Market Macro Hub

Tearsheet Fixedincome 20260911

9.54MB ∙ PDF file

Tearsheet Equities 20260911

14.8MB ∙ PDF file

Tearsheet FX 20260911

9.18MB ∙ PDF file

Tearsheet Commodities 20260911

11.8MB ∙ PDF file

Tearsheet Crypto 20260911

5.88MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol
Positioning Book · Friday COT

Where We Stand

Yesterday we said Brent above 100 rewards our short-oil-versus-equities hedge, and this morning's tape confirms it with WTI at 103.21 and the geopolitical bid intact. Our oldest running view, the flattener opened five days ago, survives with the 2s10s at 40bp, so the flattener thesis extends and we defend it on the +4bp move in the 2Y. The book logged a call change on EUR/USD today, and we treat this as the session's real story into Friday's CPI.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-09-10. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 65% of it.

The remainder is not an error term to ignore. Index weights drift and sector ETFs are not the index's own constituents, so a decomposition of this kind never closes on its own. Reading the residual is how you know whether the sector story explains the day or only decorates it.

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Main Developments in Macro

TRUMP SAYS IRAN WAR WILL END AFTER US MIDTERM ELECTIONS, WON'T GO FULL INTO IRAN
IRGC NAVY DECLARES STRAIT OF HORMUZ CLOSED AND UNDER ITS CONTROL
US 30YR YIELD HIT 5.366%, HIGHEST SINCE 2007; 10YR TOPPED 4.954%
CRUDE COMPLEX GAINED CIRCA USD 7/BBL ON BAB AL-MANDAB CONTROL REPORTS
SATELLITE IMAGERY SUGGESTS HOUTHI STRIKE ON SAUDI EAST-WEST OIL PIPELINE
BESSENT SAYS TREASURY MARKET IN VERY GOOD SHAPE, TERM PREMIUM DIFFERENTIAL LOWEST IN YEARS
CITI NOW SEES TWO MORE RBA HIKES THIS YEAR; NIKKEI 225 OFF 2.2%

The inflation read is mixed under the surface. Core Inflation Rate MoM printed 0.3% against a 0.2% consensus, while Core YoY held in line at 2.4% and headline YoY matched at 3.4%. Our read is that the hot core keeps the Fed's hiking bias funded; we would not fade the hawkish repricing before Friday.

Growth data disagrees with the inflation panic. Michigan Consumer Sentiment printed 47.8 against a 51 consensus, a soft signal that we would not chase into a session dominated by oil and yields.

Cross-Asset Read

Sectors led lower from the top of the index. Technology took off the most at -0.45pp with XLK down 1.41%, and consumer discretionary followed at -0.15pp. Our read is that leadership is thinning where it hurts, so we size down beta rather than buy the dip.

The scoreboard tells one story: oil versus equities. The SPX-versus-crude correlation deepened to -0.67 now from -0.56 a month ago, and we treat this as confirmation that an oil hedge against equity risk works again into CPI. WTI rose 12.59 on the week while the S&P slid 0.98, which is the pairing we are paid on.

Credit is not the marginal story. IG OAS sits at 81bp, the middle of its own range, against a 2023-to-date mean of 90bp. HY at 271bp sits at the tight end of its range, so risk appetite holds at the low-quality end. If IG OAS breaks 90bp, then our long-carry stance is invalidated and we cut; until then, we hold the carry.

Rates & Fed Pricing

No cut is priced anywhere on this strip. The first month with a hike at least half-priced is September at roughly 72% odds, and we would not chase before Friday's CPI clears. November carries near 100% conviction, so the hiking path is the base case we build around.

The strip peaks in November 2027 at 4.51%, some +88bp cumulative over an EFFR of 3.63%, while the trough sits this September at 3.81%. Terminal repriced +62bp on the week, and our read is that the oil-driven yield surge did that work while the data stayed secondary. The 30yr hit 5.366% and the 10yr topped 4.954% as crude ran, which is why we treat the move as an energy shock funding the hawkish curve. If CPI prints hot on Friday, then the September hike firms toward certainty and we add to the flattener; until then, we wait.

Bottom Line

Short oil versus equities holds on a -0.67 correlation that keeps deepening.
The 2s10s flattener extends at 40bp with the 2Y bid leading.
Gold fades on a -0.56 dollar correlation and we stay short.
September hike near 72% waits; we do not chase before Friday's print.
IG carry at 81bp holds, with invalidation still pinned at 90.

The Week Ahead

Monday's Empire State (cons 15): a print above 15 keeps our growth-resilient read; below 10 forces us to fade the hawkish curve.
Tuesday's ADP weekly (prev 12): a firm number keeps the hiking base case; a collapse toward zero makes us question the September hike.
Wednesday's Retail Sales (cons 0.9%): a beat backs the extend-the-flattener stance; a miss below the prior -0.6% challenges it.
Wednesday's Retail Sales Control Group (prev -0.4%): a bounce to positive keeps us short duration; another negative print makes us reconsider.
Wednesday's NAHB (cons 34): a hold near 34 changes nothing for us; a break under 30 would flag the growth crack we are watching.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-09-10), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (USO and UNG richest today); negative = vol going cheap (TSLA and NVDA). Percentile ranks unlock at 60 archived sessions per name · currently 51/60 · the archive deepens automatically every build.

Positioning Book · Friday COT

Crowded and cracking: Wheat, Corn · positioning at an extreme with price moving against the crowd is where squeezes start.

Disclaimer

The information in this publication is provided for informational and educational purposes only and is believed to be reliable, but its accuracy and completeness are not guaranteed. Nothing herein constitutes investment advice, an offer, or a solicitation to buy or sell any security, derivative, digital asset, or other financial instrument, nor a recommendation suited to any specific reader. All figures are drawn from the day's computed data set at the time of generation and may be delayed, revised, or superseded. Markets involve risk, including the possible loss of principal; past performance and historical relationships do not guarantee future results. Readers should conduct their own research and consult a qualified financial adviser before making any investment decision. The author may hold positions in instruments discussed. This publication is licensed for the personal use of the subscriber only: redistribution, reproduction, or resale in any form is prohibited. © 2026 MARKET MACRO HUB. All rights reserved.

MACRO REPORT: Market Views

Alfie Kerswell — Fri, 11 Sep 2026 00:40:35 GMT

Before we begin, please see my most recent report for context on the ideas I’m speaking about. I’d also recommend reading through the Substack chat where I post updates.

So I posted in the chat that I was closing out most of my ES short position because of the extended nature of the Z-score we are in. This trade was massively onside. It is a great example of how I combine my macro view with some more systematic style approaches.

I sometimes note factors such as this: for every drawdown we’ve had in the S&P, we usually begin the momentum leg in the first 10 days, and by the end of the bearish Z-score range we have often come to the end of that particular leg. Now does this mean I’m bullish? No. I’m just saying that some signals from my models are showing signs of some overextension/fatigure to the downside.

If you are able to combine systematic models with your macro views, it’ll help you time things MUCH better. There have also been times where I will use these models around a catalyst to try to find some type of edge in entry.

If we begin pulling back in ES with no change in the macro backdrop, alongside some bearish signals, I will NOT hesitate to enter another short position.

For now, I’m neutral ES for now. On the bonds side, ZT has sold of significantly since the Jackson Hole event (which I laid out a short for in the Substack chat). Ultimately the market is now aggressively pricing the Fed’s reaction to inflation which is NEEDED. Even to this point, equities have barely sold off which just shows that the Fed is yet to be ahead of the curve. I expect more downside in bonds but not as aggressive as we have been seeing. This is what the forward curve is currently pricing:

Oil is up nearly 20% in September alone… we are only 10 days in. This is going to significantly effect both Japan and Germany who are net importers of oil, and there is MUCH more downside in their equity markets than their is in the US, particularly given 1) the BoJ is way behind the curve, and there’s a bunch of intervention going on in the Yen, 2) Germany’s growth is not in a strong enough place to withstand multiple hikes from the ECB in my view (which is needed if they are to tame inflation). But also, if the Fed usually set the stance for global policy, the we can agree that most central banks will declare the fight on inflation REGARDLESS of the effect on growth, given that Warsh made this clear in his speech.

On the oil side, which is now the largest contributor to inflationary tail-risks (of course), vol is still VERY contained. Oil is back at the March highs but the implied vol of oil hasn’t even reached half of that. There is still much more room for this vol to blow out, but the market is becoming accustomed to these developments in Iran so there is less uncertainty (uncertainty is a huge reason implied vol blows out). I don’t have targets in mind for oil, and price can retrace so aggressively and get thrown around by headlines that I’m actually not bothered about taking risk in it, I’d rather use my capital in equities for now.

Oil is such a large factor to watch because equities now have a negative correlation with it.

If oil was rallying from demand then we’d have a significantly different correlation but we’re seeing a supply shock which is forcing negative returns in equities everytime that oil rips higher. Ultimately there will come a time where oil drops huge amounts, something like -10% in a day and this will cause direct upside in equities. I am not trading this exact catalyst as there’s almost no informational edge to find it (unless you KNOW when an agreement will be finally reached). Following oil and it’s correlations to equities, bonds and the dollar is very important.

Longer term I’ve made it clear I’m bearish on the dollar but for now, I won’t get long on EUR/USD until 1) my views on equities flip to bullish, 2) EUR/USD reaches at least 1.15500 level (this can change if there is some underlying factors which shift my models, but in the current position this is it).

On the day we have the dollar up, equities down and bonds down which shows a DIRECT inflationary tail-risk being priced in ALL of these markets.

When I have trade ideas ready, I will send them to the chat as you guys know. Check out my recent tweet surrounding returns recently also:

Thanks

Alfie

Disclaimer

The information in this publication is provided for informational and educational purposes only and is believed to be reliable, but its accuracy and completeness are not guaranteed. Nothing herein constitutes investment advice, an offer, or a solicitation to buy or sell any security, derivative, digital asset, or other financial instrument, nor a recommendation suited to any specific reader. All figures are drawn from the day’s computed data set at the time of generation and may be delayed, revised, or superseded. Markets involve risk, including the possible loss of principal; past performance and historical relationships do not guarantee future results. Readers should conduct their own research and consult a qualified financial adviser before making any investment decision. The author may hold positions in instruments discussed. This publication is licensed for the personal use of the subscriber only: redistribution, reproduction, or resale in any form is prohibited. © 2026 MARKET MACRO HUB. All rights reserved.

Systematic Macro Models: The USD/JPY Flip (10/09/26)

Alfie Kerswell — Thu, 10 Sep 2026 14:13:43 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260910

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260910

9.54MB ∙ PDF file

Tearsheet Equities 20260910

14.7MB ∙ PDF file

Tearsheet FX 20260910

9.19MB ∙ PDF file

Tearsheet Commodities 20260910

11.8MB ∙ PDF file

Tearsheet Crypto 20260910

5.89MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol

Where We Stand

Yesterday we said our crude hedge waits on every strike headline while WTI ran hot, and the short-oil-against-equities thesis opened 6 September remains intact this morning. Brent reclaimed 100 dollars per barrel for the first time since July as US-Iran and Saudi-Yemen tensions escalated, and with SPX vs Crude correlation at -0.66 the hedge is doing its job. We keep the crude short flagged and stay short gold into the two-day inflation read.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-09-08. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 96% of it.

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Main Developments in Macro

*BRENT TOPS USD 100/BBL FIRST TIME SINCE JULY ON US-IRAN, SAUDI-YEMEN ESCALATION*
*TRUMP SAYS WAR WITH IRAN WILL END AFTER ELECTION, OIL PRICES TO FALL WHEN US "WINS"*
*IAEA BOARD REPORTS IRAN TO UN SECURITY COUNCIL FOR NON-PROLIFERATION BREACHES*
*ECB EXPECTED TO RAISE RATES AT TODAY'S MEETING, LAGARDE SPEAKS*
*BOJ'S MASU: EXPECT CONTINUED HIKES GIVEN ACCOMMODATIVE CONDITIONS*
*US PPI, JOBLESS CLAIMS DUE TODAY; CPI FRIDAY THE MAIN EVENT*

Several explosions were heard in Iran's Qeshm and Sirik, with sounds reportedly originating from the sea, while IRNA cited official sources that areas in Sirik were hit by projectiles, though SNN reported no points in Sirik were targeted. Our read is that the supply risk premium is real while Hormuz traffic thins. Strait of Hormuz commodity vessel traffic fell to 7 on Wednesday against a 10-day average of around 14.

The labour print still argues against any easing. Non-farm payrolls landed at 162 against consensus 56, roughly triple expectations, and that is why the strip prices hikes not cuts. We treat the 3.1% average hourly earnings print, above the 3% call, as the wage floor that keeps the Fed leaning tight.

Cross-Asset Read

Financials did the damage on the last session, XLF -1.38% for -0.18pp, with discretionary at -0.15pp close behind. Cyclical leadership rolling over tells us the tape is derisking into data. Only energy closed green, and that lines up with the crude bid.

The scoreboard move that matters is gold, up +0.77% on the day as its correlation to the dollar deepened to -0.57 from -0.41 a month ago. SPX vs Crude at -0.66 versus -0.57 a month ago is the shift we care about; the oil hedge against equity risk works again, and we would keep it on. Gold rising with a firmer inverse-dollar link does not change our short; we treat 4393.2 as the level that tests it.

IG OAS sits at 81bp, the middle of its own range, so credit is neutral and not the marginal story today. HY at 267bp is priced as if default risk has been abolished. If HY OAS reclaims 133bp toward the cycle peak, then the equity derisking has real teeth; until then, our IG long carry stance holds with invalidation at 90.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the debate is purely about hikes. September carries a 25bp hike at roughly 64% odds, and November firms to near 90%. The strip peaks at 4.3% in September 2027 for +66.5bp cumulative versus an EFFR of 3.63%.

The terminal repriced +62bp on the week, a hawkish shift driven by the payrolls beat and the crude-led yield backup. 10yr UST futures stayed subdued after yields rose alongside higher oil and the Treasury's long-end buyback of a maximum 6 billion dollars of 10yr-20yr coupons, above prior guidance but short of some 10 billion dollar expectations. Our read is the curve stays flat at 41bp while hawkish pricing persists; the 2s10s flattener thesis opened 6 September remains intact.

If Friday's core CPI prints above the 2.4% consensus, then the November hike hardens and the terminal extends; until then, we do not chase October and wait on the print.

Bottom Line

Brent above 100 rewards our short-oil-versus-equities hedge, which holds into CPI.
The 2s10s at 41bp refuses to break and the flattener extends.
Gold fades on a -0.57 dollar correlation and we stay short.
September hike near 64% waits; we do not chase before Friday.
IG carry at 81bp holds with invalidation pinned at 90.

The Week Ahead

Thursday PPI: MoM above 0.4% consensus hardens the hawkish strip and we add to the flattener; a soft print near 0% and we hold size.
Thursday Jobless Claims: a print above 205 consensus revives the labour-cooling case and we lighten; near 206 prior keeps the tight-Fed read intact.
Thursday Existing Home Sales: below 3.98 consensus and the rate-drag story grows; above 4.06 prior and we ignore it for the stance.
Thursday ECB and Lagarde: a hike as expected leaves EUR/USD pinned at 1.16; a surprise hold and we reassess the dollar leg.
Friday CPI: core above 2.4% consensus extends the terminal and we stay short gold; a downside miss on the 3.4% headline and we change our read on the hike path.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-09-09), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and USO richest today); negative = vol going cheap (TSLA and NVDA). Percentile ranks unlock at 60 archived sessions per name · currently 50/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The S&P 500 Flip (09/09/26)

Alfie Kerswell — Wed, 09 Sep 2026 14:29:02 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260909

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260909

9.58MB ∙ PDF file

Tearsheet Equities 20260909

14.8MB ∙ PDF file

Tearsheet FX 20260909

9.2MB ∙ PDF file

Tearsheet Commodities 20260909

11.8MB ∙ PDF file

Tearsheet Crypto 20260909

5.9MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol

Where We Stand

Yesterday we let the October hike sit near 60% rather than chase it, and this morning the strip firms that read with October at roughly 64%. Our oldest thesis, the 2s10s flatten opened three days ago, stays alive with the curve at 41bp doing nothing to break it. We treat the S&P 500 engine flip to a flat, mean reversion call, conviction 4/100, as a signal to hold size into inflation data.

Asset Market Pricing

Sector Attribution

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Main Developments in Macro

US STRUCK FIVE IRANIAN CRUDE CARRIERS AFTER IRGC MISSILE ATTACKS ON A US NAVY WARSHIP, PER CENTCOM
IRAN FIRED AT LEAST 20 MISSILES AT JORDAN BASES; AMMAN SAYS 18 INTERCEPTED, NO CASUALTIES
TRUMP APPROVES SECTION 338 BAN ON CANADIAN DAIRY, MOST ALCOHOL AND MOTORCYCLES, EFFECTIVE IN ABOUT 3 WEEKS
CHINA PPI FIRMER THAN EXPECTED, CPI IN LINE; FACTORY GATE PRICES ACCELERATE
BESSENT DARES TRADERS TO BET AGAINST HIM ON THE YEN, CLAIMS INSIGHT INTO BOJ MOVES
US SPR CRUDE STOCKS DREW DOWN 1.2MLN BARRELS TO 285.4MLN, LOWEST SINCE 1982
FURTHER REPORTS POINT TO A BOJ RATE HIKE NEXT WEEK

The recent hard data leans firm. Non Farm Payrolls printed 162 against consensus 56, and services held up with ISM Services at 55.4 above the 54.3 consensus. We read that combination as growth holding while wage pressure sticks, which is why we do not fight the hawkish drift into CPI.

Inflation is the swing factor now. Average Hourly Earnings ran 3.1% year on year against a 3% consensus, a touch hot rather than cooling. We think disinflation is stalling. We would not act on it before Friday's CPI because one print reverses the read.

Cross-Asset Read

Health Care did the damage on Tuesday, with XLV down 2.52% for a 0.25pp drag, and Financials added a 0.18pp hit as XLF fell 1.38%. Defensives and banks leading lower tells us the sell was broad, so we treat the tape as rotation.

The scoreboard move that matters is crude. WTI extended gains as the US and Iran exchanged another round of retaliatory strikes, and the SPX versus crude correlation sits at -0.53. Our short oil hedge against equities, opened three days ago at 95.04, still works because that negative link means an oil bid cushions equity risk. The crude hedge remains flagged and we keep it.

IG OAS at 81bp sits in the middle of its own range, below the 90bp mean, so credit is not the marginal story today. HY at 268bp is priced as if default risk has been abolished. If IG breaks decisively through 90bp, then we cut the carry stance; until then, we hold long IG carry.

Rates & Fed Pricing

No cut is priced anywhere on the strip. The first month with a hike at least half-priced is October at about 64% odds, and we let that sit rather than chase after firming it yesterday. November carries roughly 90% odds, so the market treats a hike this autumn as near-settled.

Cumulative tightening builds to +37bp by January 2027, with the strip peaking at 4.3% in October 2027 for +66.5bp versus EFFR and troughing at 3.79% this October. The terminal repriced +62bp on the week, driven by firm payrolls, sticky earnings and the crude-led inflation impulse from the Iran strikes. If Friday's CPI comes in above consensus, then we look for October to push toward the November-style conviction; until then, we hold the flatten and stay long IG carry.

Bottom Line

October hike holds near 64% and we do not chase it before CPI.
The 2s10s flatten extends with the curve at 41bp refusing to break.
Our crude hedge waits on every strike headline while WTI runs +4.81 on the week.
Gold fades as its dollar correlation deepens to -0.58 and we stay short.
The S&P 500 engine flips flat at conviction 4/100 and we size down into data.

The Week Ahead

Wednesday: EIA crude stocks after last week's -4.45 draw; a deeper draw keeps our crude hedge working, a build softens the supply story and we trim.
Thursday: Core PPI MoM at 0.3% consensus; in line holds the hawkish read, a soft print challenges the October hike we are holding.
Thursday: Initial Jobless Claims at 205 consensus; near prior keeps growth firm, a jump toward the labour-market worries in the SCE report reopens the dovish case.
Thursday: EIA STEO and ECB's Lagarde; hawkish ECB tone supports the firmer EUR-USD at 1.16, a dovish shift fades it.
Friday: CPI at 334.85 consensus versus 333.92 prior; a hot print extends the flatten and the October hike, a cool print forces us to change our read.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-09-07 / 2026-09-08), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and GOOG richest today); negative = vol going cheap (NVDA and TSLA). Percentile ranks unlock at 60 archived sessions per name · currently 49/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The October Hike Watch (08/09/26)

Alfie Kerswell — Tue, 08 Sep 2026 19:00:23 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260908

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260908

9.55MB ∙ PDF file

Tearsheet Equities 20260908

14.9MB ∙ PDF file

Tearsheet FX 20260908

9.2MB ∙ PDF file

Tearsheet Commodities 20260908

11.7MB ∙ PDF file

Tearsheet Crypto 20260908

5.9MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol

Where We Stand

Yesterday we said the October hike holds near 60% and we let it sit rather than chase, and this morning's strip confirms it at roughly 60% odds. We keep the flatten thesis opened 2026-09-06 intact, with 2s10s at 43bp doing nothing to challenge it. The Wheat spec crowding remains flagged as an observation, and we treat it as noise for our own book.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-09-04. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 80% of it.

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Main Developments in Macro

JAPAN Q2 GDP REVISED UP TO 0.4% QUARTERLY, LABOUR CASH EARNINGS HOT AT 4.7%, BOJ HIKE CASE FIRMS INTO NEXT WEEK
USD/JPY BREAKS BELOW 153.00 AS YEN EXTENDS; KATAYAMA SAYS NO CHANGE TO FOREX STANCE SINCE JOINT INTERVENTION
CHINA AUGUST EXPORTS +25% AND IMPORTS +28.2%, BOTH DOUBLE-DIGIT BUT BELOW CONSENSUS
CANADA RETALIATORY TARIFFS OF 15-50% ON US GOODS TAKE EFFECT; TRUMP TARGETS BOMBARDIER SALES
LME COPPER HITS RECORD ON SUPPLY AND TARIFF FEARS; SPOT GOLD ABOVE USD 4,400
IRAN WARNS OF PERSIAN GULF MARITIME EXCLUSION ZONE; WTI EXTENDS AFTER WEEKEND VESSEL ATTACKS
BOE'S BAILEY, RAMSDEN, GREENE AND TAYLOR ALL SCHEDULED; ECB'S ELDERSON DUE

The US prints keep the growth read firm. Non Farm Payrolls came in at 162 against a consensus of 56, and ISM Services PMI hit 55.4 versus 54.3 expected. That is a labour market beating low bars while services accelerate, which is why the front end can price a hike rather than a cut.

Wage data leans the same way. Average Hourly Earnings ran 3.1% year-on-year, above the 3% consensus. We read the growth-inflation mix as sticky enough to keep higher-for-longer alive.

Cross-Asset Read

Leadership stayed narrow on 4 September. XLK added +0.23pp and XLI +0.03pp, the only two positive contributions worth naming, while XLY dragged -0.15pp; the split accounts for 80% of the index move, so we treat the residual as real and do not force the sectors to sum. Growth carried a down tape, which tells us the selling was defensive rotation across sectors.

The scoreboard move that matters is Gold vs DXY, flagged as a deepening at -0.60 now against -0.40 a month ago. That deepening means a firmer dollar bites gold harder, and we would keep fading gold as it slips. Crude sits +9.32 on the week, and with SPX vs Crude at -0.53 the oil hedge against equity risk still works for us.

Credit is not the story. IG OAS sits at 81bp in the middle of its own range, 9bp inside the 90bp mean, so we hold the carry. HY at 268bp is priced as if default risk has been abolished. If IG breaks decisively above 90bp, then we cut the carry stance; until then, we stay long carry.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the question is the hike. October 2026 is the first month with a 25bp hike at least half-priced at around 60% odds, and November carries roughly 84%. The two beats above keep that path honest.

The strip peaks at 4.24% in October 2027, +61bp cumulative over an EFFR of 3.63%, with the trough at 3.78%. Terminal repriced +56.5bp on the week, a decisive hawkish shove we tie to sticky services and firm payrolls. The 2Y edged -5bp today, and we read that front-end bid as a pause in the repricing that should resume.

If PPI on Thursday prints above the 0.4% consensus, then we add to the flatten; until then, we let the front end sit. We would not chase October here because 60% is already close to fair.

Bottom Line

The October hike holds near 60% and we let it sit rather than chase.
The flatten extends with 2s10s at 43bp doing nothing to break it.
IG carry holds until a decisive move through the 90bp mean.
The crude hedge waits on every energy headline while the week gain reads +9.32.
Gold fades as its dollar correlation deepens to -0.60.

The Week Ahead

Wednesday ADP Weekly: a soft print near the prior 11.75 keeps the front-end pause; a firm one revives the hike chase.
Thursday PPI MoM: above 0.4% consensus adds to our flatten; at or below 0% keeps us letting the strip sit.
Thursday Core PPI MoM: above 0.3% consensus hardens higher-for-longer; below it softens the sticky-inflation read.
Thursday Initial Jobless Claims: a rise past 205 consensus cracks the labour firmness; a hold below it confirms our growth read.
Thursday EIA Crude Stocks: another draw near the prior -4.45 keeps crude bid and the oil hedge live; a build fades it.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-09-04 / 2026-09-06), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Bitcoin priced off a session whose range was under a third of normal travel, so that board is compressed and nearly every level sits in reach. Weekend crypto and half-day holiday sessions do this; treat the levels as loose rather than precise.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and GOOG richest today); negative = vol going cheap (NVDA and TSLA). Percentile ranks unlock at 60 archived sessions per name · currently 48/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The Set Up Into CPI (04/09/26)

Alfie Kerswell — Fri, 04 Sep 2026 15:41:17 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260904

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260904

9.6MB ∙ PDF file

Tearsheet Equities 20260904

12.4MB ∙ PDF file

Tearsheet Commodities 20260904

11.8MB ∙ PDF file

Tearsheet Crypto 20260904

5.91MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Stock-Bond Correlation
Event Watch · US payrolls today
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol
Positioning Book · Friday COT

Where We Stand

Yesterday we held the front-end selloff with the 2-year up +20bp on the week as the September hike hardened; Waller has forced us to soften that read overnight. We are not reversing, the 2026-10 hike still carries ~72% odds, but the strip no longer prices September as done. We treat the front-end thesis, opened three days ago, as intact but now two-way into CPI.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-09-03. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 0% of it.

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Stock-Bond Correlation

Rolling correlation of S&P 500 and TLT daily returns. The 30-day reads 0.48 against 0.43 on the 90-day: positive · bonds are NOT hedging equity risk. This is the number that decides whether a 60/40 book is diversified or simply levered to one factor.

Event Watch · US payrolls today

reference     events  avg move  median  closed higher  avg abs move
-------------------------------------------------------------------
S&P 500          109    +0.10%  +0.25%            62%         0.93%
US 10Y yield     113    +0.8bp  +1.9bp            58%         5.7bp
Dollar (DXY)     113    -0.02%  -0.02%            46%         0.37%
Gold             110    +0.08%  +0.13%            55%         0.65%

Into the print the book is short duration, short gold, long USD . Event-day distributions above are close-to-close over the historical set; they describe typical ranges, not a forecast for this release.

Main Developments in Macro

*WALLER SAYS HE WOULD SUPPORT A SEPTEMBER HOLD IF AUGUST INFLATION SHOWS CONTINUED PROGRESS, WOULD CONSIDER A HIKE IF HOT*
*US NONFARM PAYROLLS +162K VS EXP +56K; UNEMPLOYMENT 4.1%, PARTICIPATION 61.6%*
*ISM SERVICES 55.4 VS EXP 54.3; PRICES PAID ACCELERATE TO 72.6*
*DXY -0.6% TO 99.01 AS MONEY MARKETS RETURN TO 50/50 SEPTEMBER HOLD/HIKE*
*NETANYAHU TELLS GENERAL STAFF OVERTHROW OF IRANIAN REGIME IS "IMMINENT"; HOUTHIS LAUNCH WESTERN-COAST OFFENSIVE*
*BITCOIN +5.8% ON THE SESSION, ETHEREUM +5.1%*

The growth signal is not cooling. ISM Services printed 55.4 against a 54.3 consensus, with new orders at 60.9 and business activity at 61.7. Payrolls at 162 against 56 expected confirm the no-landing tape, so a September hold would be a data-dependent pause.

The inflation side is why this stays live. ISM Services prices accelerated to 72.6 from 70.3. Our read is that services prices at that level keep the hike on the table even as Waller opens the door to waiting one meeting.

Cross-Asset Read

Financials did the heavy lifting Wednesday. XLF added +1.27% on the day for +0.16pp, while tech subtracted with XLK down -1.53% for -0.49pp. Leadership rotating out of tech into banks fits a strip that is pricing higher-for-longer, and we treat that rotation as consistent with our front-end view.

The scoreboard move that matters is crude. WTI sits at 92.03, up +10.16% on the week, while the SPX-crude correlation has shifted to -0.61 from -0.41. That deepening negative correlation is flagged BIG SHIFT-adjacent, and it means our oil hedge against equity risk works again; the crude equity hedge extended thesis stays open. Bitcoin gained +4.96% on the day, but its correlation to SPX has slipped to 0.10 from 0.35, so we do not read the crypto bid as a risk-on tell for equities.

IG OAS sits at 81bp, in the middle of its own range and below the 90bp mean, so credit is neutral and not today's marginal story. HY at 266bp sits at the tight extreme, priced as if default risk has been abolished. If OAS breaks decisively above 90bp, then we cut carry and treat it as the growth crack; until then, we stay long the IG carry regime.

Rates & Fed Pricing

No cut is priced anywhere on the strip. The first month with a hike at least half-priced is 2026-10 at ~72% odds, and December carries ~100%. So the debate Waller reopened is about timing.

The strip peaks at 2027-10 at 4.28%, +65.5bp cumulative over an EFFR of 3.63%, with the trough in 2026-10 at 3.81%. Terminal repriced +56.5bp on the week even as it slipped -3.5bp on the day, so Waller trimmed the front but the week still tightened hard. We treat that weekly move as the dominant signal.

The 2-year holds 4.39% with the 2s10s at 40bp, flattened -7bp on the week. If August CPI shows continued disinflation next Thursday, then September becomes a hold and the front end rallies; until then, we stay leaned to the hike.

Bottom Line

Front-end hike thesis holds with 2026-10 at ~72% odds, softened but not broken by Waller.
Crude equity hedge extends as the SPX-crude correlation sits at -0.61.
The crowded gold long waits, specs at 56.9% of open interest after a -2.59% week.
IG carry regime holds at 81bp, below the 90bp mean that flips it.
The Bitcoin bid fades as a risk tell, its SPX correlation down to 0.10.

The Week Ahead

Wednesday's ADP weekly print watches the labour pulse; a soft number helps the hold case, a firm one hardens the hike.
Thursday's Core PPI (cons 0.3%) is the swing: in line or cooler keeps our two-way stance, a hot upside print re-hardens September and we reload the front-end short.
Thursday's PPI (cons 0.3%, prev 0%) reads pipeline inflation; a benign print supports Waller's patience, an upside surprise challenges it.
Thursday's Initial Jobless Claims (cons 205) tests the low-layoff read; a jump above trend cracks the no-landing tape, in line confirms it.
Thursday's EIA Crude stocks (prev -4.45) matters for the hedge; another large draw keeps crude bid and our oil-versus-equity protection working.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-09-02 / 2026-09-03), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

US 2Y Yield priced off a session whose range was under a third of normal travel, so that board is compressed and nearly every level sits in reach. Weekend crypto and half-day holiday sessions do this; treat the levels as loose rather than precise.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and GOOG richest today); negative = vol going cheap (NVDA and GLD). Percentile ranks unlock at 60 archived sessions per name · currently 45/60 · the archive deepens automatically every build.

Positioning Book · Friday COT

No crowded-and-cracking setups this week · extremes without a price crack are carry, not catalysts.

Disclaimer

MACRO REPORT: Tail-Risks For Equities

Alfie Kerswell — Wed, 02 Sep 2026 18:01:23 GMT

I have been laying out my views explicitly in the substack chat across the last couple of months, you can follow the themes I’ve been tracking and WHY I have specific directional ideas on equities, fx and rates.

Firstly, see the most recent report below for context surrounding my views today.

Jackson Hole was a pivotal moment, as it typically is, and has created a level in FX, bonds and rates that serves as an invalidation for my thesis in being short both ES & ZT:

The positive stock-bond correlation we’ve seen is very telling, bonds are selling off as inflationary pressures mount up while equities get dragged by the repricing of rates.

The views I have for equities, rates and FX will be invaldiated if we break these levels below.

There was around 15bp of hikes ADDED to the forward curve after Jackson Hole, and the meeting strip has been left looking like this:

So there’s now over 60bp of hikes priced in and I’m watching the 2s30s to see HOW restrictive the long-end believes the short-end is vs the growth and inflation backdrop. If we begin to see flattening across the next two weeks, that’ll also be confirmation that ES could trade lower but mainly that there is probably an extreme in SOFR here (I can’t see three hikes being realised in the curve).

The repricing of the forward curve of course DIRECTLY dragged the front-end up and the 2s10s bear flattened in the following sessions, which could finally be an indication that the makret thinks the Fed is restrictive enough on the inflation and growth backdrop. Remember, the long-end prices ANY mistake in the front-end, and for a long period of time the steepening in the 2s10s was a reflection of the Fed not being restrictive enough. But Warsh made it CLEAR at Jackson Hole that inflation is the focus, leaning hawkish and causing ES and ZT to sell off as the dollar bid.

As you guys know, I took off my short USD positions before this event and I made it clear that I was waiting for some moving parts before entering, which we haven’t seen yet. It’s likely that I will flip back to bearish USD once my views on equities and bonds have change. But for now, I expect equities and bonds to continue to sell off as the dollar holds a bid because of the repricing of the front-end.

I also mentioned that going into this week, I will be monitoring these correlations (see image below) before adding ANY risk to my short USD thesis.

It’s extremely important that we begin to see the dollar move with a higher correlation to the forward curve (which we have began to see, if you look at the top chart in the image above). Once these correlations spike it means that the thesis can begin to be built around that single variable (although that won’t be the only input to this trade), and there will be more of an extreme in price, which makes it easier to get onside compared to when the dollar is lacking correlations to its main drivers and is being thrown around my more random variables.

The same goes on the equity side, I want to see the market linkage between equities, rates and the dollar rise above 50% before adding.

My tactical target sent in the Substack chat for ES was 7,655 (which we hit). I am currently still holding this ES short exposure after the target was met and won’t hesitate to hold towards 7,325 if:

The dollar continues to bid as bonds sell off
The Russell underperforms NQ, NQ underperforms ES (risk curve)
Equity vol makes a series of higher highs throughout the next week
2s10s & 2s30s continue to flatten across the week

There are also scenarios where these variables above DON’T play out, yet ES still sells off due to the repricing of short-end rates and oil rallying and holding above $90. It seems to be the case that there is MUCH more in favour of being short here, although my view on the macro regime itself has little changed, I think this will be a smaller drawdown in the grand scheme of things.

Let’s also not forget that there is movements in terms of the carry trade with the Yen continuously being thrown around, bidding hard and then mean reverting as the intervention struggles to defend many levels.

It’s likely the case that if there is no monetary or fiscal policy change in Japan, the Yen will eventually just sell off back to levels it was at pre-intervention. However, the crucial tail-risk is that if there is either 1) continuous intervention which bids the Yen past the levels we’re at or 2) monetary or fiscal policy change, then equity positions WILL be taken off by big players and it could lead to further drawdown in ES because the Yen is funding a tonne of positions.

Also, the whole enegry shock story really isn’t over. Consideirng this conflcit began with the idea that it’ll be resolved with speed, we’re now many months in and oil is back above $90 which only increases the likelihood that this inflation feeds into core CPI. This is of course another tail-risk that ia posing to equities. Inflation is clearly the risk, growth has been mitigating these risks for a long period of time but we’ve now come to a crossroad

Thanks

Alfie

Disclaimer

The information in this publication is provided for informational and educational purposes only and is believed to be reliable, but its accuracy and completeness are not guaranteed. Nothing herein constitutes investment advice, an offer, or a solicitation to buy or sell any security, derivative, digital asset, or other financial instrument, nor a recommendation suited to any specific reader. All figures are drawn from the day’s computed data set at the time of generation and may be delayed, revised, or superseded. Markets involve risk, including the possible loss of principal; past performance and historical relationships do not guarantee future results. Readers should conduct their own research and consult a qualified financial adviser before making any investment decision. The author may hold positions in instruments discussed. This publication is licensed for the personal use of the subscriber only: redistribution, reproduction, or resale in any form is prohibited. © 2026 MARKET MACRO HUB. All rights reserved.

Systematic Macro Models: The Set Up Into Claims (02/09/26)

Alfie Kerswell — Wed, 02 Sep 2026 16:18:16 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

As there was issues attaching the tearsheets, please copy and paste this link onto your browser.

https://drive.google.com/drive/folders/1Dc1DhAs6XHX-IstiNqmWCEfTt5N0bA2W

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol

Where We Stand

Yesterday we said the front-end selloff holds with the 2-year up +14bp, and this morning's tape confirms it as short-end and belly yields print new highs on the oil shock. Our oldest live view, the IG credit carry thesis from 28 August, stays intact with OAS at 80bp, well below the 90bp mean that would flip it. We hold short-duration positioning and keep the crude equity hedge extended.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-09-01. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 0% of it.

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Main Developments in Macro

TRUMP SAYS US STRIKING IRANIAN TARGETS NEAR STRAIT OF HORMUZ, WARNS IRAN WILL BE "TOTALLY WIPED OUT" IF IT RETALIATES
IRAN LAUNCHES RETALIATORY MISSILES AT US BASES; TASNIM SOURCE SAYS RESPONSE WILL BE "MULTIPLE TIMES" THE ATTACKS
WTI OCT SETTLES +5.7%, BRENT +5% AS US-IRAN STRIKES ESCALATE AROUND HORMUZ
FED'S BARR (VOTER): IF INFLATION DOES NOT MODERATE SOON, "TIME FOR AN INTEREST RATE HIKE"
US ISM MANUFACTURING (AUG) 54.6 VS EXP 55.2; JOLTS 7.271M VS EXP 7.3M
USD FIRMER, DXY 99.68; SPOT GOLD -2.7%, US 10YR YIELD 4.8%

The growth read softened at the margin without breaking. US ISM Manufacturing PMI (Aug) came in at 54.6 versus expected 55.2, previous 55.6, and JOLTS undershot at 7.271M. We treat this as a warm expansion cooling one notch and holding above stall speed.

The inflation impulse is the story that matters into the September meeting. Barr's line that a hike comes if inflation does not moderate lands the same week oil settles more than four dollars higher, and that keeps the front end offered.

Cross-Asset Read

On sectors, XLK dragged hardest into 1 September with a contribution of -0.49pp, and XLY took off -0.19pp; the index fell -0.33% on the day. Leadership is coming out of growth and discretionary, which fits a tape paying up for energy and yield. We would not over-read a sector split whose residual runs +0.51pp against the move.

The scoreboard move that matters is crude, up +10.79% on the week against an SPX that edged -0.33% on the day. Oil prices settled more than USD 4 higher per barrel, short-end and belly yields hit new year-to-date highs, the dollar was firmer, while gold declined. The SPX-crude correlation flagged BIG SHIFT at -0.56 now versus -0.18 a month ago; our read is that an oil hedge against equity risk works again, and we keep it on.

On credit, IG OAS at 80bp sits at the tight end of its own range, a carry regime where credit refuses to corroborate any equity anxiety. HY at 263bp is priced as if default risk has been abolished. If OAS breaks decisively above the 90bp mean, then we close the carry thesis; until then, we stay long carry.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the debate is entirely about the pace of hikes. Fed's Barr said that if inflation does not moderate soon, it will be time for an interest rate hike, while he stated that inflation remains too high. The first month with a hike at least half-priced is September at roughly 72% odds, with November running near 92%.

Cumulative pricing runs +18bp through September and +33.5bp through December, with the strip peaking at 4.28% in September 2027, worth +65.5bp against an EFFR of 3.63%. The terminal repriced +38bp on the week as the oil shock fed the inflation leg. That weekly move is why we hold short duration rather than fade the selloff.

If ISM Services on Thursday prints above the 54.3 consensus, then the hike path firms further and we add to the front-end short; until then, we sit with the current size.

Bottom Line

Front-end selloff holds with the 2-year up +10bp on the week as the September hike hardens.
The IG carry regime holds at 80bp, below the 90bp mean that flips it.
Our crude equity hedge extends as the SPX-crude correlation sits at -0.56.
The crowded gold long waits, specs at 56.9% of open interest and vulnerable after a -5.02% week.
The 2s10s curve watches at 41bp, flat +2bp on the day into Thursday's data.

The Week Ahead

Wednesday EIA crude stocks (cons -1.1): a deeper draw with prices already bid keeps the crude hedge extended; a build against the oil shock would make us fade the move.
Thursday Fed Waller and Hammack speeches: an echo of Barr's hawkish line hardens our short-duration stance; a dovish tilt makes us reassess the September pricing.
Thursday Initial Jobless Claims (cons 205, prev 203): a print near or below consensus keeps the warm-growth read and our short duration; a jump above 208 challenges it and we trim.
Thursday ISM Services PMI (cons 54.3, prev 54.1): a beat confirms warm growth and we add to the front-end short; a miss below 54.1 makes us wait.
Friday Average Hourly Earnings YoY (cons 3%, prev 3.2%): a hotter wage print feeds the hike thesis and we stay short duration; a cooling to 3% or below makes us pause the add.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-08-31 / 2026-09-01), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and AVGO richest today); negative = vol going cheap (NVDA and GLD). Percentile ranks unlock at 60 archived sessions per name · currently 44/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: ISM Day (01/09/26)

Alfie Kerswell — Tue, 01 Sep 2026 11:17:18 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260901

15.2MB ∙ PDF file

Tearsheet Fixedincome 20260901

9.55MB ∙ PDF file

Tearsheet Equities 20260901

14.7MB ∙ PDF file

Tearsheet FX 20260901

9.16MB ∙ PDF file

Tearsheet Commodities 20260901

11.8MB ∙ PDF file

Tearsheet Crypto 20260901

5.9MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol

Where We Stand

Yesterday we said the September hike at 62% odds waits on Tuesday's ISM before we extend the belly, and this morning's tape hardens that view with the September hike now at ~68% and the 2-year up +14bp to 4.34%. Our oldest running view, the IG carry regime opened 28 August at 80bp OAS, stays intact with OAS at 79bp, below the 90bp mean that would flip it. We keep short-duration as the call, the crude short remains flagged as our equity hedge, and we do not extend the belly until ISM prints.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-08-31. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 89% of it.

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Main Developments in Macro

TRUMP SAYS IRAN STRIKES WILL BE LIMITED, STRAIT OF HORMUZ "IN EXTREMELY GOOD SHAPE," 30 SHIPS A NIGHT MOVING OIL
SAUDI VLCC REPORTEDLY STOPPED AFTER BEING STRUCK BY PROJECTILES IN STRAIT OF HORMUZ; WTI +1.5%
JAPANESE 10YR JGB YIELD HITS 3% FIRST TIME SINCE 1996 ON BOJ HIKE BETS; BESSENT TOLD JAPAN RATE HIKES ARE NEEDED
BUND FUTURES AT LOWEST IN 15 YEARS; US 10YR YIELD 4.78%, HIGHEST SINCE JANUARY 2025
MONEY MARKETS LEAN TOWARD SEPTEMBER FED HIKE; UST FUTURES TRICKLE LOWER
TRUMP SAYS FED CHAIR WARSH "WILL DO WHAT HE HAS TO DO," RATES "TOO HIGH"
CHINA RATINGDOG MANUFACTURING PMI EXPANDS FOR 10TH STRAIGHT MONTH

The growth read still runs warm, which is why the front end is selling. Dallas Fed Manufacturing jumped to 11.6 from 1.3, and durable goods came in at 1.1% against a 0.5% consensus, both arguing the belly deserves higher yields. We treat this as a reason to stay patient on duration.

The offset is Chicago PMI at 47.1 against a 58.3 consensus, a soft print that keeps us from chasing the hike outright. Core PCE landed in line at 0.2%, so the inflation impulse is neither the driver nor an all-clear; the geopolitical oil bid is doing the work into today.

Cross-Asset Read

Sectors did little to hide the leadership split. Energy contributed +0.07pp on a +2.04% day and Tech added +0.14pp, the only two propping the tape, while Communications dragged -0.13pp; that is a defensive, oil-led session, and the sector split accounts for 89% of the -0.33% move with a real residual. We read the leadership as risk-off with an energy hedge underneath.

The scoreboard move that matters is the correlation. SPX versus crude has flipped to -0.56 now from -0.18 a month ago, flagged as a big shift, and it means our crude cap works again as an equity hedge when Hormuz risk spikes. We would keep that hedge on into any escalation headline.

Credit is not corroborating equity anxiety. IG OAS at 79bp sits at the tight end of its own range, 11bp inside the 90bp mean, a carry regime. HY at 260bp is priced as if default risk has been abolished. If OAS breaks decisively above 90bp, then we flip the regime and fade carry; until then, we stay long the carry.

Rates & Fed Pricing

No month on the strip has a cut half-priced anywhere, so this is a tightening conversation. The first month with a hike at least half-priced is September at ~68% odds, and the high-conviction hike sits in November near 88%. The strip troughs at September's 3.8% and peaks in June 2027 at 4.23%, +60.5bp cumulative versus an EFFR of 3.63%.

The terminal repriced +38bp on the week even as it edged -10bp on the day, and the oil-led yield push is doing the driving. That is why the 2-year snapped +14bp while the 2s10s flattened -8bp; the front end is doing the tightening. We think ISM confirms the warm growth read, and we would not add to the belly ahead of the number because a Chicago-style miss would undo it.

If ISM prints above the 55.2 consensus, then we extend the belly and press the flattener; until then, we hold short-duration and wait.

Bottom Line

Front-end selloff holds, the 2-year up +14bp as the September hike hardens.
The IG carry regime holds with OAS at 79bp, below the mean that flips it.
Our crude equity hedge extends as SPX-crude correlation sits at -0.56.
Gold specs at 56.9% of open interest waits on the crowded long to unwind.
The 2s10s flattener holds, -8bp on the day into today's print.

The Week Ahead

Tuesday's ISM Manufacturing (cons 55.2): a beat keeps us extending the belly and pressing the flattener; a Chicago-style miss changes the read and we fade the hike.
Tuesday's JOLTS (cons 7.3): a print above 7.359 keeps the front-end short; a sharp drop softens our hike conviction.
Tuesday's Fed Barr speech: any pushback on September hardens our patience; a green light lets us extend.
Wednesday's ADP (cons 47): a beat over prior 44 keeps short-duration; a soft print into payrolls trims it.
Wednesday's Factory Orders (cons 0.6%): a strong turn from -0.3% confirms the warm read; a relapse challenges the belly short.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-08-28 / 2026-08-31), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and AVGO richest today); negative = vol going cheap (AMZN and NVDA). Percentile ranks unlock at 60 archived sessions per name · currently 43/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The Crowded Gold Long (31/08/26)

Alfie Kerswell — Mon, 31 Aug 2026 09:55:35 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260831

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260831

9.52MB ∙ PDF file

Tearsheet Equities 20260831

14.5MB ∙ PDF file

Tearsheet FX 20260831

9.16MB ∙ PDF file

Tearsheet Commodities 20260831

11.8MB ∙ PDF file

Tearsheet Crypto 20260831

5.89MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol
The Measured Books · Monday Edges

Where We Stand

Yesterday we held short-duration with the 2-year at 4.2% and no cut anywhere on the strip, and this morning's tape confirms it after Warsh went hawkish at Jackson Hole. Warsh outlined that inflation remains a greater concern than employment, even in light of better-than-expected inflation figures through summer, while he noted the Fed has more work to do unless progress towards its 2% inflation target resumes. The short-duration thesis opened 26 days ago stays intact, the crude cap remains flagged as the equity hedge, and we keep the gold-crowding read live.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-08-28. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 88% of it.

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Main Developments in Macro

WARSH AT JACKSON HOLE HAWKISH, SAYS INFLATION A GREATER CONCERN THAN EMPLOYMENT; FED HAS MORE WORK TO DO
DOLLAR RALLIED BROADLY, TREASURY CURVE FLATTENED, GOLD WEIGHED AS SEPTEMBER AND DECEMBER HIKE BETS RETURN
US STRUCK IRGC MISSILE LAUNCHERS ON LARAK ISLAND; IRAN RETALIATED ON US BASES IN JORDAN, ALL MISSILES INTERCEPTED
WTI +2.6%, BRENT +2.4% ON STRAIT OF HORMUZ ESCALATION AND TANKER STRIKE
BESSENT SAYS US TREASURY TO IMPOSE MORE IRAN SECONDARY SANCTIONS EVERY WEEK, STARTING WITH BANKS
CHINA OFFICIAL PMI MIXED: MANUFACTURING TOPS FORECAST, NON-MANUFACTURING DISAPPOINTS, BOTH IN CONTRACTION
GOOLSBEE AGREES WITH WARSH, SAYS INFLATION IS THE MAIN ISSUE RIGHT NOW

The prints back the hawk. PCE Price Index rose 3.7% year-on-year, above the 3.6% consensus, and the monthly PCE Price Index came in at 0.2% against a 0.1% consensus. Sticky inflation with personal spending holding at 0.2% tells us demand has not cracked, so we treat the hawkish repricing as earned rather than a scare.

The one soft spot is Chicago PMI at 47.1 against a 58.3 consensus. We think this flags a manufacturing wobble. We would not act on it because the payrolls revision at -79k came in far shallower than the prior -911k.

Cross-Asset Read

Technology did the damage on Thursday's tape. XLK fell 1.55% on the day for a -0.50pp contribution, the single largest drag, with industrials adding -0.08pp behind it. Leadership thinned into month-end, and we read the -0.50pp tech drop as positioning rather than a growth signal.

The scoreboard move that matters is oil against equities. SPX versus crude sits at -0.55 now against -0.25 a month ago, flagged as a big shift. That deepening means an oil hedge against equity risk works again, and we would keep the crude cap as our equity hedge into the Hormuz headlines.

Credit refuses to corroborate any anxiety. IG OAS at 79bp sits at the tight end of its own range, a carry regime with credit calm. HY at 263bp is priced as if default risk has been abolished. If OAS breaks decisively above the 90bp mean, then the carry regime flips and we fade; until then, we hold the carry and fade panic widening.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the story is hikes. September carries roughly 62% odds of a 25bp hike, and November firms to about 88%, the high-conviction month. We read this as the market taking Warsh at his word after Jackson Hole.

The strip peaks at 4.23% in 2027-08, worth +60.5bp cumulative over an EFFR of 3.63%, with the trough already behind us at 3.7%. Terminal repriced +38bp on the week even as it eased -10bp on the day, so the weekly direction is unmistakably hawkish. We would not chase the front end here.

If Tuesday's ISM prints above the 55.3 consensus, then the belly extends the hike premium further and we add; until then, we wait before extending duration exposure. This changes nothing for our short-duration stance today.

Bottom Line

Short-duration stays our call, the 2-year pinned at 4.2% with no cut priced anywhere on the strip.
The crude cap extends as the SPX-crude correlation deepens to -0.55 and works as our equity hedge.
IG carry keeps fading panic with OAS at 79bp, still below the 90bp mean that would flip the regime.
Gold specs at 56.9% of open interest watches the crowded long unwind after the 3.38% weekly drop.
The September hike at 62% odds waits on Tuesday's ISM before we extend the belly.

The Week Ahead

Monday's Dallas Fed Manufacturing (prev 1.3): a bounce keeps the resilient-demand read; a sharp negative print backs the Chicago PMI wobble and softens our hawkish lean.
Tuesday's ISM Manufacturing (cons 55.3, prev 55.6): a beat above 55.3 extends the belly and confirms hikes; a miss below 55 challenges the September pricing and stalls our add.
Tuesday's JOLTs Job Openings (cons 7.39, prev 7.359): openings above 7.39 keep the hawk intact; a slide keeps the labour crack alive and caps duration downside.
Wednesday's ADP Employment (cons 47, prev 44): a print above 47 supports the no-cut strip; a sub-40 miss reopens the employment side Warsh dismissed.
Wednesday's Factory Orders (cons 0.6%, prev -0.3%): 0.6% or better confirms demand holds and the crude cap stays our hedge; a negative print tilts us to trim.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-08-28 / 2026-08-30), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and AVGO richest today); negative = vol going cheap (AMZN and NVDA). Percentile ranks unlock at 60 archived sessions per name · currently 42/60 · the archive deepens automatically every build.

The Measured Books · Monday Edges

Five rules, each backtested on the desk's own data before it may speak; rules that failed the measurement are named as context, never traded.

E1 · Slow trend (12-1) · live on equities and crypto only (measured noise elsewhere): FTSE 100 LONG · US Energy LONG · Semiconductors LONG · Russell 2000 LONG · Nikkei 225 LONG · Dow Jones LONG · +9 more
E2 · FX carry · signal only when the policy differential is 1%+ wide: EUR/JPY LONG (+27.24%) · EUR/GBP LONG (+24.51%) · EUR/USD LONG (+24.49%) · USD/CHF LONG (+3.75%) · AUD/JPY LONG (+3.35%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum) · slope 47bp, +1bp over 63 sessions → 63d trend STEEPENER (shorter-horizon state can differ · see appendix) · long 2Y (ZT) / short 10Y (ZN), roughly 2: 1 DV01
E4 · Variance risk premium · POSITIVE, harvest is on (long SPX) · 38th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.78tn, -93bn over 13 weeks → falling, a headwind

Disclaimer

Systematic Macro Signals · Week Ahead (30/08/26)

Alfie Kerswell — Sun, 30 Aug 2026 18:34:38 GMT

The Week Ahead · Tear Sheets

The forward-looking Week-Ahead pack is attached below · three PDFs built on the freshest weekend data (positioning, the calendar, and the systematic setup) rather than Friday's frozen tape:

The Week Ahead · Calendar & Event Risk · the next ~10 days of US releases, an event clock to the next FOMC and payrolls, the reaction budget markets have paid on event days, and this week's risk map
Positioning & Crowding · COT · speculative net positioning across commodities, FX and rates from Friday's CFTC release, 1y percentile and z-score, crowding states and crowded-and-cracking screens
Systematic Setup & Key Levels · the desk's momentum and mean-reversion call sheets, weekly pivots off the prior week for the assets that matter, and the E1-E5 measured EDGES

Tearsheet Weekahead Calendar 20260830

630KB ∙ PDF file

Tearsheet Weekahead Positioning 20260830

1.46MB ∙ PDF file

Tearsheet Weekahead Setup 20260830

410KB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

In This Issue

Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Stock-Bond Correlation
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol
The Measured Books · Monday Edges

Where We Stand

Our oldest thesis, short-duration outperforms with no cuts on the strip, stays intact with the 2-year holding 4.2% into this week. The tape confirms it: the terminal repriced +38bp on the week and September now carries a 62% hike, so the belly is doing what we asked. We keep short-duration on, keep the crude cap flagged, and treat this week's ISM as the test that either sizes the belly up or freezes it.

Asset Market Pricing

Sector Attribution

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

Sector Snapshot & Breadth

Stock-Bond Correlation

Rolling correlation of S&P 500 and TLT daily returns. The 30-day reads 0.43 against 0.42 on the 90-day: positive · bonds are NOT hedging equity risk. This is the number that decides whether a 60/40 book is diversified or simply levered to one factor.

Main Developments in Macro

GOLD FELL 3.24% ON FRIDAY, 3.38% ON THE WEEK, SPEC LONGS STILL PINNED AT RECORD CROWDING
DXY ROSE 0.55% FRIDAY, +0.85% ON THE WEEK, DOLLAR BID BROADENS
CHICAGO PMI COLLAPSED TO 47.1 VERSUS 58.3 CONSENSUS, DEEP MISS
CORE PCE 0.2% IN LINE, HEADLINE PCE 0.2% ABOVE CONSENSUS, DISINFLATION STALLS
PAYROLLS ANNUAL REVISION PREL -79 VERSUS PRIOR -911, LABOUR LESS SOFT THAN FEARED
RUSSELL 2000 FELL 1.39% FRIDAY, REGIME FLIPS FROM UPTREND TO MIXED

The growth read is split. Chicago PMI printed 47.1 against a 58.3 consensus, a hard miss, yet initial jobless claims came in at 203 against 208 expected. We read the labour side as still firm and the survey side as noise until ISM confirms one way or the other.

On inflation, core PCE rose 0.2% in line while headline PCE printed 0.2% against a 0.1% consensus. That keeps the Fed pricing tilted toward holds and hikes, which is exactly why the strip carries no cut.

Cross-Asset Read

Technology did the damage on Friday. XLK fell 1.55% for a -0.50pp drag, with industrials adding -0.08pp; the sector split explained 88% of the move and the residual was small. Leadership sat in communications and discretionary, so the tape rotated rather than broke.

The scoreboard move that matters is the correlation shift. SPX versus crude ran -0.55 now against -0.25 a month ago, flagged BIG SHIFT, so an oil hedge against equity risk works again. We treat the crude cap as a live equity hedge that offsets risk assets.

Credit refuses to corroborate any anxiety. IG OAS sits at 79bp, the tight end of its own range, against a 90bp mean; high yield at 263bp is priced as if default risk barely exists. If IG breaks decisively above 90bp, then our carry regime flips and we cut risk; until then, with the OAS 1bp tighter on the day, we fade any panic.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so we write about hikes. September 2026 is the first month with a hike at least half-priced at roughly 62% odds, and November carries a high-conviction hike near 90%. Cumulative tightening builds to +37bp by end-2027.

The strip peaks at 4.23% in August 2027 and troughs at 3.67% this month. The terminal repriced +38bp on the week, driven by firm claims and in-line core PCE, which together removed any case for a cut. That is the mechanical reason short-duration keeps working.

If ISM prints above its 55.3 consensus on Tuesday, then September's 62% hike firms and we size the belly; until then, we hold the front-end short and wait.

Bottom Line

Short-duration holds with the 2-year at 4.2% and no cut anywhere on the strip.
The crude cap extends as the SPX-crude correlation deepens to -0.55 and the equity hedge stays live.
IG carry fades panic at 79bp, still short of the 90bp mean that would flip the regime.
Gold specs at 56.9% of open interest watches the crowded long unwind after Friday's drop.
September's 62% hike waits for Tuesday's ISM before we extend the belly.

The Week Ahead

Monday: Dallas Fed Manufacturing (prev 1.3). A print holding positive keeps the firm-labour read and our short-duration stance; a slide back below zero would echo Friday's Chicago PMI miss and stay our hand on sizing the belly.
Tuesday, the centrepiece: ISM Manufacturing PMI (cons 55.3, prev 55.6). Above 55.3 firms September's 62% hike and we extend the front-end short; below 50 validates the Chicago 47.1 shock and we freeze the belly and reassess the whole hike path.
Tuesday also: ISM Manufacturing Employment (prev 52.8) and JOLTs Job Openings (cons 7.39, prev 7.359). Employment holding above 52 and JOLTs above consensus keep the hike thesis intact; a joint miss softens the labour read and challenges our terminal repricing.
Tuesday, Fed's Barr speaks. Any pushback on the hike-priced strip would trim the +38bp weekly terminal move; silence on policy leaves our stance unchanged.
Wednesday: ADP Employment Change (cons 47, prev 44). Above 47 pre-confirms a firm payroll and we chase the belly short; below prior 44 warns the labour engine is cooling and we wait for the official print.
Wednesday also: Factory Orders (cons 0.6%, prev -0.3%) and EIA crude stocks (prev 0.095). A factory-orders beat corroborates ISM strength and holds our read; a large crude build tests the WTI cap at the 84.06 pivot and we lean on the hedge harder.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-08-28 / 2026-08-29), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and AVGO richest today); negative = vol going cheap (AMZN and NVDA). Percentile ranks unlock at 60 archived sessions per name · currently 41/60 · the archive deepens automatically every build.

The Measured Books · Monday Edges

Five rules, each backtested on the desk's own data before it may speak; rules that failed the measurement are named as context, never traded.

E1 · Slow trend (12-1) · live on equities and crypto only (measured noise elsewhere): FTSE 100 LONG · US Energy LONG · Semiconductors LONG · Russell 2000 LONG · Nikkei 225 LONG · Dow Jones LONG · +9 more
E2 · FX carry · signal only when the policy differential is 1%+ wide: EUR/JPY LONG (+27.24%) · EUR/GBP LONG (+24.51%) · EUR/USD LONG (+24.49%) · USD/CHF LONG (+3.75%) · AUD/JPY LONG (+3.35%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum) · slope 47bp, +1bp over 63 sessions → 63d trend STEEPENER (shorter-horizon state can differ · see appendix) · long 2Y (ZT) / short 10Y (ZN), roughly 2: 1 DV01
E4 · Variance risk premium · POSITIVE, harvest is on (long SPX) · 38th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.78tn, -93bn over 13 weeks → falling, a headwind

Disclaimer

MACRO REPORT: Equities, Rates & FX

Alfie Kerswell — Fri, 28 Aug 2026 22:04:21 GMT

Hey guys

Firstly, I just wanted to say that I’ve been quiet on the macro report side of things as I’ve been extremely caught up with some things in 1) my personal life and 2) building out some new systems to improve my trading even more.

I will be switching back to the daily systematic reports as a lot of you guys reached out mentioning that you missed them!

There will be a more in depth piece next week.

Another side note, all trades laid out across the last 2 months are sitting in some heavy profits, I hope you have all capitalised. As i said previously, there will eventually be a live trade book here.

Now let’s get into it.

Warsh has pretty much used his first Jackson Hole to say that inflation is too high, stable prices are the Fed’s job, and hinted at hikes (which was already confimed by the forward curve). Without any surprise, he refused to give forward guidance or any explicit reaction function. Remember, he called forecast-based guidance something that works better in theory than practice.

ZT sold off through the speech and ended the day pricing rouhgly 61bp of hikes (we were at around 48bp prior to the meeting).

Given the inflation backdrop, where rates sit AND how strong growth is, I think the amount of hikes priced in are completely fair. Put it this way, we have rates at 3.75% with MORE than two hikes priced in, yet equities are sitting 1.3% off all-time highs. This means that growth in the system is more than strong enough to mitigate the so-called restrictive nature of the fed, but this gives us the EXACT focus… what exactly could shift growth to a point where we actually have less room for these higher rates, and more of a concern about how growth will survive such higher rates.

The channels I’m watching for this growth tail-risk are, 1) rising nominal long-end yields as macro OR fundamental data misses. Right now, the rising nominal long-end is mitigated by earnings beating across AI names (which is accounting for most of the S&P returns) and rising nominal GDP. 2) energy shock OR inflation staying too high. If we get some type of rally in oil again (doesn’t need to be as dramatic as before), and prices remain ABOVE $90, there becomes a strong chance that it feeds into core CPI and makes it extremely hard for the Fed to cut while eventually having negative impact on growth itself, which is the only thing holding up equities right now.

ES traded higher initially on Jackson Hole but then mean reverted and closed the day negative, I expect it to start trading towards 7,655 as I laid out in the substack chat.

ZT is also massively onsides with stops at breakeven. The double selling of both ES and ZT was laid out yesterday.

The key thing I’ll be watching into next week is how the 2s10s moves because right now it’s evidently telling us that the Fed is behind the curve, and equities are rallying on a liquidity impulse, but if we start seeing bear flattening as ES sells off, that’s confirmation that the market is repricing WHERE the Fed stands on inflation, and whether the forward curve will drift towards three hikes (unlikely still in my view).

Breakevens are also marginally up as credit spreads become a LITTLE less contained, but ultimately there has been NO catalyst so far to really blow out credit spreads. If there were to be, it’d likely be through equity or rates vol, which I also laid out in the substack chat yesterday. Keep an eye on skew and implied vol of the short-end, but more so how they are moving as a pair.

We’re beginning to see wider ranges in the gap between skew and implied vol, this is the exact type of thing where we could see vol blow out a little and transmit into equities. I am NOT aggressively short but as I said, I am targetting 7,655 in ES and holding ZT shorts until further notice (there is still so many inflationary pressures that make me want to hold rather than take the position off, when we start seeing some type of change in this thesis then I will be fast to take off my ZT shorts).

I was also short the USD from a couple weeks back, still floating onside and I will be adding to my short exposure ONLY when the marginal driver is differentials. Right now, correlations are weak and there are NO extremes in FX that make me want to put on additional risk.

Thanks

Alfie

Disclaimer

The information in this publication is provided for informational and educational purposes only and is believed to be reliable, but its accuracy and completeness are not guaranteed. Nothing herein constitutes investment advice, an offer, or a solicitation to buy or sell any security, derivative, digital asset, or other financial instrument, nor a recommendation suited to any specific reader. All figures are drawn from the day’s computed data set at the time of generation and may be delayed, revised, or superseded. Markets involve risk, including the possible loss of principal; past performance and historical relationships do not guarantee future results. Readers should conduct their own research and consult a qualified financial adviser before making any investment decision. The author may hold positions in instruments discussed. This publication is licensed for the personal use of the subscriber only: redistribution, reproduction, or resale in any form is prohibited. © 2026 MARKET MACRO HUB. All rights reserved.

Systematic Macro Models: The Hormuz Unwind (05/08/26)

Alfie Kerswell — Wed, 05 Aug 2026 07:45:46 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260805

15.3MB ∙ PDF file

Tearsheet Equities 20260805

14.3MB ∙ PDF file

Tearsheet FX 20260805

9.17MB ∙ PDF file

Tearsheet Commodities 20260805

11.7MB ∙ PDF file

Tearsheet Crypto 20260805

5.85MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

Where We Stand

Yesterday we said the September hike at 68% waits for today's ISM Services before we size the belly, and the strip has not moved to challenge that. Our oldest thesis, the 2-year holding elevated around 4.23% on firm growth, only firms: the 2-year sits at 4.28% and ISM Manufacturing at 55.6 keeps the short-duration stance intact. The crude-capped thesis is doing its work this morning, so we hold the hawkish rates read and let the oil premium bleed.

Today's Three · Highest-Conviction Signals

The three signals the desk engines rank highest right now, each with the level that proves it wrong.

DAX 40 · momentum long, conviction 86/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 25359; seven consecutive closes back below it kills the call.
EUR/JPY · mean-reversion long, conviction 84/100, new, on for 0 sessions. The fade targets the 21-day average at 184.5 and ends on a touch of it; a further stretch through 180.2 (one more average daily range against it) says the regime has turned and the fade is wrong.
AUD/JPY · mean-reversion long, conviction 76/100, new, on for 0 sessions. The fade targets the 21-day average at 112.6 and ends on a touch of it; a further stretch through 109.8 (one more average daily range against it) says the regime has turned and the fade is wrong.

Asset Market Pricing

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

What's Driving the S&P 500

The S&P 500 is in a sticky regime (Markov persistence 12 days), so momentum is driving it: the trend engine reads bullish with conviction 55/100.

Across the 44-market universe, 27 are trend-driven (momentum) and 17 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro

AXIOS: US NEARS HORMUZ DEAL, AIMING FOR WEDNESDAY ANNOUNCEMENT; NORTHERN INBOUND LANE THROUGH IRANIAN WATERS, SOUTHERN OUTBOUND THROUGH OMAN
TRUMP: STRAIT "GOING TO BE OPEN VERY SOON," WILL "KNOW IN 48 HOURS ON IRAN"
BRENT FALLS BACK BELOW USD 80/BBL ON HORMUZ PROGRESS; DECLINE ALSO SUPPORTED TREASURIES
FED'S SCHMID: POLICY NOT RESTRICTIVE, INFLATION "TOO HIGH," ENERGY RELIEF "MAY PROVE TEMPORARY"
NIKKEI 225 +3.5% ON SOFTBANK AI STRENGTH; NASDAQ SURGED 3.3% PRIOR SESSION ON PALANTIR
US CENTCOM: SOUTHERN ROUTE THROUGH HORMUZ REMAINS FREE AND OPEN FOR COMMERCIAL VESSELS
SPOT GOLD +1.4% AS DXY STAYS LACKLUSTRE POST OIL TUMBLE

The recent prints read growth firm, inflation sticky. ISM Manufacturing at 55.6 beat the 54 consensus and accelerated from 53.3, with employment back above 50 at 52.8. That is the number that keeps our hawkish read alive.

The soft spots do not change it. JOLTs at 7.359 undershot the 7.4 consensus and Factory Orders fell 0.3% against a 0.2% call, but the Employment Cost Index held at 0.9%, above the 0.8% consensus. We treat sticky wages and resilient survey data as the reason the front end stays priced for a hike.

The Tape

Technology drove the session, adding 0.49pp to the 1.48% S&P day, with Communication Services next at 0.27pp. Leadership is cyclical and AI-led, which fits our fading-growth-scare thesis rather than any defensive rotation.

Across assets, WTI rose 2.29% into the close but is giving it back this morning below 80 on the Hormuz reports. The SPX versus 10Y correlation flipped to -0.20 from -0.53 a month ago, flagged BIG SHIFT; rising yields no longer punish equities the way they did, so we would not hedge duration with stocks here. Gold versus DXY at -0.39 from -0.65 loosened too, and we treat gold as a cleaner standalone hedge now than a dollar mirror.

IG OAS at 80bp sits below the 91bp long-run mean, squarely in carry regime, with HY at 284bp offering no warning. If OAS breaks above 91bp decisively, then we shift to a regime-change stance and stop fading widening; until then, we hold the carry book and fade panic.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the debate is entirely about the hike. The first month with a 25bp hike at least half-priced is September at roughly 68% odds, and November carries it at 94%. The strip peaks at 4.130% in May 2027, up 50bp cumulative on EFFR, with the near trough at 3.705% in August.

The terminal barely moved, up 0.5bp on the day and 0.5bp on the week, so the repricing this week is about timing rather than height. Schmid calling policy "not restrictive" and warning energy relief may prove temporary is exactly why the front end refuses to fade the hike, even with crude sinking. If ISM Services today prints above the 54.5 consensus, then we size the belly short into November; until then, we hold and let the print set the level.

Bottom Line

IG at 80bp holds the carry regime and we fade panic short of the mean.
September hike at 68% waits for today's ISM Services before we size the belly short.
The 2-year at 4.28% extends our short-duration stance while growth stays firm.
Crude below 80 fades the geopolitical premium and this changes nothing for our hawkish rates read.
The SPX-yield correlation at -0.20 watches the regime shift and we would not hedge equity with duration.

The Week Ahead

Wednesday's ISM Services: above 54.5 keeps us short the belly into November; below 54, and 197 claims strength notwithstanding, softens our size and we wait.
Wednesday's ADP: above the 70 consensus confirms the firm-growth thesis and holds our stance; a print near 0 challenges it and we lighten the front-end short.
Wednesday's EIA Crude Stocks: a draw beyond the -1.5 consensus complicates the Hormuz unwind; a build defends our crude-capped view and we hold.
Thursday's Initial Jobless Claims: near the 202 consensus keeps the labour read balanced; a spike above it is the first crack and we reassess the hike.
Thursday's Unit Labour Costs: above the 2.1% consensus reinforces sticky-inflation and our hawkish read; a soft print undercuts it and we wait on Schmid's successors.
Wednesday's Fed Cook and Thursday's Musalem: a Schmid-aligned hawkish tone holds the September pricing; a dovish pivot fades it and we trim the belly short.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (AVGO and NVDA richest today); negative = vol going cheap (TSLA and MSFT). Percentile ranks unlock at 60 archived sessions per name · currently 18/60 · the archive deepens automatically every build.

Disclaimer

MACRO REPORT: Rates Vol Is the Tail Risk

Alfie Kerswell — Tue, 04 Aug 2026 12:59:19 GMT

Before we get into it, don’t forget I built 25 FREE indicators, a primer course, academic paper stack and a macro console for you all here:

I’ve been tracking the correlation between the movements in the Yen and global asset markets to see HOW much the Yen has the strengthen to actually cause a materially wekaer gloabl equity market.

There were 3 obvious interventions in the Yen from the BoJ which caused NO selling pressure in equities.

Further headlines also failed to cause any noticable movements:

Remember, markets are priced so efficiently that worst-case scenarios from headlines will be priced almost immediately.

Now if the Yen is strengthening, why haven’t equities moved in direct negative correlation?

That’s because this strength in the Yen is NOT a carry trade event. If it was a carry trade event (directly moving rate differentials) then yes, you’d expect equities to move in direct negative correlation. This event is simply an intervention which hits just the spot price. For this type of event to unwind any rally in equities, there needs to be forced deleveraging which needs speed, vol expansion AND some type of scare (rates/growth etc), which we seeing NONE of these things occur.

Rates volaitlity is moving up marginally while FX and equity market vol remains low and therer is absoliutely no sign of a carry trade unwind here

Another thing that is making this Yen strength less of an issue is the weakness in the dollar following the FOMC meeting last wednesday. Dollar weakness is a net-positive to equities (to a degree) which mitigates any effect (if there even was one) of a stronger Yen.

So there is minimal tailwind from the Yen right now, unless volatility begins to rise or there is a true growth scare (nowhere near) meaning that tail-risks for equities sit inside rates, in my view.

The forward curve has priced roughly 50bp for a decent period of time now so this is nothing new for equities to digest and for as long as we’re getting companies beat earnings, the market can shake off any hikes priced in (unless we start moving towards 3 hikes, which is an UNLIKELY scenario). An example is Palantir yesterday, whose revenue is up 93% in the 2nd quarter of the year.

So the market is priced for a hike in September, and then one in January. This shifted a little from the Septmeber and December steup we had just a few weeks ago, all hawkishness is now being pushed further down the line and increasing the liklihood of a scenario where we see just 1 hike being delivered.

The yield curves flipping from bear flattening to bear steepening shows that the market doesn’t think the Fed are having some type of massive negative effect on longer-term growth (which is reflected in the 10y). If the market truly thought the Fed were being overly restrictive and that this would have DIRECT impact on growth, then we’d be seeing persistent bear flattening which we are not seeing. If we do see bear flattening as equity vol moves higher then I’d defintiely considering being neutral or running some smaller sized shorts (although this is not preferred, I want to see A LOT to get short).

Breakevens falling this hard is reassuring me that there is little tail-risk that the previous enegry shock and this rapid growth in the US isn’t bringing any inflationary tail-risk with it. Nomianals are being driven by real rates which is just a function of HOW restrictive the Fed are being (which in my view has reached peak hawkishness).

So where is this bond volaitlity coming from then? Why does it exist? Well firstly, equity vol and FX vol both net out shocks that bonds HAVE to absorb in full. This literally just means that good news lifts earnings but also lifts rates, so equities half-cancel it, and if every country‘s rates are uncertain together then the differnece between them stays flat (so FX cancels it too).. A yield has nothing to cancel it agaisnt so it takes the WHOLE hit.

Rates vol can begin to drag up vol in equities if the reaction function to data points creates negative movements in equities. For example, a stronger growth print with inflationary tail-risk means that rates go up and multiples go down so then there is no offset in equities and that will bring volaitlity up. Basically, when a hot print sells off both stocks and bonds, the netting is gone.

Another example of how rates vol can drag up equity vol is if the volaitlity in rates begins to directly push credit spreads higher which bings up the cost of capital and drags equity vol up.

We are still NOT seeing these risks materialise and there is not enough excuse for me to begin running any aggressive shorts.

Thanks

Alfie

Disclaimer

The information in this publication is provided for informational and educational purposes only and is believed to be reliable, but its accuracy and completeness are not guaranteed. Nothing herein constitutes investment advice, an offer, or a solicitation to buy or sell any security, derivative, digital asset, or other financial instrument, nor a recommendation suited to any specific reader. All figures are drawn from the day’s computed data set at the time of generation and may be delayed, revised, or superseded. Markets involve risk, including the possible loss of principal; past performance and historical relationships do not guarantee future results. Readers should conduct their own research and consult a qualified financial adviser before making any investment decision. The author may hold positions in instruments discussed. This publication is licensed for the personal use of the subscriber only: redistribution, reproduction, or resale in any form is prohibited. © 2026 MARKET MACRO HUB. All rights reserved.

Systematic Macro Models: The Set Up Into ISM Services (04/08/26)

Alfie Kerswell — Tue, 04 Aug 2026 07:48:40 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260804

15.2MB ∙ PDF file

Tearsheet Equities 20260804

14.1MB ∙ PDF file

Tearsheet FX 20260804

9.17MB ∙ PDF file

Tearsheet Commodities 20260804

11.6MB ∙ PDF file

Tearsheet Crypto 20260804

5.85MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

Where We Stand

Our oldest running view, the 2s10s steepener opened two days ago, sits at 45.00 and we extend it while the terminal keeps drifting lower. Yesterday we said WTI down 7.81% eased the inflation squeeze and changed nothing for our hawkish front end, and this morning's 1.1% crude bounce on the Kuwait base and Oman vessel strikes does not challenge that. The 2-year at 4.23% still holds the short-duration stance, and we treat the strong ISM Manufacturing beat as the reason to keep it.

Today's Three · Highest-Conviction Signals

The three signals the desk engines rank highest right now, each with the level that proves it wrong.

EUR/JPY · mean-reversion long, conviction 87/100, new, on for 0 sessions. The fade targets the 21-day average at 184.9 and ends on a touch of it; a further stretch through 180.7 (one more average daily range against it) says the regime has turned and the fade is wrong.
AUD/JPY · mean-reversion long, conviction 81/100, new, on for 0 sessions. The fade targets the 21-day average at 112.9 and ends on a touch of it; a further stretch through 110.0 (one more average daily range against it) says the regime has turned and the fade is wrong.
FTSE 100 · momentum long, conviction 80/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 10683; seven consecutive closes back below it kills the call.

Asset Market Pricing

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

What's Driving the S&P 500

The S&P 500 is in a sticky regime (Markov persistence 12 days), so momentum is driving it: the trend engine reads bullish with conviction 24/100.

Across the 44-market universe, 27 are trend-driven (momentum) and 17 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro

TRUMP SAYS IRAN TALKS ONGOING, STRAIT OF HORMUZ COULD REOPEN BY TUESDAY
IRGC REPORTEDLY STRUCK US BASE IN KUWAIT WITH THREE DRONES, VESSEL HIT OFF OMAN
ATLANTA FED Q3 GDPNOW REVISED UP TO 6.2% FROM 5.0%, ISM MANUFACTURING BEAT
TREASURY SEES USD 739BN Q3 BORROWING, UP FROM 671BN PRIOR ESTIMATE
TRUMP PRESSES OIL MAJORS TO CUT RETAIL PRICES, ENERGY LAGS THE RALLY
SENATE VOTES 89-4 TO ADVANCE STOPGAP FUNDING THROUGH DECEMBER 11TH
MORE THAN TWO DOZEN US STATES SUE OVER LATEST TARIFFS

The growth read firms rather than fades. The Atlanta Fed's GDP now Q3 estimate was revised up to 6.2% from 5.0%, while ISM Manufacturing PMI beat in July, driven by increases in production and new order indices. We would treat a JOLTS print near the 7.45 consensus as confirmation the labour market is not cracking; a large miss below 7.0 is what changes it.

The inflation side stays two-handed. Trump reiterated a call for oil companies to cut retail prices and said Exxon and Chevron are making too much money. That jawboning caps the crude bounce, so our hawkish front-end read leans on the firming growth data while energy stays contained.

The Tape

Consumer discretionary did the heavy lifting on Thursday. XLY added +0.36pp on a +3.29% day, with communications next at +0.15pp, so the leadership sat squarely in high-beta growth. We read that as risk-on rotation as the high-beta names led, and it keeps us comfortable in the steepener.

Cross-asset, the scoreboard flagged one thing we act on. The SPX versus dollar correlation moved to -0.33 now from -0.68 a month ago, a BIG SHIFT, so the dollar is no longer the clean equity hedge it was. Until that correlation re-tightens, we would not lean on DXY to cushion an equity drawdown and we hedge growth risk elsewhere.

Credit stays inside the carry regime. IG OAS at 80bp sits below the 91bp long-run mean, which our litmus framing calls complacency, and HY at 284bp confirms no stress bid. If OAS breaks decisively above 91bp, then we close the fade and treat it as a regime shift; until then, we hold the carry stance and fade panic.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so this remains a tightening set-up. The first month with a hike at least half-priced is September at roughly 68% odds, and November carries a near-certain hike at about 98%. We treat the 2-year at 4.23% as the clean expression while those odds hold.

The strip peaks in June 2027 at 4.180%, some +55bp cumulative over the 3.63% funds rate, with the near trough in August at 3.715%. The terminal repriced just -2.5bp on the week, so the market is nudging the endpoint lower even as the front end firms. That divergence is exactly why the steepener works.

The move is driven by firming growth rather than fear. The 10yr UST unwound some of the post-FOMC steepening after settling higher, with little reaction to the increased borrowing in the Treasury Financing Estimates for Q3. If ISM Services on Wednesday prints above the 54.5 consensus, then we size the belly short into the September meeting; until then, we wait.

Bottom Line

2s10s at 45.00 extends the steepener while the terminal drifts lower.
IG at 80bp holds the carry regime and fades panic short of the mean.
September hike at 68% waits for Wednesday's ISM Services before we size the belly.
WTI's 1.1% bounce fades against Trump's price jawboning and changes nothing hawkish.
The 91bp mean is the line credit watches before we reverse the fade.

The Week Ahead

Tuesday: JOLTS job openings, consensus 7.45. A print holding near consensus keeps our firm-labour read; a slide below 7.0 challenges the September hike and we trim the front-end short.
Tuesday: Factory Orders, consensus +0.2% against -1.3% prior. A clean rebound confirms the manufacturing turn behind our short duration; a second negative print softens it.
Tuesday: Balance of Trade, consensus -73 against -77.6 prior. A narrower deficit supports the strong Q3 GDPNow; a wider gap trims that growth optimism.
Wednesday: ISM Services, consensus 54.5 against 54 prior. Above consensus and we size the belly short into September; below 54 and we hold the steepener without adding.
Wednesday: ADP employment, consensus 70 against 98 prior. A beat firms the labour read into payrolls; a sub-50 print flags cooling and we wait on the belly.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (AVGO and XLE richest today); negative = vol going cheap (AMZN and MSFT). Percentile ranks unlock at 60 archived sessions per name · currently 17/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The Set Up Into ISM (03/08/26)

Alfie Kerswell — Mon, 03 Aug 2026 09:27:40 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260803

15.2MB ∙ PDF file

Tearsheet Fixedincome 20260803

9.45MB ∙ PDF file

Tearsheet Equities 20260803

13.5MB ∙ PDF file

Tearsheet FX 20260803

9.13MB ∙ PDF file

Tearsheet Commodities 20260803

11.6MB ∙ PDF file

Tearsheet Crypto 20260803

5.85MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

Where We Stand

Yesterday we held IG at 80bp inside the carry regime, kept the September hike waiting on ISM, and stayed short the 2-year at 4.23%. This morning confirms all three: credit has not budged, front-end pricing is intact, and oil cracking removes an inflation tail without touching the growth read. We reaffirm the oldest thesis by name, investment-grade credit holds the carry regime below its 91bp mean, and we fade panic until decisively above it.

Today's Three · Highest-Conviction Signals

The three signals the desk engines rank highest right now, each with the level that proves it wrong.

EUR/JPY · mean-reversion long, conviction 87/100, new, on for 0 sessions. The fade targets the 21-day average at 184.9 and ends on a touch of it; a further stretch through 180.7 (one more average daily range against it) says the regime has turned and the fade is wrong.
AUD/JPY · mean-reversion long, conviction 81/100, new, on for 0 sessions. The fade targets the 21-day average at 112.9 and ends on a touch of it; a further stretch through 110.0 (one more average daily range against it) says the regime has turned and the fade is wrong.
FTSE 100 · momentum long, conviction 80/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 10683; seven consecutive closes back below it kills the call.

Asset Market Pricing

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

What's Driving the S&P 500

The S&P 500 is in a sticky regime (Markov persistence 12 days), so momentum is driving it: the trend engine reads bullish with conviction 24/100.

Across the 44-market universe, 27 are trend-driven (momentum) and 17 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro

TRUMP CANCELS IRAN STRIKE, CITES HORMUZ OPENING AND DENUCLEARISATION DEAL, NEGOTIATIONS BEGIN MONDAY AFTERNOON
WTI SEP TUMBLES 6.2%, BRENT 5.6%, ON GEOPOLITICAL RELIEF
US AND JAPAN CONFIRM JOINT YEN INTERVENTION, USD/JPY DIPS BENEATH 156.00
FED'S MUSALEM SAYS TREASURY SELL-OFF SIGNALS NEED FOR HIKES TO EARN CREDIBILITY
FED'S BARKIN SEES 'STRONG CASE' FOR ADDING RESTRAINT, TAKING BACK LAST YEAR'S CUTS
CHINA RATINGDOG MANUFACTURING PMI MISSES, MOFCOM SLAMS US FORCED-LABOUR LISTING
WARSH REPORTEDLY MULLS REDUCING FREQUENCY OF FED POLICY MEETINGS

The recent prints keep the split alive. GDP growth advanced at 1.5% against a 2.1% consensus, while Core PCE came in at 0.1% versus 0.2% expected. Growth softened while inflation cooled, so we treat the miss as disinflationary rather than recessionary, and it changes nothing for our short-duration stance.

The labour and activity data cut the other way. Initial jobless claims printed 197 thousand against a 200 thousand consensus, and Chicago PMI came in at 57.6 versus 56 expected. A firm labour market alongside a sticky Employment Cost Index at 0.9% is why the front end still prices hikes, and we hold the belly short into Monday.

The Tape

Discretionary did the heavy lifting Friday. Consumer Discretionary added 0.36pp on a 3.29% day, while Communications contributed 0.15pp. This is Amazon-led and does not mark a broad leadership turn, so we watch the narrow tape and do not chase it.

Cross-asset, the scoreboard flags a correlation break. SPX versus DXY sits at -0.33 now against -0.68 a month ago, a BIG SHIFT. The dollar has stopped driving equities, so a weaker DXY no longer mechanically lifts stocks, and we would size down any long-equity-short-dollar pairing. WTI cracking 6.2% this morning against gold up only 0.4% tells us this is oil-specific relief and stops short of a broad risk repricing.

Credit is our litmus and it stays green. IG OAS sits at 80bp against its 91bp mean, with HY at 284bp. If OAS breaks decisively above 91bp, then we flip to defending the far end and cut carry risk; until then, we fade panic and stay long the regime. HY at 284bp shows no stress bleeding through.

Rates & Fed Pricing

No month on the strip prices a cut, so the debate is about how much tightening. The first month with a hike at least half-priced is September at roughly 76% odds. We hold our short 2-year at 4.23% into ISM because that odds level survives a soft print.

The strip builds from there. The November meeting carries a hike at near-certain conviction, and cumulative tightening reaches +55.0bp at the June 2027 peak of 4.180%. The terminal repriced +5.0bp on the day but sits -5.5bp on the week, so the far end has drifted lower even as the near end holds. That divergence is why 2s10s at 45.00 extends the steepener we own.

Musalem and Barkin explain the front-end floor. Musalem said the Treasury sell-off signals the need for the Fed to earn its inflation-fighting credibility with hikes. If ISM prints above the 54 consensus, then we add through the belly on confirmed activity; until then, we hold the 2-year short and let September do the work.

Bottom Line

IG credit at 80bp holds the carry regime and fades panic short of its mean.
The September hike at 76% waits for Monday's ISM before we add through the belly.
The 2-year holds our short-duration stance despite the 1.5% growth miss.
2s10s at 45.00 extends the steepener as terminal drifts lower on the week.
WTI down 6.2% this morning watches whether Hormuz relief holds through the Monday negotiation.

The Week Ahead

Monday: ISM Manufacturing PMI, consensus 54. Above 54 keeps us short the belly and adding; below 53.3 challenges the hike conviction and we trim.
Tuesday: JOLTs Job Openings, consensus 7.25 million. A print holding near consensus keeps the front-end floor; a drop toward 7.0 million softens our short-duration read.
Tuesday: Factory Orders, consensus 0.5%. A recovery from the prior -1.3% confirms activity and holds the short; a second contraction argues for fading it.
Wednesday: ADP Employment Change, consensus 75 thousand. A print near consensus reaffirms the labour-driven hike case; a slide toward the prior 98 without follow-through into payrolls makes us wait.
Wednesday: MBA 30-Year Mortgage Rate, prior 6.76%. A move lower alongside the crude crack supports the disinflation read; a jump higher on the terminal reprice challenges it.

Our read into Monday is simple: oil cracking removes an inflation tail, the growth miss stays disinflationary, and the September hike still holds the front end. We think ISM decides whether we add. We would not act ahead of it because the labour and inflation signals genuinely disagree.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (AVGO and USO richest today); negative = vol going cheap (AMZN and MSFT). Percentile ranks unlock at 60 archived sessions per name · currently 16/60 · the archive deepens automatically every build.

The Measured Books · Monday Edges

Five rules, each backtested on the desk's own data before it may speak; rules that failed the measurement are named as context, never traded.

E1 · Slow trend (12-1) · live on equities and crypto only (measured noise elsewhere): Nikkei 225 LONG · Russell 2000 LONG · Semiconductors LONG · FTSE 100 LONG · US Energy LONG · Dow Jones LONG · +9 more
E2 · FX carry · signal only when the policy differential is 1%+ wide: USD/CHF LONG (+3.75%) · AUD/JPY LONG (+3.35%) · USD/JPY LONG (+2.75%) · GBP/JPY LONG (+2.73%) · USD/CAD LONG (+1.50%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum) · slope 45bp, -5bp over 63 sessions → 63d trend FLATTENER (shorter-horizon state can differ · see appendix) · short 2Y (ZT) / long 10Y (ZN), roughly 2: 1 DV01
E4 · Variance risk premium · POSITIVE, harvest is on (long SPX) · 42nd percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.82tn, +108bn over 13 weeks → rising, supportive for NDX/SPX

Disclaimer

Systematic Macro Models: The Intervention Steepener (31/07/26)

Alfie Kerswell — Fri, 31 Jul 2026 08:50:04 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260731

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260731

9.44MB ∙ PDF file

Tearsheet Equities 20260731

14MB ∙ PDF file

Tearsheet FX 20260731

9.13MB ∙ PDF file

Tearsheet Commodities 20260731

11.6MB ∙ PDF file

Tearsheet Crypto 20260731

5.83MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

Where We Stand

Our oldest live thesis, the short-duration trade opened four days ago, still holds because the two-year sits at 4.26 and September prices a 66% hike. Yesterday's Where We Stand kept the crude short flagged, and this morning that flag remains live as WTI slips again toward 83.35. We treat the overnight tech surge as a sentiment event and decline to chase equity risk into a steepening curve.

Today's Three · Highest-Conviction Signals

The three signals the desk engines rank highest right now, each with the level that proves it wrong.

US 30Y (price dir) · levels in yield · momentum short, conviction 84/100, on for 15 sessions. The trend gate holds while the quote stays above the 21-day average at 5.1027; seven consecutive closes back below it kills the call.
US Financials · momentum long, conviction 83/100, on for 31 sessions. The trend gate holds while the quote stays above the 21-day average at 55.84; seven consecutive closes back below it kills the call.
USD/JPY · momentum long, conviction 78/100, on for 12 sessions. The trend gate holds while the quote stays above the 21-day average at 162.7; seven consecutive closes back below it kills the call.

Asset Market Pricing

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

What's Driving the S&P 500

The S&P 500 is in a choppy regime, so mean reversion is driving it: the fade engine reads bullish with conviction 67/100.

Across the 44-market universe, 23 are trend-driven (momentum) and 21 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro

MSFT +15.5% ON AZURE, COPILOT BEATS, BEST DAY IN ROUGHLY 18 YEARS
AMAZON EPS 5.75 VS 1.81 EXPECTED, SHARES +9.6% AFTER HOURS
APPLE BEATS ON REVENUE BUT SHARES FALL 6.3% ON SOFT CHINA, SERVICES
JAPAN AND BOJ INTERVENE BUYING YEN; USD/JPY SAW LARGEST DROP SINCE DECEMBER 2023
BOJ HOLDS RATES UNCHANGED, TOKYO CPI SOFTER THAN EXPECTED
BESSENT: YEN "SUBSTANTIALLY OVERSHOT EQUILIBRIUM", VOLATILITY "UNHEALTHY"
CHINA MANUFACTURING AND NON-MANUFACTURING PMI SLIP INTO CONTRACTION
TRUMP: "BOARD OF PEACE" REACHES GAZA DISARMAMENT DEAL

The US data cut two ways. Advance GDP printed 1.5% against 2.1% consensus, and core PCE cooled to 0.1% versus 0.2% expected. That pairing softens growth while confirming disinflation, which normally reads dovish for the front end.

But the GDP price index came in at 6.3% against a 3.6% consensus, and that keeps the inflation story alive. We read the mix as messy enough to defend a hawkish August strip. This changes nothing for our short-duration stance.

The Tape

On yesterday's cash session, technology drove the tape. XLK cost the index 0.85pp and industrials took another 0.27pp, so leadership broke rather than rotated. We treat that breadth failure as the reason to keep equity sizing light despite the overnight melt-up.

Cross-asset, the correlation board moved under us. SPX versus 10-year yield ran to negative 0.25 from negative 0.63 a month ago, a BIG SHIFT. The consequence is direct: the bond hedge against equity drawdowns is degrading, so a long-gold overlay does the work duration no longer does.

Credit stayed calm through the noise. IG OAS held at 81bp against its 92bp long-run mean, which keeps us in the carry regime and complacent. HY at 284bp confirms no stress. If IG breaks decisively above 92bp, then we cut the carry and respect the regime shift; until then, we fade any panic that leaves the mean intact.

Rates & Fed Pricing

No month on the strip carries a cut, so the debate is entirely about hikes. September is the first month with a hike at least half-priced at roughly 66% odds, and November firms to 92%. We think the disinflation in core PCE argues against that path. We would not act on it because the 6.3% GDP price index keeps the hawkish case funded.

Cumulatively, the strip prices +23.0bp by November and peaks at 4.140% in August 2027. The terminal repriced +4.5bp on the day but sits 6.0bp lower on the week, so the post-FOMC steepening did not lift the far end. We read this as the market pricing near-term hikes without conviction on a higher terminal.

If September confirms with an actual hike, then we add the short-duration trade through the belly; until then, we hold the two-year expression and wait.

Bottom Line

Two-year at 4.26 holds our short-duration thesis into the September meeting.
September's 66% hike odds waits for a confirming print before we extend through the belly.
Gold at 4090.4 holds as the geopolitical hedge while the SPX-yield correlation degrades the bond hedge.
IG at 81bp fades any panic that does not break the mean.
Crude near 83.35 keeps the short flagged as spec longs sit washed out at the 38th percentile.

The Week Ahead

Friday: Employment Cost Index, consensus 0.8%. A print at or above 0.8% funds the hawkish strip and keeps our short-duration stance; a soft sub-0.8% wages read pressures the September hike case and forces us to lighten.
Friday: Chicago PMI, consensus 56 versus 56.7 prior. Above 56 confirms resilient growth and holds our leadership caution; a slide toward 53 tilts the growth read softer.
Friday: Michigan Sentiment Final, consensus 54 against 49.5 prior. A rebound to 54 supports the melt-up; a print back near 49.5 challenges the consumer and our equity sizing.
Monday: ISM Manufacturing, prior 53.3. A hold above 53 keeps growth intact and our carry-in-credit view; a drop below 50 flips the growth read and we would reduce risk.
Tuesday: Balance of Trade, prior negative 77.6. A wider deficit pressures the growth arithmetic and the GDP read; a narrower print supports the resilient-growth stance we currently hold.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (AMZN and AAPL richest today); negative = vol going cheap (TSLA and META). Percentile ranks unlock at 60 archived sessions per name · currently 13/60 · the archive deepens automatically every build.

Positioning Book · Friday COT

market           specs net %OI  percentile                  state  price 5d
------------------------------------------------------------------------
Wheat                    -1.5%          96                            -5.4%
Copper                   27.4%          88   SPEC LONGS STRETCHED     +0.8%
Corn                     10.7%          77                            -3.0%
Soybean Meal             18.4%          75                            -4.1%
Gasoline RBOB            18.5%          71                            -5.3%
Gold                     48.0%          58                            +0.8%
Natural Gas             -10.2%          52                            -5.9%
Soybean                  16.8%          52                            -4.4%
Silver                   22.1%          46                            +0.9%
Crude Oil (WTI)           4.4%          38  SPEC LONGS WASHED OUT     -8.2%
Heating Oil               3.7%          31                            -1.8%

No crowded-and-cracking setups this week · extremes without a price crack are carry, not catalysts.

Disclaimer

Systematic Macro Models: The Post FOMC Steepener (30/07/26)

Alfie Kerswell — Thu, 30 Jul 2026 08:35:24 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260730

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260730

9.43MB ∙ PDF file

Tearsheet Equities 20260730

13.8MB ∙ PDF file

Tearsheet FX 20260730

9.12MB ∙ PDF file

Tearsheet Commodities 20260730

11.6MB ∙ PDF file

Tearsheet Crypto 20260730

5.83MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

Where We Stand

Our oldest live view, opened three days ago, said the two-year holds our short duration into the FOMC, and this morning it holds at 4.31. The Fed left rates unchanged against a third of a hike priced, yet three dissents and no forward guidance kept August alive at roughly 62%, so the stance survives the hold. We are not changing our read; the crude short remains flagged and gold still extends as our geopolitical hedge.

Today's Three · Highest-Conviction Signals

The three signals the desk engines rank highest right now, each with the level that proves it wrong.

Dollar Index · momentum long, conviction 76/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 101.1; seven consecutive closes back below it kills the call.
US 2Y (price dir) · levels in yield · momentum short, conviction 73/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 4.2332; seven consecutive closes back below it kills the call.
US Financials · momentum long, conviction 92/100, on for 30 sessions. The trend gate holds while the quote stays above the 21-day average at 55.76; seven consecutive closes back below it kills the call.

Asset Market Pricing

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

What's Driving the S&P 500

The S&P 500 is in a choppy regime, so mean reversion is driving it: the fade engine reads bullish with conviction 23/100.

Across the 44-market universe, 25 are trend-driven (momentum) and 19 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro

FED HELD 3.50-3.75%, 9-3 VOTE; LOGAN, HAMMACK, KASHKARI WANTED 25BP HIKE
WARSH: FIVE YEARS OF ABOVE-TARGET INFLATION CANNOT BE CURED IN NINE WEEKS, WILL NOT WAVER
US CURVE FLATTENED MODESTLY ON NO GUIDANCE; MONEY MARKETS PUSH BACK TIGHTENING
CENTCOM COMPLETES HEAVY WAVE OF STRIKES ON IRAN; TRUMP SAYS "OUR TURN NOW"
US-OWNED LNG STORAGE UNIT STRUCK BY DRONE AT EGYPT'S DAMIETTA PORT
MSFT +8.9% ON REVENUE BEAT; META -7.5%, ARM -5.7% AS AI TRADE WOBBLES
MOFCOM THREATENS RETALIATION OVER US ROBOT BAN

The hold surprised against a market that had put roughly a third of a hike on the table, and the initial reaction was dovish across gold, equities and the ten-year. The moves in equities, gold and the 10-year Treasury quickly reversed during Warsh's press conference, as he largely reiterated his commitment to restoring price stability and downplayed the significance of the June CPI report. Our read is that a resilient-growth Fed with no guidance keeps the tightening bias intact.

Today brings the growth and inflation test together. GDP advance is seen at 2.1% and core PCE at 0.2% against a prior 0.3%; a cooler core would ease the pressure, but we would not fade the front end on one print.

The Tape

Leadership on the session was defensive and financial. XLV added 0.24pp and XLC 0.18pp, with XLF contributing 0.16pp, while tech dragged with XLK at minus 0.59pp. That mix tells us the rotation is out of the AI complex, and we read healthcare and financials leading as late-cycle behaviour rather than a growth scare.

Cross-asset, the scoreboard flagged a BIG SHIFT in the SPX versus ten-year correlation, now minus 0.23 against minus 0.63 a month ago. The bond hedge is degrading, so we would size equity risk down rather than lean on duration to cushion a drawdown. Crude fell 3.41% on the day even with Iran strikes live, which keeps our flagged short honest until a Hormuz event forces a chase.

Credit stays complacent. IG OAS sits at 81bp against a to-date mean of 92bp, with HY at 281bp, so the litmus reads carry regime. If OAS breaks decisively above 92bp, then we treat it as a regime shift and cut risk; until then, we hold the carry.

Rates & Fed Pricing

The strip prices no cut anywhere, so the whole conversation is about how much more tightening survives. The first month at least half-priced for a hike is August at roughly 62%, and September sits near certain, so our short front-end stance rests on that August print rather than on the July hold. The curve flattened a touch overnight, with the ten-year at 4.70% on the wire as guidance stayed absent.

Cumulative tightening reaches +52.0bp at the June 2027 peak, with the trough of +7.5bp already behind us this month. Terminal barely moved on the day at +0.5bp but repriced 2.0bp lower on the week, so the market trimmed the tail even as the near dates held. If core PCE prints at or below 0.2% today, then we let August ride but stop adding; until then, we stay short the front end into the August meeting.

Bottom Line

August hike at 62% holds our short front-end stance into next month's meeting.
The two-year at 4.31 holds short duration; the July hold changed nothing for us.
Gold at 4035.6 extends as our geopolitical hedge while the bond hedge degrades.
IG at 81bp waits on a decisive break of its 92bp mean before we cut risk.
WTI down 3.41% keeps our flagged crude short honest against live Iran headlines.

The Week Ahead

Thursday's GDP advance (cons 2.1%): a print holding 2.1% keeps our resilient-growth, stay-short read; a sub-1% miss forces us to soften the tightening bias.
Thursday's core PCE (cons 0.2%, prev 0.3%): 0.2% or cooler lets August ride without adding; a reacceleration to 0.4% and we press the front-end short harder.
Thursday's headline PCE year on year (cons 3.7%, prev 4.1%): a fall toward 3.7% supports Warsh's patience; a surprise above 4% and we treat September as locked.
Thursday's initial jobless claims (cons 200k, prev 187k): a rise toward 200k tempers our growth read; a sub-190k print reaffirms it.
Friday's Employment Cost wages (prev 0.8%): a cooling below 0.8% eases the wage-inflation worry we hold; a hotter reading keeps the hike bias firm into September.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (MSFT and META richest today); negative = vol going cheap (TSLA and GOOG). Percentile ranks unlock at 60 archived sessions per name · currently 12/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The Set Up Into FOMC (29/07/26)

Alfie Kerswell — Wed, 29 Jul 2026 10:39:49 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260729

15.3MB ∙ PDF file

Tearsheet Equities 20260729

14.2MB ∙ PDF file

Tearsheet FX 20260729

9.12MB ∙ PDF file

Tearsheet Commodities 20260729

11.6MB ∙ PDF file

Tearsheet Crypto 20260729

5.83MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

Where We Stand

Our oldest running view, that the two-year holds short duration into Wednesday's FOMC, is challenged: the note opened above 4.37 and sits at 4.33 this morning. We defend it because the strip still prices an August hike near 70% and a September hike near certain, so the front end stays a sell into the meeting. The crude short remains flagged, and gold at 4042.5 continues to carry our geopolitical hedge now that its yield link snapped.

Today's Three · Highest-Conviction Signals

The three signals the desk engines rank highest right now, each with the level that proves it wrong.

US 2Y (price dir) · levels in yield · momentum short, conviction 82/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 4.2297; seven consecutive closes back below it kills the call.
Dollar Index · momentum long, conviction 80/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 101.1; seven consecutive closes back below it kills the call.
EUR/USD · momentum short, conviction 76/100, new, on for 2 sessions. The trend gate holds while the quote stays below the 21-day average at 1.1417; seven consecutive closes back above it kills the call.

Asset Market Pricing

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

What's Driving the S&P 500

The S&P 500 is in a choppy regime, so mean reversion is driving it: the fade engine reads bullish with conviction 33/100.

Across the 44-market universe, 29 are trend-driven (momentum) and 15 are range-driven (mean reversion).

Sector Snapshot & Breadth

Event Watch · FOMC decision today

reference     events  avg move  median  closed higher  avg abs move
-------------------------------------------------------------------
S&P 500           36    +0.06%  -0.02%            42%         1.00%
US 10Y yield      36    -2.4bp  -2.2bp            39%         7.0bp
Dollar (DXY)      36    -0.08%  -0.08%            44%         0.49%
Gold              36    +0.08%  +0.25%            56%         1.01%

Into the print the book is long equity beta, short duration, long gold, long USD . Event-day distributions above are close-to-close over the historical set; they describe typical ranges, not a forecast for this release.

Main Developments in Macro

CENTCOM: IRGC FIRED BALLISTIC MISSILES AT US FORCES IN JORDAN, ALL INTERCEPTED; US AND SAUDI STRUCK IRAN-BACKED SITES IN IRAQ
IRAN DEPUTY FM: HORMUZ STAYS CLOSED UNLESS OMAN ACCEPTS TEHRAN'S SHIPPING-LANE TERMS; EUROPEAN SHIPS A "LEGITIMATE TARGET"
TRUMP: IRAN WANTS A DEAL, WILL GET THEM TO "SIGN ON THE DOTTED LINE"; NETANYAHU SAYS FURTHER STRIKES INEVITABLE
KOSPI TRIGGERED CIRCUIT BREAKERS OVERNIGHT AS GLOBAL AI TRADE STAYED UNDER HEAVY PRESSURE; SK HYNIX BEAT NET, MISSED REVENUE
WTI SEP +3.3%, BRENT +2.8% ON HORMUZ HEADLINES; DXY HELD ROUGHLY FLAT DESPITE THE OIL BID AND RISK-OFF TONE
FOMC DECISION, MICROSOFT AND META EARNINGS, FED CHAIR WARSH SPEAK ALL LAND TODAY

The tape carries two engines pulling against each other. Hormuz risk is bidding oil hard this morning while Iran's deputy foreign minister warns the strait stays shut unless Oman yields, yet the same session showed the AI complex cracking, with the KOSPI down 10% overnight and the Nasdaq slipping into correction.

Our read is that growth data has not yet turned. GDP advance is seen at 2.1% and core PCE at 0.2% into Thursday, both consistent with a Fed that keeps tightening rather than one forced to blink.

The Tape

Leadership yesterday came from defensives and cyclicals together while tech lagged. Consumer discretionary added 0.14pp, financials 0.13pp and communication services 0.12pp, while technology dragged the index by 0.29pp. We treat that split as healthy breadth under a weak headline, so we do not chase the Nasdaq weakness as a market-wide signal.

Crude is the cross-asset story. WTI fell 3.41% into last night's close, then this morning's Hormuz bid flipped it 3.3% higher, and the SPX-10Y correlation at minus 0.37 versus minus 0.62 a month ago is flagged as a BIG SHIFT. The bond hedge is degrading, which is why we run gold and shrink equity size rather than lean on duration.

IG sits at 80bp against a 92bp long-run mean, still in the carry regime by the litmus. HY at 279bp confirms no funding stress. If IG breaks decisively above 92bp, then we cut the carry book and add hedges; until then, the carry regime holds.

Rates & Fed Pricing

No cut is priced anywhere on the strip; cumulative pricing never reaches minus 12.5bp, so this is a tightening story. The first month with a 25bp hike at least half-priced is August at roughly 70% odds, and September is effectively fully priced near 100%. We treat the August meeting as the live one and stay short the front end into it.

Cumulatively the strip peaks at 4.175% in April 2027, up 54.5bp versus an effective rate of 3.63%, with the trough already behind us this month. The terminal repriced 9.0bp higher on the week even as it slipped 5.0bp yesterday, so the weekly drift is hawkish despite the daily fade. We read the two-year selling off 15bp over five sessions as the market building in that hike path.

If Warsh signals the September hike is not a lock, then the two-year unwinds and we cover the short; until then, we hold short duration into the announcement.

Bottom Line

The August hike at 70% keeps us short the front end into Wednesday.
The two-year at 4.33 challenges but does not break our short-duration thesis; it holds.
Gold at 4042.5 extends as our geopolitical hedge while the bond hedge fades.
IG at 80bp holds the carry regime and waits on a break of the mean.
The crude short remains flagged, and copper specs at the 88th percentile watch a stretched long.

The Week Ahead

Wednesday's FOMC (consensus 3.75% hold): a hawkish hold with a September lock keeps us short duration; an explicit pause signal reverses the front-end short.
Wednesday's Fed press conference and Warsh: language that endorses the strip's hike path holds the stance; any dovish tilt has us covering into the close.
Wednesday's EIA crude stocks (consensus minus 2.5): a large draw stacked on Hormuz risk extends the oil bid and our gold hedge; a build fades the war premium again.
Thursday's GDP advance (consensus 2.1%): a print at or above keeps the no-cut, tightening read intact; a sub-2% miss challenges it.
Thursday's core PCE (consensus 0.2%): 0.2% or firmer confirms the hike path we are positioned for; a soft 0.1% would force us to reconsider the front-end short.
Thursday's jobless claims (consensus 200k): a print near consensus holds the growth read; a jump toward 220k challenges the tightening case.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (AMZN and MSFT richest today); negative = vol going cheap (TSLA and GOOG). Percentile ranks unlock at 60 archived sessions per name · currently 11/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: FOMC Pricing (28/07/26)

Alfie Kerswell — Tue, 28 Jul 2026 08:09:04 GMT

Today's Tear Sheets

The full daily pack is attached below · six PDFs generated from the same computed data set as this note:

Macro Regime · curve regimes, growth x inflation quadrant, breadth, credit, vol term structure, liquidity, stock-bond correlation, crypto cross-asset, housing
Fixed Income · UST complex, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, relatives, vol suite, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260728

15.3MB ∙ PDF file

Tearsheet Equities 20260728

14.3MB ∙ PDF file

Tearsheet FX 20260728

9.14MB ∙ PDF file

Tearsheet Commodities 20260728

11.6MB ∙ PDF file

Tearsheet Crypto 20260728

5.82MB ∙ PDF file

Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.

Where We Stand

Our oldest running view, that duration bonds are degrading as an equity hedge with the short-duration book held into FOMC, survives this morning intact. The two-year sits at 4.37 with the strip pricing a 62% hike chance for August, so we keep the short-duration stance and add nothing until Wednesday. The crude short flag remains live even after oil's drop, and we treat the tech rout in Asia as a positioning event that does not signal a growth turn.

Today's Three · Highest-Conviction Signals

The three signals the desk engines rank highest right now, each with the level that proves it wrong.

US 2Y (price dir) · levels in yield · momentum short, conviction 84/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 4.2207; seven consecutive closes back below it kills the call.
USD/JPY · momentum long, conviction 86/100, on for 9 sessions. The trend gate holds while the quote stays above the 21-day average at 162.4; seven consecutive closes back below it kills the call.
Bund 10Y (price dir) · levels in yield · momentum short, conviction 89/100, on for 7 sessions. The trend gate holds while the quote stays above the 21-day average at 3.0870; seven consecutive closes back below it kills the call.

Asset Market Pricing

Momentum Book · Sticky Regimes

Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.

Mean Reversion Book · Choppy Regimes

Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.

What's Driving the S&P 500

The S&P 500 is in a choppy regime, so mean reversion is driving it: the fade engine reads bullish with conviction 37/100.

Across the 44-market universe, 28 are trend-driven (momentum) and 16 are range-driven (mean reversion).

Sector Snapshot & Breadth

Event Watch · FOMC decision tomorrow

reference     events  avg move  median  closed higher  avg abs move
-------------------------------------------------------------------
S&P 500           36    +0.06%  -0.02%            42%         1.00%
Dollar (DXY)      36    -0.08%  -0.08%            44%         0.49%
Gold              36    +0.08%  +0.25%            56%         1.01%

Into the print the book is long equity beta, short duration, long USD . Event-day distributions above are close-to-close over the historical set; they describe typical ranges, not a forecast for this release.

Main Developments in Macro

TRUMP SAYS IRAN TALKING TO US ON A DEAL "RIGHT NOW", FRIENDLY TALKS ONGOING
IRAN, OMAN NEGOTIATORS SEEK DEAL TO RESTART HORMUZ SHIPPING, ANNOUNCEMENT POSSIBLE IN COMING DAYS (BLOOMBERG)
KOSPI TRIGGERS CIRCUIT BREAKER, SAMSUNG AND SK HYNIX DOWN DOUBLE DIGITS ON DUV COMPETITION FEARS
NIKKEI 225 BRIEFLY UNDER 62,000 AS KIOXIA LEADS TECH SELL-OFF, INDEX DOWN 4.0%
MONEY MARKETS PRICE ~40% CHANCE OF A FED HIKE THIS WEEK; CITADEL SECURITIES SEES HIKE SURPRISE RISK
ECB'S KAZIMIR AFFIRMS SUPPORT FOR A SEPTEMBER HIKE; EUR/USD FAILS TO HOLD 1.1400
US REPORTEDLY PROBES CHINESE FACTORIES IN VIETNAM, STOKING FRESH LEVY FEARS

The China DUV production report is the price-moving story overnight, and it did the damage in Asia that Nvidia's financing headlines started on Wall Street. We read this as a sector-specific de-rating in semis that does not amount to a macro turn.

The data underneath still runs warm. Durable goods came in at 0.3% against a 2.5% consensus, a clear miss, yet initial claims at 187 against 212 expected keep the labour read firm. Growth is cooling at the margin while the jobs signal refuses to break, and that is precisely the mix a hawkish Fed leans on.

The Tape

On sectors, the last clean session had financials adding +0.11pp and communications +0.08pp, the two largest contributions, with tech dragging -0.46pp. Leadership sits with the cyclicals and breadth carriers while semis do the bleeding, and we would not fade that rotation yet.

Cross-asset, crude tumbled 5.89% on the strike pause while gold rose 1.34%. The SPX-10Y correlation moved to minus 0.37 from minus 0.66, flagged BIG SHIFT, meaning bonds no longer reliably cushion an equity drawdown, so we shrink equity sizing rather than lean on a duration hedge. Gold versus 10Y also shifted to minus 0.31 from minus 0.64, so a bond scare no longer knocks bullion, and we treat gold as the cleaner geopolitical hedge into Wednesday.

Credit stays calm. IG OAS at 79bp sits below its 92bp long-run mean, keeping us in the carry and complacency regime, with HY at 277bp giving no warning. If IG breaks decisively above 92bp, then we cut the carry stance and buy protection; until then, the credit tape says hold.

Rates & Fed Pricing

No month on the strip carries a half-priced cut, so the whole conversation is about the hike. August is the first month with a hike at least half-priced at 62% odds, and September carries it at 96%. The strip peaks at 4.170% in April 2027, +54.0bp cumulative over an EFFR of 3.63%, with the trough already behind us in July.

This is why oil's crash did not rally the front end much. The strike pause eased the inflation tail, yet the terminal actually repriced +7.0bp on the week even as it slipped 7.0bp on the day, because a hawkish Warsh Fed is the dominant driver. The two-year adding 21bp on the week, the largest such move in a year, tells us the market is bracing rather than fading.

If Wednesday delivers the hike that 62% is pricing, then the short-duration book pays and we extend it; until then, we hold 4.37 and add nothing.

Bottom Line

Short duration holds with the two-year at 4.37 into Wednesday's decision.
IG at 79bp holds the carry regime until a decisive break of its mean.
Equity sizing fades as the SPX-10Y correlation sits at minus 0.37.
Gold watches as a 1.34% up day makes it the cleaner geopolitical hedge.
The tech rout waits, with the Nasdaq down 1.15%, until we see growth confirm it.

The Week Ahead

Tuesday's CB Consumer Confidence: a print above the 92.2 consensus keeps our firm-labour, hold-the-short read; a soft miss revives the durable goods growth wobble and we trim.
Tuesday's Case-Shiller Home Price: above 1.3% expected reinforces the sticky-shelter inflation story that backs the hike; a downside surprise softens it.
Tuesday's Goods Trade Balance: a narrower deficit than the minus 101.3 consensus supports the growth read; a wider gap and we mark net exports lower.
Wednesday's EIA Crude Stocks: another build against the minus 1.5 draw expected keeps the crude short flag live; a sharp draw and we reassess the oil hedge.
Wednesday's FOMC: a hike vindicates the short-duration book and we extend; a hold against the 62% pricing forces us to change our read on the front end fast.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (USO and AMZN richest today); negative = vol going cheap (TSLA and GOOG). Percentile ranks unlock at 60 archived sessions per name · currently 10/60 · the archive deepens automatically every build.