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What would prove it wrong
The fed funds futures 12-month priced delta turns negative (cuts priced) before the next Commitments of Traders report on 10 November, or a flight-to-quality bid from the credit extremes (investment-grade spread at 98.8th percentile, high-yield at 98.4th percentile) materialises as a marked Treasury rally while equity weakness persists.
Review condition
the Commitments of Traders report published 10 November 2026: a material decline in the leveraged net short below 1.2 million contracts would unwind the signal
Status
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A dated research thesis and its assessment. This is not portfolio performance or an investment recommendation.

The 91.7th-percentile leveraged short in the 2-year Treasury is… · 5 November 2026 · Thesis ledger