House Delta — 2026-07-15

desk: house-delta date: 2026-07-15 forecasts: delta: p_trade: 0.25 direction: long conviction: low

Desk Plan — House Delta — 2026-07-15

Briefing reference: /Users/dadbot/Desktop/ClaudeBod/projects/dadbrain/Analysis/briefings/2026-07-15-pm.md PM: DELTA (continuing founder, sole member)

Shared Market Read

• Event risk today: MEDIUM — no formal Tier-1 event (FOMC/CPI/NFP/PCE), but PPI (June) at 8:30 AM ET is effectively a HIGH-impact catalyst in context. Empire State Manufacturing at 7:30 AM, Fed Chair Warsh testimony Day 2 (~10 AM), Fed Beige Book at 2 PM. Heavy data day.
• Session character expected: News-driven / binary — the PPI print at 8:30 AM will determine whether the Tuesday CPI relief rally extends (soft print confirms disinflation) or reverses (hot print reasserts energy-inflation narrative). Best entries likely after the dust settles (9:00-9:30 AM), not at the open.
• VIX regime: 16.38 — LOW (< 18). DELTA performs best in low VIX (strategy_v2: dev PF 2.59 in VIX < 20). This is the single most favorable structural condition for today's session.
• Key levels: QQQ prior close 719.71 (below SMA20 722.10 — still below despite Tuesday's +1.10% CPI-relief rally). SPY 751.94 (above SMA20 744.85). NVDA prior close (~$122 zone) — if ASML's beat-and-raise drives a gap-up, watch for whether it holds or fades. For DELTA's signal: NVDA open → 9:55 close return is the only threshold that matters.
• Macro backdrop: PPI (June) follows yesterday's CPI surprise (-0.4% MoM headline vs -0.1% cons). The disinflation story needs a soft PPI to confirm. ASML's beat-and-raise overnight (€9.3B net sales, raised 2026 guidance) is the cleanest AI-demand signal this week and directly supports the NVDA→ASML supply-chain thesis.

DELTA — NVDA→ASML, AMD→TSM (LONG-only)

Setup present: Possible, but structurally dependent on the PPI print outcome. PPI is NOT a hard skip for DELTA (hard skips are FOMC, CPI, NFP, PCE only — confirmed in strategy_v2.md). The session is tradeable under the rules.

Two conflicting forces shape today's signal probability:

Bullish for the setup:

• ASML's beat-and-raise overnight is the strongest AI-demand catalyst since before the IBM profit warning. ASML raised 2026 guidance to €43-45B — this directly validates the supply-chain thesis DELTA trades (chip design demand → equipment demand). ASML is the laggard in the NVDA→ASML pair; positive ASML news creates a tailwind for the pair's direction.
• VIX at 16.38 (LOW regime) — DELTA's best historical regime (dev PF 2.59). The lead-lag propagation is cleanest when macro vol is low.
• The PPI print at 8:30 AM will set the open. If PPI is soft (confirming disinflation alongside CPI), the CPI relief rally extends and semis could gap up on both the macro tailwind and the ASML catalyst. A sustained +1.5% first-hour return in NVDA becomes more likely.

Bearish for the setup:

• The ASML beat is a pre-market catalyst, not a first-hour catalyst. DELTA's signal measures the leader's return from 09:30 open to 09:55 close. If NVDA gaps up 2% on the ASML beat + PPI outcome and then trades flat or drifts lower through the first hour, the first-hour return could be near zero or negative — the gap is already priced in before the open.
• A hot PPI (headline MoM positive, above 6.2% YoY) would reverse the CPI relief rally, putting semis in risk-off mode. NVDA would gap down, and a LONG-only strategy cannot trade a leader-down signal.
• The event-day diagnostic (skip disabled) has not been performed. TEMPER's clearance review noted that macro events "can break lead-lag relationships" for Family 4. While PPI is not a hard skip, the same logic applies: a macro-driven open on PPI day may produce a first-hour move that reflects inflation repricing, not supply-chain information. The confound is real even if the rules allow the trade.

Most likely scenario: NVDA gaps up modestly (0.5-1.5%) on the ASML beat, then the first-hour drift determines the signal. A clean first-hour return ≥ +1.5% requires the post-gap move to extend rather than fade. The PPI outcome at 8:30 AM is the critical variable — it sets the entire session's character before the 09:30 open.

p_trade 0.25 rationale: The setup is possible but structurally unlikely. The pre-market catalyst creates a gap that makes the first-hour return harder to evaluate (the information is priced before the open, not during the first hour). A qualifying signal requires a specific confluence: PPI soft, NVDA modest gap, sustained first-hour rally, all before 10:00 ET. That's about 1-in-4 odds given the binary PPI risk and the gap-dependency of the signal.

Sizing: Standard 0.75% if a signal fires. If both pairs fire, the stronger |leader return| wins (single position, no stacking). No sizing reduction warranted — VIX LOW regime and the 15:30 hard flat protects against any Beige Book or Warsh testimony cross-currents.

Key levels for signal evaluation:

• NVDA first-hour return (09:30 → 09:55 close): need ≥ +1.5% for LONG signal
• AMD first-hour return: same threshold
• If NVDA gaps up > 2% at the open, the first-hour return is likely compressed — the gap has already absorbed the catalyst
• If NVDA gaps up < 0.5% with a soft PPI, dip-buying could push the first-hour return above 1.5% — the most tradeable scenario
• VIX staying below 20 through the first hour is a precondition for signal quality

Invalidation:

1. Hot PPI print (headline MoM positive, YoY above 6.5%): Risk-off in semis, NVDA/AMD gap down, LONG-only strategy cannot trade. Most likely invalidation path.
2. NVDA/AMD first-hour return fails to clear ±1.5%: Standard no-signal day — the most likely outcome regardless of PPI.
3. NVDA gaps up > 2.5% at the open: The catalyst is fully priced in the gap. First-hour return will be compressed or negative. The tradeable signal — a modest gap that extends in the first hour — is not present.
4. VIX spikes above 22 intraday: Elevated vol degrades lead-lag performance (VIX 20-30: dev PF 1.30). The macro uncertainty would contaminate the signal.

Plan Filed

• Filed: 2026-07-15 07:30 ET
• Frontmatter forecasts complete for every active member: yes
• Firm-wide trade status: GO (no Tier-1 hard skip today)
• Member status: delta — p_trade 0.25 (possible, PPI-dependent, gap-dependent)

No trades taken.