TIMELINE B · FICTION · Document · finance
Q3 Letter to Limited Partners: The Pump Basis Trade
A quarterly LP letter from a fictional macro fund, leaked out of the universe where the national gas average cleared $4.120 against 1.5% odds.
Our universe · August 22, 2026
The market priced this at 1.5% (1-in-67). It resolves August 24, 2026.
ISSUED BY: Meridian Macro Institute
Dear Limited Partners,
The Fund returned negative 11.4% net for the quarter ended August 24, 2026, against a mandate return of positive 2.0%.
The loss is concentrated in a single position. On July 9 we sized short exposure to the national retail gasoline average at a strike of $4.120, on the view, shared at the time by the market, that resolution above that level carried a 1.5% implied probability. The average resolved above $4.120. We were on the wrong side of the 1.5%.
The mechanism, briefly. A scheduling friction at two Gulf refineries collided with a rail-car shortage the same week, and the retail average moved before our hedge could roll. Dr. Casimir Blum notes the print "was inside the boring band right up until the Tuesday it was not," which is small comfort at the desk. Our stop logic assumed a slow drift. We received a step.
We have closed the position and taken the mark. No further capital is committed to fuel-linked resolution products this year.
We ask for your continued patience while the book normalizes. A capital call notice follows under separate cover, and the annual meeting stands as scheduled.
Respectfully,
Marek Osric-Vale Managing Partner
— Timeline B. In our universe, the odds of this were 1.5%.