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FX & Rates · 22 October 2026
The 91st-percentile leveraged short in the US 2-year Treasury yield is a bet on the Fed's priced…
The 91st-percentile leveraged short in the US 2-year Treasury yield is a bet on the Fed's priced path, which still shows 74 basis points of tightening over 12 months, and housing or credit data do not transmit into that position on a days-long clock.
- What would prove it wrong
- Fed funds futures compress the 12-month priced delta to 30 basis points or below, before the next Commitments of Traders report on 27 October.
- Review condition
- the Commitments of Traders report published 27 October: a fall in the net leveraged short below the 75th percentile, or a compression in the 12-month priced Fed path delta to 30 basis points or below, would signal that the short's rationale has shifted or deteriorated
- Status
- Revised · 23 October 2026
- How it settled
- Priced 12-month tightening has compressed from 74bp to 62.5bp (~12bp move), which neither triggers the stated 30bp-or-below falsifier nor matches a 'remains close to 74bp' characterization, so the stance needs updating to reflect the actual magnitude of compression without claiming the falsifier fired.
A dated research thesis and its assessment. This is not portfolio performance or an investment recommendation.