Market Macro Hub

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

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 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.

Disclaimer

Systematic Macro Models: The Set Up Into FOMC (27/07/26)

Alfie Kerswell — Mon, 27 Jul 2026 08:54:43 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 20260727

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260727

9.38MB ∙ PDF file

Tearsheet Equities 20260727

14.3MB ∙ PDF file

Tearsheet FX 20260727

9.14MB ∙ PDF file

Tearsheet Commodities 20260727

11.6MB ∙ PDF file

Tearsheet Crypto 20260727

5.87MB ∙ 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 two-year at 4.37 holds and the near-certain July hike keeps us short duration, and this morning's tape confirms it with the strip still pricing the September hike at 96%. Our WTI-as-equity-hedge thesis, opened three days ago, is the one under pressure: crude tumbled 5.89% on the day as the US paused strikes, though the 3.30% weekly gain and washed-out longs at the 38th percentile keep it alive rather than closed. We are keeping our read on crude, because the geopolitical supply risk that made it a hedge has only been paused for now.

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, 29 are trend-driven (momentum) and 15 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro

US PAUSED STRIKES AGAINST IRAN OVER THE WEEKEND AND UNDERPINNED RISK SENTIMENT
WTI SLUMPS BENEATH USD 90/BBL AT THE OPEN; BRENT OFF 4.5%
CENTCOM'S COOPER: NO POINT CONTINUING BOMBING IF DECISION IS NOT TO ESCALATE
HOUTHIS ATTACK ARAMCO FACILITIES AT JIZAN AND YANBU; FEWER THAN 10 SHIPS TRANSITED HORMUZ DAILY
DXY SOFTER, BUNDS GAP HIGHER AS OIL DROP EASES INFLATION PRESSURE
CXMT SOARS OVER 500% ON SHANGHAI STAR MARKET DEBUT, NOW MAINLAND CHINA'S MOST VALUABLE COMPANY
WEEK AHEAD: FOMC WEDNESDAY, PLUS BOE AND BOJ, GERMAN IFO AND US DURABLE GOODS TODAY

The recent US prints lean firm. Initial jobless claims came in at 187 against a 212 consensus, and new home sales at 0.628 beat the 0.61 call while rising from 0.618. Our read is that a labour market this tight gives the Fed no reason to walk back the hike now baked in for Wednesday.

The one soft spot sits in energy inventories. The weekend truce, more than any data, is what dragged crude and yields lower this morning.

The Tape

Friday's session was a technology story. XLK subtracted 0.46pp on a 1.44% fall while financials and communications added roughly 0.11pp and 0.08pp between them, so the tape held flat only because breadth outside the Nasdaq stayed constructive. We treat this as a rotation across sectors rather than a broad risk-off.

Cross-asset, the move that matters is the SPX-versus-10Y-yield correlation flagged BIG SHIFT, now minus 0.37 against minus 0.66 a month ago. As stocks and bonds decouple, the reflex bond hedge against an equity wobble works less cleanly, which is the mechanical reason we keep flagging duration's degrading hedge value. Gold rose 1.34% on the day as the dollar edged lower.

Credit stays inside the complacency regime. IG OAS at 79bp sits below its 92bp long-run mean and was unchanged on the week, with HY at 277bp. If IG breaks decisively above 92bp, then we treat it as a regime shift and hedge accordingly; until then, we stay in carry.

Rates & Fed Pricing

No month on the strip carries a cut half-priced, so the whole conversation is about the hike. The first fully-half-priced move is the August hike at 62% odds, and September is all but done at 96%. Our read is that the two-year rising 21bp on the week, its top of the one-year range, is the market pulling the tightening forward.

Cumulative pricing builds to a strip peak of 4.170% in April 2027, some 54bp above the 3.63% effective rate now, while the trough sits at July's 3.710%. The terminal repriced 7bp higher on the week even as it slipped 7bp today, and our read is that today's dip simply reflects the oil-driven relief while the path holds.

If Wednesday's FOMC delivers the hike with a hawkish hold guidance, then we extend the short-duration stance into September; until then, we hold two-year shorts and respect the systematic momentum SHORT on the US 2Y running at 84 conviction.

Bottom Line

Two-year at 4.37 holds our short-duration stance into Wednesday's FOMC.
September hike at 96% waits for the statement to confirm the path rather than reprice it.
Crude down 5.89% on the truce fades the immediate hedge, but the washed-out spec base keeps the thesis open.
IG at 79bp holds inside carry until a clean break of the mean.
SPX-10Y correlation at minus 0.37 watches, because a degrading bond hedge changes how we size equity risk.

The Week Ahead

Monday's Durable Goods (consensus 1.6%): a beat keeps our firm-growth read and the hike intact; a sharp miss versus the prior minus 4.5 is the first crack that would soften our duration short.
Tuesday's CB Consumer Confidence (consensus 92.1): a print above the prior 91.2 supports the tight-labour story; a drop back below 90 would make us question demand resilience into the Fed.
Tuesday's Case-Shiller Home Prices (consensus 0.8%): holding near the prior 1.1% keeps housing benign; a slide toward zero would flag the rate-sensitive pocket we are watching.
Wednesday's FOMC: a hike with hawkish guidance extends our short-duration stance; a dovish surprise or a hold is what would force us to change the read on the two-year.
Wednesday's BoJ and Thursday's BoE: a hawkish BoJ shift is the yen risk we would hedge; a stand-pat outcome keeps the systematic USD/JPY long running at 86 conviction.
Tuesday's API crude stocks (prev 2.603): another large build alongside the Iran pause fades crude further; a sharp draw revives the supply-risk bid that underpins our hedge thesis.

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 9/60 · 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 · Semiconductors LONG · US Energy LONG · Russell 2000 LONG · Dow Jones LONG · FTSE 100 LONG · +8 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 34bp, -17bp 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) · 79th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.92tn, +216bn over 13 weeks → rising, supportive for NDX/SPX

Disclaimer

[FREE] Market Macro Hub Education & Resources

Alfie Kerswell — Fri, 24 Jul 2026 14:03:02 GMT

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Fixed Income Securities: Tools for Today’s Markets · Bruce Tuckman
Interest Rate Markets: A Practical Approach to Fixed Income · Siddhartha Jha
Trading the Fixed Income, Inflation and Credit Markets · Neil Schofield & Troy Bowler

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Systematic Macro Models: The Oil Rally (24/07/26)

Alfie Kerswell — Fri, 24 Jul 2026 08:18:54 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 20260724

15.2MB ∙ PDF file

Tearsheet Fixedincome 20260724

9.39MB ∙ PDF file

Tearsheet Equities 20260724

14MB ∙ PDF file

Tearsheet FX 20260724

9.14MB ∙ PDF file

Tearsheet Commodities 20260724

11.6MB ∙ PDF file

Tearsheet Crypto 20260724

5.86MB ∙ 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 the crude long at 87.80 into the Hormuz binary and kept the rates-firm stance, and this morning's tape confirms both. Our oldest open view, the WTI crude uptrend from Tuesday, stays intact even as crude eased overnight, and the MOVE volatility flag from yesterday remains live. We keep the stance and add nothing.

Today's Three · Highest-Conviction Signals

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

WTI Crude · momentum long, conviction 88/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 79.25; seven consecutive closes back below it kills the call.
Brent Crude · momentum long, conviction 84/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 83.62; seven consecutive closes back below it kills the call.
US 10Y (price dir) · levels in yield · momentum short, conviction 90/100, on for 10 sessions. The trend gate holds while the quote stays above the 21-day average at 4.5582; 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 11 days), so momentum is driving it: the trend engine reads bullish with conviction 43/100.

Across the 44-market universe, 30 are trend-driven (momentum) and 14 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro
TRUMP WEIGHS "MASSIVE" STRIKE ON IRAN, CLOSE TO A DECISION; TEHRAN REJECTS 10-DAY HORMUZ CEASEFIRE
CENTCOM: STRAIT OF HORMUZ STAYS OPEN AFTER 13TH NIGHT OF STRIKES; 12 VESSELS REDIRECTED
HOUTHIS HIT SAUDI TANKERS IN RED SEA; EXPLOSIONS REPORTED AT US BASES IN JORDAN AND KUWAIT
ALPHABET AND TESLA MISSES DRAG NASDAQ; GOOGL CAPEX LIFT REIGNITES SPEND FEARS
US TRADE REP GREER LAUNCHES 10%-12.5% "FORCED LABOUR" TARIFFS, OIL AND GAS EXEMPT
INITIAL JOBLESS CLAIMS 187K, TIGHTEST IN NEARLY SIX DECADES
US 10-YEAR YIELD PRINTS FRESH YTD HIGH NEAR 4.70% OVERNIGHT

Claims printed 187 against a 212 consensus, the tightest labour read in nearly six decades. That resilience keeps our no-easing thesis alive. We would not fight it.

Import prices rose 0.3% where consensus wanted a fall of 0.7%, so the disinflation the strip needs is not arriving. We treat this as confirmation of the rates-firm read into Friday's session.

The Tape Consumer discretionary took 0.50pp out of the tape, the largest single drag, on the Tesla miss. Industrials added 0.16pp as the offset, which tells us cyclical leadership rotated rather than broke. The cyclical bid stayed intact.

Crude did the heavy lifting again, WTI up over 11% on the week as the Hormuz premium built. That weekly surge is the move underwriting our long. We stay long.

The stock-bond hedge is degrading, SPX versus the 10-year correlation at -0.33 now against -0.71 a month ago. Duration is a weaker cushion now. We would not lean on a bond rally to protect equity risk here; an oil position does that job better.

IG holds at 78bp against a 92bp long-run mean, the carry-and-complacency regime intact. We keep fading credit scares at this level.

HY at 269bp shows no stress either. If I

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 AAPL). Percentile ranks unlock at 60 archived sessions per name · currently 8/60 · the archive deepens automatically every build.

Positioning Book · Friday COT

market           specs net %OI  percentile                  state  price 5d
------------------------------------------------------------------------
Wheat                    -3.8%          85                            +5.2%
Soybean Meal             14.5%          75                            +3.6%
Corn                      7.7%          75                            +4.3%
Copper                   24.8%          73                            +3.2%
Gold                     48.7%          63                            +3.5%
Silver                   23.9%          62                            +3.2%
Gasoline RBOB            17.9%          60                            +3.4%
Soybean                  12.5%          44                            +3.2%
Natural Gas             -10.7%          35                            +1.7%
Heating Oil               3.2%          27                            +2.6%
Crude Oil (WTI)           3.3%          19  SPEC LONGS WASHED OUT    +10.9%

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

Disclaimer

Systematic Macro Models: The Hormuz Premium (23/07/26)

Alfie Kerswell — Thu, 23 Jul 2026 08:20:26 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 20260723

15.3MB ∙ PDF file

Tearsheet Fixedincome 20260723

9.37MB ∙ PDF file

Tearsheet Equities 20260723

13.4MB ∙ PDF file

Tearsheet FX 20260723

9.21MB ∙ PDF file

Tearsheet Commodities 20260723

11.6MB ∙ PDF file

Tearsheet Crypto 20260723

5.87MB ∙ 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 WTI crude thesis from Wednesday holds: at 86.23 the geopolitical bid is intact, and washed-out specs still leave room to size up. Today's tape confirms it, with Brent up 2.2% into the European open as the IRGC declared the Strait of Hormuz closed. We keep the energy long, and the crude-uptrend flag stays live.

Today's Three · Highest-Conviction Signals

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

WTI Crude · momentum long, conviction 79/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 78.37; seven consecutive closes back below it kills the call.
Brent Crude · momentum long, conviction 82/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 83.55; seven consecutive closes back below it kills the call.
AUD/JPY · momentum long, conviction 75/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 113.0; 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 11 days), so momentum is driving it: the trend engine reads bullish with conviction 44/100.

Across the 44-market universe, 32 are trend-driven (momentum) and 12 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro
IRGC DECLARES STRAIT OF HORMUZ CLOSED, WARNS SOUTHERN ROUTE IS MINED
US CENTCOM STRIKES IRAN FOR 12TH CONSECUTIVE NIGHT, HITTING MARITIME AND MISSILE SITES
TANKER STRUCK OFF SAUDI ARABIA, HOUTHIS SAY THEY HIT TWO SAUDI OIL TANKERS IN RED SEA
BRENT +2.2%, WTI +1.7% AS SUPPLY FEAR BUILDS INTO THE EUROPEAN OPEN
ECB SEEN ON HOLD TODAY, MARKET EYES HAWKISH SEPTEMBER HINTS, LAGARDE SPEAKS
ALPHABET BEATS BUT FALLS 3.3%, TESLA MISSES AND DROPS 4.1% AFTER THE CLOSE
AUSTRALIA EMPLOYMENT SMASHES ESTIMATES AT 76.3K VERSUS 15K EXPECTED

Our read on growth stays firmer than the doom-mongers want. Michigan sentiment printed 54.4 against a 51 consensus, well clear of the line, and housing starts rebounded hard last week. We treat this as a demand base that keeps the Fed's hand free.

Inflation is the harder tell. Import prices rose 0.3% against a consensus of -0.7%, and the oil bid now layers a fresh supply shock on top. That combination is why we read the rate path as firm with no case for easing.

The Tape Leadership tilted defensive. Utilities led the S&P on Wednesday, contributing +0.06pp, with energy adding +0.04pp behind it. That bid rotated toward safety and hard assets on a flat tape.

Health care and communication services did the dragging, each cutting the index. Growth is where the session bled, and we read that as mild caution while the broader tape stays orderly.

Cross-asset, commodities carry the session. WTI rallied hard, up 2.00% on the day and surging on the week, while gold rallied hard by 2.04% as the safety and inflation bids ran together.

The SPX versus dollar correlation now reads -0.09 against 0.24 a month ago, and we flag this as a BIG SHIFT. Equities and the dollar have decoupled this month. So a dollar hedge no longer offsets equity risk, and we treat oil as the cleaner hedge against this tape.

Credit stays complacent. IG OAS sits at 78bp, well inside its long-run mean, which we read as a carry-and-complacency regime, and high yield echoes the calm. If IG breaks decisively above 92bp, then we hedge equity beta; until then, we hold the carry stance.

Rates & Fed Pricing No month on the strip carries a rate cut. The first month with a 25bp hike at least half-priced is August at roughly 62%, while September sits near a lock. Sticky import prices and the oil bid are why the front end keeps building rather than fading.

The strip peaks at 4.175% in April 2027, and the terminal repriced 16bp higher on the week as the geopolitical premium fed through. Our systematic book is short US 5Y and 10Y on high conviction. If August delivers the priced hike, then September's near-lock is confirmed and we add to the tightening tilt; until then, we hold it.

Bottom Line

WTI crude at 86.23 holds, with the Hormuz bid keeping our energy long on.
Gold at 4165.30 extends, though we would not chase the third day higher.
The 100% September hike pricing anchors the tilt, and we watch August for the first leg.
IG at 78bp waits, and only a break above its mean would change the credit read.
VIX at 17.45 fades any equity wobble while the tape stays orderly.

The Week Ahead

Thursday: US Initial Jobless Claims, consensus 212. A print near 208 keeps our

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (USO and GOOG richest today); negative = vol going cheap (AAPL and SLV). Percentile ranks unlock at 60 archived sessions per name · currently 7/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The Iran Bid (22/07/26)

Alfie Kerswell — Wed, 22 Jul 2026 09:45:52 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 20260722

15.2MB ∙ PDF file

Tearsheet Fixedincome 20260722

9.38MB ∙ PDF file

Tearsheet Equities 20260722

14.2MB ∙ PDF file

Tearsheet FX 20260722

9.2MB ∙ PDF file

Tearsheet Commodities 20260722

11.7MB ∙ PDF file

Tearsheet Crypto 20260722

5.93MB ∙ 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 kept the energy long as the lead call, and this morning confirms it as spot gold clears 4,100 on the 11th straight night of US-Iran strikes. We hold the energy engine at 81 out of 100. The crude spec washout still waits before we add, and the SPY vol flag stays live, so we treat downside hedges as affordable into today's Mag-7 earnings.

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 Energy · momentum long, conviction 81/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 55.83; seven consecutive closes back below it kills the call.
USD/CNH · momentum short, conviction 73/100, new, on for 1 session. The trend gate holds while the quote stays below the 21-day average at 6.7806; seven consecutive closes back above it kills the call.
WTI Crude · momentum long, conviction 66/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 77.40; 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 24/100.

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

Sector Snapshot & Breadth

Main Developments in Macro
CENTCOM: 11TH CONSECUTIVE NIGHT OF US STRIKES ON IRAN; TRUMP THREATENS TO HIT PICKAXE MOUNTAIN NUCLEAR SITE "SOON"
HOUTHIS WARN SHIPPERS TO AVOID SAUDI PORTS; CENTCOM SAYS STRAIT OF HORMUZ STAYS OPEN TO TRAFFIC
WTI +1.3%, BRENT +1.4%, SPOT GOLD BREAKS THROUGH USD 4,100
NASDAQ 100 +1.93% AS TSMC PLANS UP-TO-10% CHIP PRICE HIKES; TAIWAN EXPORT ORDERS +59.4% YEAR ON YEAR
TRUMP: GENERIC DRUG TARIFF ZERO FOR TWO YEARS, THEN 100%, THEN 200%
JAPAN CABINET APPROVES JPY 370TLN INVESTMENT PLAN TO 2040; TRADE DATA BEATS
AHEAD: UK CPI, TESLA AND ALPHABET EARNINGS, GERMAN AND US SUPPLY

The prints lean firmer. Michigan sentiment came in at 54.4 against a 51 consensus, which tells us the consumer is holding up better than feared and gives the front end no reason to soften.

The inflation side backs it. Import prices rose 0.3% against a -0.7% consensus, so disinflation is stalling just as oil bids. Our read is that this growth-plus-sticky-prices mix keeps the strip leaning toward tightening.

The Tape In the 20 July session the S&P edged lower and the drag was defensive: healthcare took off 0.11pp and discretionary 0.08pp. Energy contributed positively. We read that as positioning churn rather than a directional turn in leadership.

Gold rose 1.45% on the day while WTI has rallied hard, up 4.17% on the week, so the geopolitical bid runs across metals and energy. We would keep the energy long as our expression of it.

The S&P-dollar correlation flipped from 0.31 to -0.06. We flag it as a BIG SHIFT. The dollar has stopped tracking equities, which makes an oil hedge against equity risk work cleaner for us now.

On credit, IG sits at 79bp against its 92bp long-run mean. That keeps us in the carry and complacency regime. If it breaks decisively above that mean, then we read a regime shift and cut credit risk; until then, the spread keeps us carrying.

HY at 269bp confirms no stress bid.

Rates & Fed Pricing The strip prices no cut on any month. September is the first month with a hike at least half-priced, at 72%, which we treat as the cleanest read that this is still a tightening cycle.

November firms that to a 96% hike. Cumulative tightening builds to +44.5bp by next April.

The strip peaks at 4.075% then and troughs this month at 3.665%. The curve points to higher policy rates ahead.

The driver is oil. Rising crude stoked inflation fears and Treasuries bear flattened into it. Terminal barely moved, off 1bp on the week, so this week's escalation has not changed the rate destination. If Friday's manufacturing PMI beats 54.5, then we expect the hike path to harden; until then, we hold the energy long as the cleaner geopolitics play.

Bottom Line

Energy long holds at 81 out of 100 as the lead call.
Gold extends its bid through 4,100 as the Iran binary runs.
September hike pricing waits at 72% for Friday's PMIs.
IG at 79bp watches its long-run mean for any regime break.
Crude specs, washed out at the 19th percentile, hold before we add.

The Week Ahead

Wednesday's EIA crude stocks (consensus -1.5 million): a draw keeps the energy long intact; a build echoing the API +2.6 million forces us to trim the add.
Thursday's Initial Jobless Claims (consensus 212k): a print near that keeps the hike path; a jump toward stress cools the strip and our energy conviction.
Friday's flash PMIs (manufacturing consensus 54.5): a beat hardens the November hike and our stance; a miss softens the front end and we lighten.
Wednesday's UK CPI plus today's Tesla and Alphabet earnings: hot prints keep risk bid; misses hand us the downside hedge we flagged.

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 AAPL). Percentile ranks unlock at 60 archived sessions per name · currently 6/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The Set Up Into PMIs (21/07/26)

Alfie Kerswell — Tue, 21 Jul 2026 07:30:10 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 20260721

14.3MB ∙ PDF file

Tearsheet Fixedincome 20260721

9.17MB ∙ PDF file

Tearsheet Equities 20260721

14MB ∙ PDF file

Tearsheet FX 20260721

8.94MB ∙ PDF file

Tearsheet Commodities 20260721

11.3MB ∙ PDF file

Tearsheet Crypto 20260721

5.73MB ∙ 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 the energy momentum long and faded tech shorts into the Nasdaq's weekly drop, and this morning's prints harden that hot-growth read. IG edged to 79bp from 78bp, still in carry territory, so we keep the September hike as a wait rather than reversing it. The bear flattener flagged on the 20th remains live, and we treat the Iran decision as the main new risk to the energy long.

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 Energy · momentum long, conviction 81/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 55.83; seven consecutive closes back below it kills the call.
USD/CNH · momentum short, conviction 73/100, new, on for 1 session. The trend gate holds while the quote stays below the 21-day average at 6.7806; seven consecutive closes back above it kills the call.
WTI Crude · momentum long, conviction 66/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 77.40; 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 24/100.

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

Sector Snapshot & Breadth

Main Developments in Macro

TRUMP EXPECTED TO DECIDE IN COMING DAYS ON EXPANDING MILITARY OPERATIONS AGAINST IRAN, SENIOR US OFFICIAL TELLS FOX
US, ISRAELI OFFICIALS SEE TWO PATHS, A 10-DAY CEASEFIRE TO REOPEN STRAIT OF HORMUZ OR FULL-SCALE WAR, PER AXIOS
US OFFICIAL SAYS IF WAR EXPANDS, STRIKES TO INCLUDE TEHRAN AND NUCLEAR SITES, VIA AL ARABIYA
UK PM BURNHAM APPOINTS JOHN HEALEY AS CHANCELLOR, GILTS AND UK DEFENCE NAMES ON WATCH
EURO STOXX 50 FUTURES DOWN 0.2%, APAC MIXED, CRUDE MILDLY LOWER IN RANGE TRADE
DAY AHEAD, UK JOBS, PSNB, GERMAN AND EU ZEW, US ADP WEEKLY, NBH DECISION, GM AND 3M EARNINGS

The US data run is hot into this decision. The Philadelphia Fed survey printed 41.4 against a 13 consensus, a beat that argues for accelerating factory activity. Our read is that this feeds the front-end hike pricing directly.

Initial jobless claims fell to 208 against a 217 consensus, which keeps the labour market tight enough to hold wage pressure alive. Import prices then rose 0.3% versus a -0.7% expectation, so imported disinflation has stalled. We treat the growth and inflation mix as one-directional for the Fed.

The Tape

Leadership was defensive and heavy on the day. Health care led the drag at -0.11pp and discretionary followed at -0.08pp, which tells us the selling hit the highest-beta consumer names first. Energy and tech held green, and that fits our engine's energy long.

Gold rose 1.45% and copper firmed with it, while WTI rallied hard 4.17% on the week. The metals and oil bid together says a reflation and geopolitical premium is building, so we would keep the energy hedge on. SPY implied vol flipped to cheap versus realised, and we would rather own optionality than sell it into the Iran headlines.

The SPX-dollar correlation flipped to -0.06 now from 0.31 a month ago, tagged as a big shift. The dollar has stopped trading with equities, so a long-dollar hedge against stock drawdowns works less well today. We size that hedge down.

IG sits at 79bp against its 92bp mean, which keeps us in the carry and complacency regime. HY at 273bp echoes the same calm. If OAS breaks decisively above the mean, then we treat that as a regime shift and cut credit beta; until then, the spread holds and we stay long carry.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so we drop cut talk entirely. The first fully-half-priced move is a September hike at 72% odds, and we treat that as the anchor of the front end.

November carries a 96% hike, and cumulative tightening builds to +44.5bp at the April 2027 peak. The strip trough is only +3.5bp this July, yet the terminal repriced just -1.0bp on the week despite the hot prints. Our read is the market believes the hikes without chasing them higher.

If Friday's flash PMIs beat the 54.5 manufacturing consensus, then we add to the September view; until then, we hold the wait.

Bottom Line

Energy momentum long holds at 81/100 conviction.
Crude specs at the 19th percentile extend the washout.
The September hike at 72% waits on the data.
IG at 79bp watches for the break above its mean.
Gold up 1.45% fades without fresh Iran escalation.

The Week Ahead

Tuesday, ADP weekly employment (prev 19.75) and German ZEW: a print near trend keeps the September wait, a sharp upside surprise pulls us toward adding the hike.
Tuesday, API crude stocks (cons -1.5): a draw in line keeps the energy long, a surprise build challenges the crude washout thesis.
Wednesday, EIA crude stocks (cons -1.5): a confirming draw holds the energy tape, a build above consensus forces us to trim.
Thursday, initial jobless claims (cons 212, prev 208): a print near 208 keeps the tight-labour read, a jump above 212 softens the hike case.
Friday, S&P Global flash PMIs (manufacturing cons 54.5, services cons 51.5): beats keep us leaning to the September hike, sub-consensus prints put the wait back in charge.

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 AAPL). Percentile ranks unlock at 60 archived sessions per name · currently 5/60 · the archive deepens automatically every build.

Disclaimer

Systematic Macro Models: The Geopolitical Bid (20/07/26)

Alfie Kerswell — Mon, 20 Jul 2026 07:30:12 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 20260720

14.4MB ∙ PDF file

Tearsheet Fixedincome 20260720

9.29MB ∙ PDF file

Tearsheet Equities 20260720

12.6MB ∙ PDF file

Tearsheet FX 20260720

9.23MB ∙ PDF file

Tearsheet Commodities 20260720

12.1MB ∙ PDF file

Tearsheet Crypto 20260720

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.

Where We Stand

Yesterday we flagged crude momentum at 84/100 conviction as positioning crowding tightened into fifth-percentile spec extremes. Today's spike · Brent +2.4% into news of Iran suspending its MoU commitments and exchanged strikes that killed three US service members · extends that momentum thesis hard. The crude short remains flagged at outsized weekly crowding; we treat the energy-equity hedge as live into a deeper market test of whether this regime holds.

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 Energy · momentum long, conviction 84/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 55.62; seven consecutive closes back below it kills the call.
Bund 10Y (price dir) · levels in yield · momentum short, conviction 81/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 3.0297; seven consecutive closes back below it kills the call.
Silver · momentum short, conviction 88/100, on for 20 sessions. The trend gate holds while the quote stays below the 21-day average at 60.95; 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 19/100.

Across the 44-market universe, 20 are trend-driven (momentum) and 24 are range-driven (mean reversion).

Sector Snapshot & Breadth

Main Developments in Macro

IRAN SUSPENDS MOU WITH US; BRENT CRUDE +2.4% ON ESCALATION NEWS
US AND IRAN CONTINUE MILITARY STRIKES; TWO US SERVICE MEMBERS KILLED IN JORDAN, ONE IN IRAQ
US PLANNING FOR WIDER WAR, WASHINGTON POST REPORTS CITING OFFICIAL
APAC EQUITIES MIXED; TECH UNDERPERFORMANCE DRAGS KOSPI LOWER
EUROPEAN EQUITY FUTURES FLAT INTO OPEN
DXY STEADY; ANTIPODEANS LED FX GAINS, CHF AND JPY FLAT

The geopolitical shock landed hard into energy markets overnight. Crude broke higher into the fifth consecutive day of outsized weekly moves · WTI +15.46% on the week · as specs crowded short into a regime shift. We treat this escalation as the catalyst that flushes positioning rather than a pure demand signal; the energy rally has decoupled entirely from growth data and now trades as pure risk-on into war premium.

Equity markets opened mixed despite the oil bid. Tech underperformance weighed on regional indices; our read is that equity shorts in the Nasdaq still face redemptions despite the −4.13% weekly loss, meaning this bounce is forced rather than conviction-driven. We would not chase the energy rally into equities until the tech short flip confirms panic rather than mere rebalancing.

The Tape

Energy and Financials led. XLE contributed +0.04pp as crude surged; US Financials hold momentum conviction at 82/100, with financials offering natural hedges into geopolitical duration unknowns. Comms and Consumer Discretionary lagged hardest (XLC −0.35pp, XLY −0.18pp), typical of risk-off tape into headline shock. This pattern · energy strong, tech weak · says our read is positioning unwind, not rotation into growth.

Cross-asset showed the critical break. SPX versus crude correlation swung from +0.22 to −0.08 over the month · a BIG SHIFT · meaning oil now hedges equity risk again. DXY also decoupled, flipping from +0.32 to −0.04 versus equities, signalling geopolitical risk is priced as a US equity risk factor rather than a dollar bid. VIX9D/VIX3M exploded +36.63% on the week into the outsized skew zone; we watch for whether near-dated vol stays elevated or mean-reverts when headlines cool.

Credit spreads tightened 1bp on the day despite vol noise. IG OAS sits 14bp below the long-run 92bp mean, still in complacency regime. HY holds 271bp. If spreads break above 92bp decisively, we would read it as regime shift into risk-off; until then, we carry this read as a fade into panic.

Rates & Fed Pricing

The strip repriced dovish into geopolitical uncertainty. Terminal repriced −4.5bp on the week as markets priced a wider war and a Fed hold-steady bias. July sits at +3.5bp cumulative above EFFR; August steps to +9.5bp and September to +17.0bp, building out roughly 25bp of cumulative easing priced through year-end. The 2s10s curve added 3bp on the week to 41bp, a steeper long end into duration bid as geopolitical risk is priced as duration tail hedge.

If the curve breaks 50bp decisively steeper, we would read it as panic into recession fears; until then, we hold the read as a rational repricing of Fed guidance into headlines. The 10Y +2.0bp today into VIX rip confirms bond markets treating this as vol spike rather than growth shock. We would not act on curve steepness alone because the economic data has not moved; only actual jobless claims or CPI misses flip this stance.

Bottom Line

Energy momentum extends crude into fifth-percentile crowding; we watch for positioning flush into Tuesday.
Tech shorts fade rallies but not into panic; Nasdaq oversold until VIX9D mean reverts decisively.
Oil hedges equities again after month-long break; duration bid holds until spreads breach 92bp.
Silver tightens conviction at 88/100; wheat short firms at 85/100 into supply unwind through the week.
Dollar holds 100.75 neutral into risk repricing; we wait until Iran escalation settles into actual commodity regime.

The Week Ahead

Tuesday: Canadian Inflation (Jun) · print above consensus tightens BoC hold conviction; below keeps easing door open into geopolitical backstop.
Wednesday: New Zealand Inflation (Q2) · print above 3.0% target tightens RBNZ expectations; below keeps CRB weakness running into commodity unwind thesis.

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 AAPL). Percentile ranks unlock at 60 archived sessions per name · currently 4/60 · 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 · Semiconductors LONG · Russell 2000 LONG · S&P 500 LONG · Bitcoin SHORT · Ethereum SHORT · +9 more
E2 · FX carry · signal only when the policy differential is 1%+ wide: NZD/USD LONG (+129.10%) · AUD/JPY LONG (+86.91%) · AUD/USD LONG (+84.16%) · USD/CAD SHORT (-84.16%) · USD/CHF SHORT (-84.16%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum) · slope 37bp, -17bp over 63 sessions → FLATTENER · short 2Y (ZT) / long 10Y (ZN), roughly 2: 1 DV01
E4 · Variance risk premium · POSITIVE, harvest is on (long SPX) · 83th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.99tn, +33bn over 13 weeks → rising, supportive for NDX/SPX

Disclaimer

The Dollar's Structural Break

Alfie Kerswell — Mon, 13 Jul 2026 13:56:56 GMT

So we’re moving even closer to the release date of the FREE Market Macro Hub console, which will be allow you guys to also add your own models to it. Please see this report below for instructions on how to recieve it on July 17th.

Now below is a full video recording on exactly why I think the dollar is heading lower within the next few months, and builds on ideas I laid out in my previous report:

Recording:

Synthesis of the recording:

Mmh Synthesis

30KB ∙ PDF file

Slide deck from the recording:

Mmh Slide Deck

1.29MB ∙ PDF file

Thanks

Alfie

Why The Dollar Will Soon Be The Greatest Assymetric Position

Alfie Kerswell — Mon, 06 Jul 2026 13:54:13 GMT

Before we get into the report, I want to remind you guys of the FREE console giveaway on July 17th. To access the console, please see the beginning of this report below for steps.

Now I’m not in this position yet, but this is one I am looking to get into in the coming weeks if cross-asset confirmations and data support it.

Being short the dollar, let’s get into that.

Firstly, I want to mark the report from February when I was long the dollar, which was broadly driven by the forward curve, equity rotation and bond vol. The reason I’m marking this report is because these are three signals that could create the top in the dollar, just the opposite way this time.

Cross-asset vol & the forward curve

Firstly, I want to reiterate my point from the previous two reports that the dollar is NOT bidding because of any risk-off fear (neither driven by inflation or growth). Cross-asset vol is contained and if the dollar was driven by the previous months’ spike in implied vol, then the dollar would’ve unwound as these cross-asset vol levels normalised, which it didn’t.

The dollar trading higher is simply a function of the forward curve itself, which I believe has reached an extreme. I laid out in the report below that I see 50bp of hikes as an extreme and struggle to see a scenario where the Fed hikes twice, pauses for a small period of time, then begins cutting, particularly given that growth isn’t strong enough to give any type of massive tail-risk to inflation. The only need for a hike has come since the energy shock, which has now faded, and everyone is focused on how much will feed into core CPI, which I believe will be little.

The Fed control the demand side of the economy, not the supply side. The supply side has done all the work right now, dragged rate expectations higher after oil rose 70%+. Now oil has fallen 42% and rate expectations have repriced to the same degree, which makes sense because oil’s beta to rate expectations will always be higher on the way up than on the way down, simply due to the tail risks after inflation has hit headline, e.g. how much will flow into core.

Like I always say, if you have a thesis on markets, it needs to be expressed in the asset pricing, otherwise you’re either wrong or mistimed, or both.

Cross-asset vol is low. Cross-asset returns and correlations are clearly showing that there is minimal risk in the system, both growth and inflation, and therefore you cannot attribute the stronger dollar to that. The reason this attribution matters so much is because the thing currently driving the dollar needs to be the thing I focus on to unwind it, which is why I’m focused so heavily on the forward curve.

Credit spreads at cycle lows and the Russell outperforming the S&P 500 tells us exactly what is driving the dollar.

I already think that the inflation risk is declining. Long-end inflation swaps reflect that and ultimately the collapse in oil shows it isn't long lasting. But the evidence is that the Fed are already ahead of the curve, which is why we're seeing bear flattening across the board as the short end reprices more aggressively than the long end. It's basically the market saying that its views on growth and inflation haven't changed and the Fed are being too restrictive given that backdrop.

This is the current forward curve for the US.

The terminal rate has floated around the H7 contract for a while and in my recent report I discussed how I believe there is the most asymmetry in that contract if you are trading the SOFR strip directly. If we reprice even marginally, the dollar will have to reprice given that these differentials are the driver of price. In fact I believe the beta to rate expectations will be very high. If we begin to only price in 1 hike (base case), or even 0 hikes, the dollar will sell off meaningfully as differentials need to reprice, especially if the ECB remain hawkish, which is likely given their tailwind and the current level of rates and inflation tail-risk.

Fiscal policy

Now the fiscal side.

And this is the part of the story that I think is being massively underpriced by the market right now.

The structural argument for a weaker dollar doesn’t begin and end with rate differentials. If the US wants to compete with China on a global basis for exports, as the administration has made clear, they structurally need a weaker dollar.

You simply cannot reshore manufacturing at scale with DXY at these levels. The math doesn’t work. A strong dollar is a tax on every US export, it makes foreign-produced goods cheaper relative to domestically-produced ones, and it directly undermines the entire policy objective of rebuilding the US industrial base.

This isn’t just a political talking point either, it’s been a bipartisan structural problem for decades. The US has run persistent current account deficits precisely because the dollar’s reserve status creates excess demand for the currency, artificially inflating its value beyond what trade fundamentals would justify.

This is what economists refer to as the “exorbitant burden” of reserve currency status. The SAME privilege that gives the US cheap financing also prices its exporters out of global markets.

Now layer on top of that the current fiscal trajectory. The US is running deficits in excess of 6% of GDP in a non-recessionary environment. That is extraordinary by ANY historical standard. The traditional mechanism by which large fiscal deficits support a currency is through the rate channel, the government borrows heavily, rates rise, and foreign capital flows in to capture the yield differential. But that transmission is breaking down. The market is increasingly pricing the risk that the US is on an unsustainable fiscal path, which means the incremental dollar of Treasury issuance is being met with less and less foreign demand at the margin.

We’re already seeing early signs of this. Foreign central bank accumulation of US Treasuries has structurally slowed. The Fed’s own reverse repo facility saw massive drawdowns as domestic money market funds absorbed the supply that foreign buyers are no longer taking as aggressively. If foreign demand for Treasuries softens further, the dollar loses one of its key structural support mechanisms, not because rates fall, but because the safe-haven premium embedded in the currency begins to erode.

Then there is the tariff dimension. The administration’s tariff policy is explicitly designed to reduce the trade deficit, but here is the tension: a large portion of the trade deficit is a mirror image of the capital account surplus. Foreign nations run trade surpluses with the US partly because they are recycling those dollars back into US assets, Treasuries, equities, real estate. If tariffs succeed in compressing the trade deficit, by definition the capital account surplus compresses too, meaning less foreign demand for dollar-denominated assets. That is structurally bearish for the dollar over the medium term, regardless of the short-term inflationary impulse tariffs create.

And the short-term inflationary impulse is itself a problem for the dollar in a way that isn’t immediately obvious. If tariffs push inflation higher but growth weaker simultaneously, the Fed is boxed in. They CAN’T hike to defend the currency without accelerating a slowdown, and they CAN’T cut to support growth without risking an inflation re-acceleration. That stagflationary trap is the worst possible environment for the dollar because it REMOVES the Fed’s ability to credibly defend it through the rate channel, which as I’ve laid out is the primary driver of dollar strength right now.

So when I put all of this together, the rate differential argument for a strong dollar is fading as the forward curve reprices. The structural fiscal argument points to a dollar that is being propped up by a premium that is slowly being questioned. And the policy mix, tariffs combined with reshoring ambitions combined with a Treasury that has every incentive to see a weaker dollar, all point in the same direction. The forward curve is the trigger, but the fiscal backdrop is what makes this a structural move rather than just a tactical one.

Thanks

Alfie

Growth Holds, Inflation Fades

Alfie Kerswell — Fri, 03 Jul 2026 13:45:15 GMT

Hey everyone!

I’ve been mentioning the Market Macro Hub console that I will be giving out completely for FREE. Many of you are excited, as am I.

I have built my own personal dashbaord which is now being used by a compnay in London, which you guys will likely be able to rent out/subscribe to at a later date, but for now we have the MMH console.

The release date for this will be July 17th (14 days from today).

There are the simple steps to accessing this:

Subscribe to Market Macro Hub
Restack & like this article
Retweet this post from my X account:
On July 17th (not before), message me with proof of the above

I’m excited for you all to be able to use it, you will be able to add all of your own models because you will have FULL access to the file.

Now onto today’s release…

Below is a recording of exactly why I think inflation risk is greater than growth risk BUT inflation risk is also declining rapidly in my view. This is a very different setup to 2022, the comparisons don’t hold up well here.

Synthesis of the recording:

Mmh Synthesis

37.9KB ∙ PDF file

Slide deck from the recording:

Mmh Slide Deck

1.38MB ∙ PDF file

Thanks

Alfie

Low Growth Risk, Weakening Inflation Risk

Alfie Kerswell — Thu, 02 Jul 2026 12:18:31 GMT

Credit Markets Confirm Low Growth Risk

I have laid out for a while how I believe growth risk is EXTREMELY low and the credit market is confirming it (and has been for a while). HY and IG spreads are at cycle lows, which tells you credit isn’t sniffing any growth deterioration. Breakevens have started drifting lower too, with the 10Y BE down 11bps and the 5Y down 30bps over the trailing period (even after the oil shock). That combination of compressed spreads and falling inflation compensation is EXACTLY what you want to see in a Goldilocks read… the bond market is agreeing that the growth/inflation mix is improving.

Inflation risk remains larger than growth risk, but neither are a concern and inflation risk IS declining in my view.

Labour Market: The Bear Case That Never Arrived

The labour market has been the consensus bear case for two years and it hasn’t delivered. Payrolls have normalised well off the post-covid surge but the underlying pace has been remarkably stable. The 5-year picture shows a jobs market that decelerated in an orderly way rather than rolling over, and the 2-year detail shows that even through the tariff shock of early 2026, the dip was sharp but brief. Claims are still historically low, openings remain above 7.5 million, and layoffs are actually trending DOWN. Wages are firm but not accelerating. This is a mid-cycle labour market, not one that’s cracking.

This all reinforces my view on growth.

Growth risk is low precisely because the labour channel is holding. Consumer spending runs through employment and wage income, and both remain intact. I’d need to see claims pushing well above 250k and sustained negative payrolls prints before the growth picture genuinely deteriorates in my view.

Inflation: Where the Real Asymmetry Lives

The inflation picture is where the asymmetry lives (and I’ve laid this out in the Substack chat). After a clean disinflation window through 2024, price pressures have re-accelerated across every major measure. CPI, core PCE, trimmed mean PCE are all running well above the Fed’s target and the 2-year trend is moving in the wrong direction. The tariff impulse (old news…) has fed through into goods prices, services have stayed sticky throughout, and the re-acceleration has happened even WITHOUT a demand boom driving it. That’s the uncomfortable part because this is a cost-push dynamic that’s harder for the Fed to address without breaking something.

The long-run chart gives you the historical context. Every sustained inflation episode above 3% has needed either a policy response serious enough to cause demand destruction, or an exogenous price shock to reverse it. We came off the sharpest tightening cycle since Volcker, got a disinflation window, and are now re-accelerating. The Fed is stuck: growth is fine enough that cuts aren’t justified, but inflation is high enough that further hikes would be a political and economic problem. Rates stay higher for longer (and that’s the dominant macro constraint on the cycle right now).

Oil as the Relief Valve

The one genuine relief valve on the inflation side is oil. Crude has fallen over 43% from the Iran war peak and is sitting just below $68, with the yield curve regime shifting toward bull flattener territory as the market starts pricing the Fed ahead of the curve. As oil continues to deflate, it mechanically pulls headline CPI lower and gives the Fed breathing room without requiring any policy action (unless growth crashes fast).

The important nuance is that this relief is coming from the supply side, not demand destruction. Energy deflation with a stable labour market and intact consumer is a clean disinflationary impulse, and it’s the main reason the inflation risk, while still elevated, is gradually becoming more manageable rather than less.

The Forward CPI Path

The forward CPI path reflects exactly this dynamic. The base case trajectory shows headline CPI continuing to drift lower through the second half of 2026 as energy base effects kick in and the war premium fades. The 3-period pace is already decelerating. The risk is that services and shelter keep the floor elevated, which is why the forecast range is wide and skewed to the upside. Inflation coming down is the base case, inflation returning to 2% quickly is not.

Rates Market Pricing and the H7 Trade

Now when we look at the US forward curve, I think it’s highly unlikely that two hikes are delivered given my explanation above. I see most assymetry in trading the H7 contract because if the market repices this forward curve (which is my view), then I believe that contract will shift most as the terminal rate has been floating aorund that contract for a while.

The rates market is pricing the Fed to hike once more before cutting, with a terminal around 4.075% by May 2027 and then 60bps of cuts in the 12 months following. That's a meaningful repricing from where the market was at the start of the year when cuts were expected imminently. The message from futures is that the Fed is on hold, inflation has to show sustained progress before easing begins, and the first cut is well over a year away. That's consistent with everything the data is showing: a resilient economy, sticky services inflation, and an energy complex that's helping at the margin but not enough to unlock policy. The bar for cuts is high, and the market has finally accepted that

Asset Class Outlook: Equities, Rates, and Dollar

Equities remain tilted to the upsise in this environment, in my view. Compressed credit spreads, a stable labour market and falling energy prices is about as clean a backdrop as you get for risk assets, and the S&P 500 structure reflects that. The inflation risk is real but it’s a slow burn, not an acute earnings threat, and the market is correctly treating it as such.

On rates, the 2Y looks capped from here. The Fed is on hold, the terminal is priced at 4.075% and the market has largely accepted that cuts are a 2027 story. There’s not much juice in fading the front end. The 10Y is more interesting: if oil continues deflating and headline CPI rolls over through H2, real yields stay elevated but nominal yields have room to drift lower, which makes duration selectively attractive as a hedge rather than a core position. On the dollar, the stagflation fear trade that drove USD bids earlier in the year is unwinding alongside the oil premium.

Growth holding and inflation easing is not a strong dollar environment because it removes the rates divergence argument. USD likely grinds softer from here, particularly against currencies where central banks have more room to stay restrictive

Thanks

Alfie

Markets Have Decided the Rules Don't Apply Anymore

Alfie Kerswell — Wed, 24 Jun 2026 09:48:39 GMT

Below is a comprehensive breakdown of why equities continue to trade higher even as the dollar strengthens and both ends of the rates curve push up. Honestly, this is one of those macro setups where the cross-asset signals seem to be telling completely different stories, and the divergence is worth pulling apart properly.

I'd strongly recommend going back and reading the recent report connected to these ideas, as they all build on each other. The frameworks and themes carry across pieces, so the fuller picture only really comes together when you read them in sequence.

Slide deck from the video:

Slidedeck

200KB ∙ PDF file

Synthesis of my ideas from the video:

Synthesis

24.8KB ∙ PDF file