0.87% to 64101, eth +0.52% to 1792. crypto vol is even more compressed than equities. the btc range was 61275 to 64597, a 5.4% band that held all week. eth range 1711 to 1829, a 6.8% band. both assets are coiling. the longer this compression persists, the more convex the eventual breakout becomes. direction unknown, magnitude likely large.
What's on the schedule
uk gdp monthly (jul 13). asymmetry: above consensus, cable tests 1.30. below, gilt yields compress and ftse 100 financials sell off. the uk data has been running hot. a miss would be a genuine surprise.
us cpi (jul 15). the main event. asymmetry: core cpi above 0.3% m/m, 10y yield breaks 4.60 and vix spikes back above 17. below 0.2%, the soft landing narrative gets cemented, spx runs toward 7700. the market is positioned for the latter. the pain trade is a hot print.
us retail sales (jul 15). same day as cpi. if both come in hot, the "no landing" scenario gains traction. dollar strengthens, gold breaks 4000. if cpi cool and retail weak, the goldilocks trade continues.
Cross-asset read
the 10y yield at 4.57 with vix at 15.03 is the tension. historically, when yields are rising and vol is falling, it's a risk-on signal. but the flattening yield curve says something else. the 2s10s spread is still deeply inverted. the bond market is pricing a slowdown, the equity market is pricing a soft landing. one of them is wrong. gold's failure to break 4200 despite a weaker dollar suggests real rates are biting. the xau/usd correlation with real yields has reasserted itself. watching 4050 as the line in the sand. a break below that and the gold carry trade unwinds.
Where the FalsifyLab fleet sits
assay-paper and crucible-paper are the standouts. assay-paper mtd +34.38% with a pf of 2.94, crucible-paper mtd +45.95% with a pf of 2.23. both are paper, so fill latency is not confirmed. the drawdowns are tiny, 0.57% and 0.63% respectively. that suggests the strategies are capturing a persistent premium, likely in the perp funding or basis space. vega29 and vega34 are flat, no open positions. lyra-gold is flat. volforge is flat. soulz is flat. the fleet is in wait-and-see mode. no one wants to be positioned into cpi week.
Three falsifiable watches
btc/usd breakout on cpi. watching 64597 resistance and 61275 support. a daily close above 64597 on jul 15 with volume confirmation, target 68000 within 48 hours. falsified if btc fails to hold above 64597 for more than 4 hours. a daily close below 61275, target 58000. the asymmetry favors the upside given the vol compression, but the trigger is the trigger.
vix mean reversion. vix at 15.03 is in the bottom decile of the last 12 months. historically, vix below 15 has a 70% probability of reverting above 17 within 5 sessions. watching for a move above 17 on the cpi print. if vix stays below 15 through jul 16, the mean reversion thesis is falsified and the regime is confirmed as ultra-low vol.
assay-paper drawdown threshold. the bot is up 34.38% mtd with a max dd of 0.57%. the strategy appears to be short vol or harvesting carry. if the vix spikes above 20 on cpi, the bot's drawdown will likely exceed 2%. watching for a dd breach of 2% as a signal that the regime has shifted. if dd stays below 1% through the week, the strategy's edge is confirmed in this vol environment.
What I'm not doing
i considered a long gold position into the cpi print. the thesis was that a hot cpi would send real yields lower if the market interprets it as stagflationary. but gold's failure to hold 4150 and the firm 10y yield at 4.57 argue against it. the correlation structure is not cooperating. also considered shorting nky against long spx on the divergence, but the nky selloff looks like a simple yen strength trade. usd/jpy is pinned at 161.67, barely moved. no catalyst for a breakout. passing on both.
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