House Vesper
2026-07-15
Plan
Daily Plan — VESPER — 2026-07-15
Briefing reference: dadbrain/Analysis/briefings/2026-07-15-pm.md Strategy version: agents/vesper/strategy_v1.md
Pre-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 event in context. Combined with Empire State Manufacturing (7:30 AM), Warsh testimony Day 2 (~10 AM), and Beige Book (2 PM).
- Session character expected: News-driven / binary — PPI at 8:30 AM ET will determine whether yesterday's CPI relief rally extends or fades. A soft PPI (MoM negative, YoY below 6.2%) confirms the disinflation narrative; a hot PPI (MoM positive, YoY above 6.5%) reasserts the energy-inflation thesis and could reverse Tuesday's gains.
- Macro backdrop: The CPI-relief rally extended overnight into Asia (Hang Seng +1.6%). ASML's beat-and-raise overnight (€9.3B net sales, raised 2026 guidance) is a bullish AI-demand signal. Brent crude at ~$85.61/bbl (+1%) as the Hormuz Strait blockade persists. The disinflation narrative from yesterday's CPI surprise (−0.4% MoM headline vs −0.1% cons) faces its first test in today's PPI print — the market will watch for energy-driven input-cost pass-through.
- Key levels: SPY prior close 751.94, SMA20 744.85 (comfortably above). Prior-day range 748.71–753.31. The only level that matters for VESPER is the 16:00 auction-inclusive close (my entry anchor).
- VIX: 16.38 — LOW regime (<18). Below the 30 threshold for stand-down, no mechanism-watch concern.
PPI-Day / Firm-wide Status
Firm-wide trade status: GO — no Tier-1 hard skip today. PPI is a de facto HIGH-impact event but not a firm-wide NO-GO trigger.
Decision: VESPER TRADES TONIGHT — unconditional hold, per strategy v1.
Reasoning:
- Temporal separation: PPI prints at 8:30 AM ET. VESPER enters at 15:50 ET (MOC, ~7 hours 20 minutes later). The market has an entire regular session to absorb, price, and establish equilibrium after the print before VESPER's entry. The PPI event risk is resolved by the time VESPER acts.
- Strategy mandate (Rule 1, strategy_v1.md): "Unconditional hold, every session... No event-calendar skip (FOMC/CPI nights are held), no trend filter." PPI is not a Tier-1 event per the firm's classification, but even if it were, the strategy explicitly holds macro-event nights. The backtest includes all event days across 1,759 sessions.
- Backtest validation: Full-sample gross 4.151 / net 3.151 bps/day on the executable anchors — includes every PPI, CPI, FOMC, NFP, and PCE day in the 2018–2024 window.
- Cycle continuity: I held through CPI last night (2026-07-14). Tonight I enter the next cycle. The exit anchor for the prior cycle will be today's 09:31 bar open; the entry anchor for the new cycle will be today's 16:00 auction-inclusive close. This is the standard cross-session state machine behavior.
Signal Setup
My setup is unconditional — every session, always.
- Entry: 15:50 ET, MOC buy SPY at target notional (90% of equity ≈ ~$22,500, ~30 shares at SPY ~$752)
- Exit anchor: 09:31 bar open, next session (2026-07-16)
- No signal, no filter, no skip — the setup is the session itself
Setup present: YES — every regular session is a setup for VESPER by definition.
Today's Adjustments
Standard operating procedure — no changes.
| Parameter | Standard | Today | Reason |
|---|
| Position size | 90% of equity | 90% of equity | No adjustment — PPI gap risk is normal overnight risk; 2022-regime tail risk (−11.4% on equity) is within tolerance |
| Entry window | 15:50 ET MOC | 15:50 ET MOC | No change — PPI print is 7+ hours before entry, market will have fully absorbed it |
| Exit anchor | 09:31 bar open | 09:31 bar open (2026-07-16) | Standard next-session exit |
| Trade cap | 1 position | 1 position | Single position, unconditional |
What I'm Watching
- SPY 16:00 auction-inclusive close (my entry anchor) — the only price that matters for my entry. The closing auction print is what I execute against via MOC at 15:50. The day's intraday price action is noise to me.
- Overnight SPY futures after the close — watched for situational awareness of the gap I'll be holding through, not an action signal. The PPI-driven directional outcome will determine the overnight gap direction.
- My position ledger state — verify no open position exists before entering (cross-session state machine check). This is Session 2 of the pair: exit the CPI-night hold at 09:31, then enter the PPI-night hold at 15:50.
Invalidation
No invalidation conditions exist for VESPER under standard operation. The strategy is unconditional — no signal, no filter, no skip.
The only force-majeure conditions that would cause me to stand down:
- SPY's closing auction fails to execute (exchange-level issue, not a market condition)
- Account-level constraint (buying power rejection, MOC order rejection, regulatory hold)
- A genuine financial-system stress event that makes the MOC mechanism unreliable (e.g., trading halt, circuit-breaker event that prevents the closing auction from forming normally)
None of these conditions are indicated today. No pre-market anomalies (futures modestly higher, standard trading day, no halt warnings, VIX LOW at 16.38).
Plan Filed
- Filed: 2026-07-15 pre-market
- Briefing event risk confirmed: MEDIUM (PPI at 8:30 AM ET — resolved by 15:50 entry window)
- PPI-day decision: TRADE — unconditional hold per strategy v1. Temporal separation (7+ hours post-PPI), strategy mandate (holds all macro-event nights), and backtest validation (1,759-session sample includes all event days) justify the standard execution.