Market Macro Hub: Systematic Reports

Systematic Macro Models: PCE Day (30/09/26)

Alfie Kerswell — Wed, 30 Sep 2026 14:20:22 GMT

TL;DR

Long the hike story, December is fully priced and no cut sits on the strip; today's core PCE at 0.3% consensus is the test.
Three-plus hikes still look stretched to me, my tell is 2s10s at 32bp; bear flattening flips it.
Rate vol is the live tail, MOVE at 106.61 has not leaked into equity vol.
Credit is my anchor, IG at 83bp is mid-range and calm; invalidation stays 90bp.
The bond rout is the risk equities keep shrugging off, 10Y +28bp on the week.

Where We Stand

Yesterday I said long the hike story, December is the first fully-priced move and no cut sits anywhere on the strip. This morning's tape confirms it. The strip still has December at essentially 100% and the terminal added +19bp on the week, so the front end keeps grinding my way.

The oldest open thesis is the rate vol tail from five days ago, and it is more alive today. MOVE is up to 106.61 while VIX sits at 16.03, so the anxiety lives in rates and not in equities. My "three hikes are stretched" thesis stays intact for now because 2s10s held at 32bp rather than bear flattening, but the curve gave back 4bp on the day and that is the tell I'm watching. The GBP positioning flag is still live after another washed-out week.

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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 · regime classifier, growth x inflation quadrant, curve regimes, cross-asset drivers, crisis phase, model state card, breadth, credit, vol term structure, liquidity, stock-bond correlation, housing
Fixed Income · UST complex, term premia, rate risk, auctions, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, daily attribution, relatives, vol suite, vol cone, gamma, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, carry, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260930

16MB ∙ PDF file

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Tearsheet Fixedincome 20260930

9.7MB ∙ PDF file

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Tearsheet Equities 20260930

14.2MB ∙ PDF file

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Tearsheet FX 20260930

11.5MB ∙ PDF file

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Tearsheet Commodities 20260930

12.9MB ∙ PDF file

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Tearsheet Crypto 20260930

4.55MB ∙ PDF file

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Machine-readable pack (CSV + JSON): https://drive.google.com/drive/folders/1K-0kndwdgnDttITaQyfNgyO0Qh6Zd1sl

What Changed

What the Tape Is Arguing About

Geopolitical risk premium: data does not agree (Crude Oil (WTI) -3.5% on the week, 0.6 standard deviations).
Oil shock: data does not agree (Crude Oil (WTI) -3.5% on the week, 0.6 standard deviations).
AI trade leadership: data does not agree (Nasdaq 100 -0.1% relative on the week).
Tariffs, trade war: no tracked series.
Fed hikes, higher for longer: no tracked series.

Asset Market Pricing

Sector Attribution

Session 2026-09-29. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 43% of it.

Attribution

The S&P 500 closed -0.17% on 29-Sep-2026 and the largest driver was credit (HYG) at -0.45pp; over the five sessions to that close the index summed to -1.21% with credit (HYG) the largest driver at -2.48pp.

Regime State · Momentum vs Mean Reversion

Model State

20 model states flipped inside the last five sessions: SPY 30d ATM IV to RICH vs RV +3.5, SBC regime · SPX signal (σ) to R5 INFLATION, Bitcoin to UP-CALM, WTI (CL1) to DOWN-HOT and more.

Measured Books · E1 to E5

E1 since entry: 15 live rows, 13 positive, average +25.3%, median +1.41 vol-adjusted.

E2 since entry: 9 live rows, 9 positive, average +18.5%, median +1.10 vol-adjusted.

E3 since entry: LONG US 2s10s from 2026-09-28, 0bp over 0 sessions.

E4 since entry: LONG S&P 500 from 2026-07-08, +2.5% over 58 sessions (+0.48 vol-adjusted).

E5 since entry: 2 live rows, 0 positive, average 0.0%.

Entry Checklist

Sector Snapshot & Breadth

Stock-Bond Correlation

S&P 500 vs TLT, daily returns: 30-day 0.49, 90-day 0.40, positive, so bonds are not hedging equity risk.

Scenarios for the Week

Expected moves are conditional means from 2-year betas to the anchor times a 1-standard-deviation event-day shock, not forecasts.

Release Playbook

Main Developments in Macro

FED'S BARR SAYS FURTHER POLICY ADJUSTMENTS LIKELY NEEDED, INFLATION RISKS HAVE INCREASED, LABOUR RISKS REDUCED
FED'S WILLIAMS SEES NO NEED FOR URGENCY AFTER SEPTEMBER HIKE, MOMENTUM STRONG AND MAY BE STRENGTHENING
FED'S GOOLSBEE WARNS AI PRODUCTIVITY EXPECTATIONS CREATE HIGH DANGER OF OVERHEATING NOW
US PCE, CORE PCE AND GDP FINAL ALL DUE TODAY; ATLANTA FED GDP ALSO ON DECK
CHINA OFFICIAL MANUFACTURING PMI MATCHES AT 50.1, NON-MANUFACTURING BEATS AT 50.2
OIL SOFTER ON US/IRAN RHETORIC, TRUMP BACKING RUSSIA SANCTIONS RELIEF, DOE OFFERS UP TO 40MLN SPR BARRELS
PBOC CUTS PLEDGED SUPPLEMENTARY LENDING RATE 25BP TO 1.50%

The recent prints lean soft on demand, firm on housing. CB Consumer Confidence came in at 81.9 against 89.2 expected and JOLTs openings at 7.079 against 7.23, both misses, yet Case-Shiller home prices ran 2.5% against 2.2%. That mix keeps the Fed's inflation worry intact while growth cools at the edges, which is exactly why today's core PCE at 0.3% consensus matters so much.

Cross-Asset Read

Nothing led the tape yesterday. Utilities and Communication Services carried the only meaningful positive contributions, roughly +0.03pp and +0.02pp, while financials dragged at -0.04pp. The sector split explained less than half the -0.17% index move, so I read the day as noise around a flat close.

The real action is in rates. US 10Y added +7bp on the day and +28bp on the week, and the long UST ETF had its worst week in the sample. That bond rout is the story equities are ignoring.

One correlation shift matters for hedges. SPX versus Bitcoin flipped to +0.48 from near zero, so crypto no longer diversifies the equity book. Credit gives me no alarm, IG at 83bp sits mid-range against its 89bp mean and HY at 302bp says the same.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so this is entirely a tightening conversation. December is the first fully-priced hike at roughly 100% odds. Cumulatively the strip builds +27bp by December and peaks at 4.84% in December 2027, +96.5bp over an EFFR of 3.88%.

The terminal repriced +19bp this week, and Barr's line that inflation risks have risen while labour risks have fallen is the fuel. What changes my mind on the stretched-hikes call is bear flattening in 2s10s from here; the curve slipping to 32bp is the early warning.

The Week Ahead

Wednesday: Core PCE MoM, the print that decides how hard December sits; a hot number hardens my hike lean.
Wednesday: GDP Growth Rate QoQ Final at 1.5% consensus, watch for confirmation that growth is cooling under the tightening.
Wednesday: ADP Employment Change at 70 consensus, a labour read that feeds Barr's "risks reduced" case.
Wednesday: Personal Income and Spending, spending at 0.8% consensus tells me whether demand is still funding the inflation worry.
Thursday: Initial Jobless Claims, still my cleanest weekly labour tell into the December path.

Tradeable Levels

Pivots off the last completed session (2026-09-29). Levels marked * sit within 0.6 x ATR14 of the close.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (AMZN and GOOGL richest today); negative = vol going cheap (META and SLV). Percentiles are each name's own archive history.

Positioning

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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 Duration Selloff (29/09/26)

Alfie Kerswell — Tue, 29 Sep 2026 13:43:11 GMT

TL;DR

Long the hike story, November at 72% is the first half-priced move and no cut sits on the strip.
Short three fully-priced hikes as stretched, my tell is 2s10s steepening to 31bp; bear flattening changes that.
Oil is the engine, WTI +1.8% on the Hormuz standoff is dragging the whole terminal higher.
Credit is my anchor, IG at 81bp signals no stress, invalidation stays 90bp.
Rate vol tail stays live, MOVE at 101.8 hasn't leaked into a contained VIX at 16.1.

Where We Stand

Yesterday I said I'm long the hike story, November at 72% is the first half-priced move and no cut sits anywhere on the strip. This morning's tape confirms it: the front end is bid and the terminal keeps grinding higher. The oldest live view, IG credit staying bid below its 90bp mean, is INTACT, spreads sit at 81bp this morning and my invalidation at 90 is nowhere near. But my newest thesis is the one under pressure. I said three more hikes look stretched with 2s10s steepening, and the curve did steepen another +5bp to 31bp, so the read holds, the long end is repricing growth and inflation faster than it is doubting the short-end path. The GBP washout flag and the gold weekly move flag are both still live.

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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 · regime classifier, growth x inflation quadrant, curve regimes, cross-asset drivers, crisis phase, model state card, breadth, credit, vol term structure, liquidity, stock-bond correlation, housing
Fixed Income · UST complex, term premia, rate risk, auctions, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, daily attribution, relatives, vol suite, vol cone, gamma, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, carry, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260929

16MB ∙ PDF file

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Tearsheet Equities 20260929

14.1MB ∙ PDF file

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Tearsheet FX 20260929

11.6MB ∙ PDF file

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Tearsheet Commodities 20260929

12.9MB ∙ PDF file

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Tearsheet Crypto 20260929

4.56MB ∙ PDF file

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Machine-readable pack (CSV + JSON): https://drive.google.com/drive/folders/1fSemQdPNqjy9fbUrGbCE-HJZOvJXc4X1

What Changed

What the Tape Is Arguing About

Geopolitical risk premium: data does not agree (Crude Oil (WTI) -2.5% on the week, 0.5 standard deviations).
Oil shock: data does not agree (Crude Oil (WTI) -2.5% on the week, 0.5 standard deviations).
AI trade leadership: data agrees (Nasdaq 100 +2.6% relative on the week).
Tariffs, trade war: no tracked series.
Fed hikes, higher for longer: no tracked series.

Asset Market Pricing

Sector Attribution

Session 2026-09-28. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 94% of it.

Attribution

The S&P 500 closed -0.77% on 28-Sep-2026 and the largest driver was credit (HYG) at -0.58pp; over the five sessions to that close the index summed to -1.04% with credit (HYG) the largest driver at -2.04pp.

Regime State · Momentum vs Mean Reversion

Model State

10 model states flipped inside the last five sessions: SPY 30d ATM IV to RICH vs RV +3.8, SPY put/call OI (2 monthlies) to DEALERS SHORT GAMMA · flip 690, Silver to DOWNTREND, IG OAS to UPTREND and more.

Measured Books · E1 to E5

E1 since entry: 15 live rows, 13 positive, average +25.6%, median +1.56 vol-adjusted.

E2 since entry: 9 live rows, 8 positive, average +18.7%, median +0.98 vol-adjusted.

E3 since entry: SHORT US 2s10s from 2026-09-10, +8bp over 10 sessions (+0.85 vol-adjusted).

E4 since entry: LONG S&P 500 from 2026-07-08, +3.0% over 55 sessions (+0.57 vol-adjusted).

E5 since entry: 2 live rows, 2 positive, average +1.8%, median +1.11 vol-adjusted.

Entry Checklist

Sector Snapshot & Breadth

Scenarios for the Week

Expected moves are conditional means from 2-year betas to the anchor times a 1-standard-deviation event-day shock, not forecasts.

Release Playbook

Main Developments in Macro

WTI +1.8%, BRENT +2% AS IRAN HORMUZ STANDOFF DRAGS ON, CONFLICTING NUCLEAR HEADLINES
IRAN FM ARAGHCHI: HORMUZ REOPENING CONTINGENT ON CONDITIONS; US SOURCE SAYS CHANCE OF DEAL "EXTREMELY SLIM"
TRUMP: WILL WIN IRAN WAR SOON, GAS PRICES TO COME DOWN, INFLATION ERADICATED AFTER WAR
FED'S COOK (VOTER): EXPECTS CONTINUED INFLATION PRESSURE FROM AI AND MIDDLE EAST, LABOUR MARKET CAN HANDLE RATE INCREASE
RBA HIKED AS EXPECTED, STUCK TO HAWKISH SCRIPT; NIKKEI -1.4% LEADS APAC LOWER
US IMPORT BAN ON RANGE OF CANADIAN PRODUCTS TOOK EFFECT AT MIDNIGHT
HASSETT: PRODUCTIVITY GROWTH AROUND 2.5%, GDP BASE CASE NEAR 4%

The data underneath is not soft. New Home Sales beat at 0.684 and jumped 6.4% on the month, and jobless claims printed 197 against 201 expected, so the labour and housing prints refuse to crack. Durable goods ex-transport missed at 0.3% against 0.6%, but the headline beat, so I read the growth backdrop as firm enough to carry the hikes the strip is pricing.

Cross-Asset Read

The selling on the tape was led by tech and discretionary, XLK cost the index -0.28pp and XLY another -0.16pp, with defensives, health care and staples the only green. That reads as a rate-sensitivity story given the yield move.

The correlation flagged BIG SHIFT is SPX versus Bitcoin, up to 0.45 from 0.09. Bitcoin is trading like a risk asset again, so it no longer diversifies an equity book the way it did a month ago. Gold versus the 10-year also flipped harder negative at -0.44, so higher yields are now actively pressuring gold, which fits the -5.23% weekly move flag still live.

Credit stays quiet. IG sits at 81bp, the middle of its own range and well inside the 89bp mean, so credit is not the marginal story today and my anchor holds. HY at 280bp sits at the tight end, risk appetite at the low-quality end is intact.

Rates & Fed Pricing

No cut is anywhere on this strip, so the whole conversation is about hikes. November is the first month with a hike at least half-priced at around 72%, and December is effectively locked at close to 100% with an implied 4.2%. The strip peaks in September 2027 at 4.85%, +97bp over the current EFFR, and the trough is now, +1bp. The terminal repriced +8.5bp on the day and +28bp on the week, driven by the Iran oil bid and Cook's inflation-pressure line.

That is why I stay short the three-hikes-fully-priced story. My tell is 2s10s. It steepened to 31bp, which tells me the long end thinks the short-end path is too aggressive. If the curve starts bear flattening as equities sell, I'd take that as the market believing the hikes, and I'd change my read.

The Week Ahead

Tuesday, JOLTs job openings (cons 7.24). A soft print is the cleanest way to start doubting the hike path; a firm one hardens my read.
Tuesday, CB Consumer Confidence (cons 90) and Case-Shiller, second-order for me unless confidence rolls over.
Tuesday, Goolsbee, Musalem and Williams all speak; I want to hear whether Cook's inflation line is the committee consensus.
Wednesday, ADP employment (cons 72). This matters, a big beat feeds the front-end bid directly.
Wednesday, Goods Trade Balance and mortgage rates, watching mortgages at 7.12% for housing durability.

Tradeable Levels

Pivots off the last completed session (2026-09-24 / 2026-09-25 / 2026-09-28). Levels marked * sit within 0.6 x ATR14 of the close.

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 USO richest today); negative = vol going cheap (NVDA and SLV). Percentiles are each name's own archive history.

Positioning

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Disclaimer

Systematic Macro Models: The Curve Steepening (28/09/26)

Alfie Kerswell — Mon, 28 Sep 2026 21:00:06 GMT

TL;DR

Long the hike story: November at 72% is the first half-priced move and no cut sits on the strip.
Oil is the driver, WTI +1.8% on the Hormuz rejection is repricing the whole front-end higher.
Three hikes still look stretched, my tell is 2s10s at 31bp steepening another +5bp.
Rate vol tail stays live, MOVE at 104.6 hasn't leaked into a VIX at 15.6 yet.
Credit is my anchor, IG at 79bp signals no stress and invalidation stays 90bp.

Where We Stand

Yesterday I said I'm long the hike story, three hikes fully priced with November the first half-priced move and no cut anywhere on the strip. This morning's tape reaffirms every leg of that. My oldest running view, opened four days ago, that the Fed hikes further, stays intact with November at 72% and the strip peak now up at 4.85%. My three-hikes thesis I keep alive on the tell I named yesterday: 2s10s at 31bp steepened another +5bp overnight, so the strip still looks stretched relative to the realisable path. The MOVE flag is still live at 104.6 and hasn't bled into a VIX sitting at 15.6. I'm not changing my read on anything, and I'm not adding into a strip that already prices what I want.

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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 · regime classifier, growth x inflation quadrant, curve regimes, cross-asset drivers, crisis phase, model state card, breadth, credit, vol term structure, liquidity, stock-bond correlation, housing
Fixed Income · UST complex, term premia, rate risk, auctions, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, daily attribution, relatives, vol suite, vol cone, gamma, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, carry, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260928

16MB ∙ PDF file

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Tearsheet Fixedincome 20260928

9.74MB ∙ PDF file

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Tearsheet Equities 20260928

14.1MB ∙ PDF file

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Tearsheet FX 20260928

11.6MB ∙ PDF file

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Tearsheet Commodities 20260928

12.9MB ∙ PDF file

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Tearsheet Crypto 20260928

4.55MB ∙ PDF file

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Machine-readable pack (CSV + JSON): https://drive.google.com/drive/folders/1iyfaHIdp-H3R2viTi71S1TPSAGVwUth9

What Changed

What the Tape Is Arguing About

Geopolitical risk premium: data does not agree (Crude Oil (WTI) -2.5% on the week, 0.5 standard deviations).
Oil shock: data does not agree (Crude Oil (WTI) -2.5% on the week, 0.5 standard deviations).
AI trade leadership: data agrees (Nasdaq 100 +2.6% relative on the week).
Tariffs, trade war: no tracked series.
Fed hikes, higher for longer: no tracked series.

Asset Market Pricing

Sector Attribution

Session 2026-09-24. Sectors plus the unexplained remainder sum to the index move.

Attribution

The S&P 500 closed -0.02% on 24-Sep-2026 and the largest driver was rates (10Y) at +0.20pp; over the five sessions to that close the index summed to +0.88% with the idiosyncratic remainder the largest driver at +1.49pp.

Regime State · Momentum vs Mean Reversion

Model State

9 model states flipped inside the last five sessions: SPY put/call OI (2 monthlies) to DEALERS SHORT GAMMA · flip 690, SPY 30d ATM IV to RICH vs RV +3.6, Silver to DOWNTREND, Wheat to MIXED and more.

Measured Books · E1 to E5

E1 since entry: 15 live rows, 13 positive, average +25.6%, median +1.56 vol-adjusted.

E2 since entry: 9 live rows, 8 positive, average +18.7%, median +0.98 vol-adjusted.

E3 since entry: SHORT US 2s10s from 2026-09-10, +8bp over 10 sessions (+0.85 vol-adjusted).

E4 since entry: LONG S&P 500 from 2026-07-08, +3.0% over 55 sessions (+0.57 vol-adjusted).

E5 since entry: 2 live rows, 2 positive, average +1.8%, median +1.11 vol-adjusted.

Entry Checklist

Sector Snapshot & Breadth

Scenarios for the Week

Expected moves are conditional means from 2-year betas to the anchor times a 1-standard-deviation event-day shock, not forecasts.

Release Playbook

Main Developments in Macro

TRUMP REJECTS IRAN HORMUZ DEAL, EXPECTS TALKS TO RESUME THIS WEEK
WTI +1.8%, BRENT +1.7% AS HOUTHIS TARGET RIYADH, SAUDI FLIGHTS DISRUPTED
US 10YR YIELD 5.21% AS OIL STOKES INFLATION BETS AND FED HIKE PRICING
FED HAMMACK: POLICY MUST BE RESTRICTIVE, DOES NOT SEE CURRENT STANCE AS RESTRAINING ECONOMY
US-CHINA AGREE USD 30BLN RECIPROCAL TARIFF CUT, LAUNCH AI DIALOGUE
BESSENT URGES FED TO KEEP OPEN MIND, ARGUES AI AND DEREGULATION CURB INFLATION
SPOT GOLD -2.2%, SHANGHAI COMP -1.8% ON SLOWER INDUSTRIAL PROFITS

The data underneath is a soft-growth, sticky-price mix. Durable goods ex-transport came in at 0.3% against 0.6% consensus, but the Michigan final at 48.1 beat and claims at 197 undershot the 201 call. Dallas Fed slipped to 9.8 from 11.6. None of that argues for cuts, and with crude ripping the inflation side is doing the talking.

Cross-Asset Read

The tape that matters is rates and oil. I'm setting the equity split aside. On the prior session the sector contributions summed to -0.12pp against a -0.02% index, so the split explains none of the move and I won't read leadership into it.

The correlation shifts are where I'd focus a hedge. SPX versus 10Y yield tightened to -0.56 from -0.40, so a bond hedge on equities is working harder than a month ago as yields climb. The big one is gold versus 10Y at -0.44 now from -0.16, so gold is trading straight off the back-end, and with the 10Y +7bp that explains gold's soft morning. SPX versus Bitcoin jumped to 0.45 from 0.09, so crypto is no longer the diversifier it was.

Credit gives me nothing to worry about. IG at 79bp sits at the tight, carry end of its own range against a 89bp mean, and HY at 280bp says risk appetite at the low-quality end is intact.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so this is entirely a hike conversation. The first half-priced move is the November hike at 72%, and December is effectively locked at 100%. Cumulative tightening runs to +97bp at the 2027-09 peak of 4.85%, with the trough basically at spot. The terminal repriced +116bp on the week, and that is the whole story: oil rejecting a Hormuz de-escalation plus Hammack insisting policy isn't yet restrictive have driven the front-end. What changes my mind is the curve. With 2s10s steepening +5bp, the long-end is telling me the short-end path is too aggressive, and that keeps me fading the top of the strip.

The Week Ahead

Tuesday: JOLTs, CB Consumer Confidence and Case-Shiller. A soft JOLTs is the one that could challenge the no-cut strip.
Tuesday: Goolsbee, Musalem and Williams all speak, watch for whether they echo Hammack's restrictive line.
Wednesday: ADP at 72 consensus, the labour read that matters most for hike pricing this week.
Wednesday: GDP final at 1.5%, backward-looking, unlikely to move my read.
RBA hikes tomorrow as widely expected, relevant for the global hawkish backdrop but with little direct bearing on my book.

Tradeable Levels

Pivots off the last completed session (2026-09-24 / 2026-09-25). Levels marked * sit within 0.6 x ATR14 of the close.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and MSFT richest today); negative = vol going cheap (NVDA and SLV). Percentiles are each name's own archive history.

Positioning

The Measured Books · Monday Edges

E1 · Slow trend (12-1): live on equities and crypto only (measured noise elsewhere): US Energy LONG · Semiconductors LONG · FTSE 100 LONG · Nikkei 225 LONG · Russell 2000 LONG · S&P 500 LONG · +9 more
E2 · FX carry: signal only when the policy differential is 1%+ wide: USD/CHF LONG (+3.88%) · AUD/JPY LONG (+3.10%) · USD/JPY LONG (+2.63%) · GBP/JPY LONG (+2.48%) · USD/CAD LONG (+1.63%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum): slope 31bp, 0bp 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) · 51st percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP): $5.77tn, -42bn over 13 weeks → falling, a headwind

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Disclaimer

Systematic Macro Models: The Vol Spike (25/09/26)

Alfie Kerswell — Fri, 25 Sep 2026 13:53:52 GMT

TL;DR

Long the hike story into November at 70%, no cut sits anywhere on the strip.
Rate vol is the tail, MOVE up +28.4 on the week while VIX stays calm, watching for the bleed.
Credit anchors me, IG at 77bp flags no stress, invalidation 90bp.
SPX book gated at 76, narrow breadth keeps me off the tape either way.
2s10s at 25bp decides my Fed-path doubt, more steepening says the strip overshot.

Where We Stand

Yesterday I said rate vol was the tail and I was watching whether it bled into equity vol. This morning's tape backs that half up and undercuts the other half. MOVE jumped +9.1pts on the day and is up +28.4 on the week, yet VIX sits at the calm end of its range and dips keep getting bought. So the tail is fatter, but the contagion has NOT come. I'm keeping the SPX book gated at 76, narrow breadth still stops me chasing.

On my oldest live thesis, IG credit anchored since the 21st, nothing has changed. IG holds at 77bp, the tight end of its own range, credit is not corroborating any equity anxiety. Invalidation stays 90bp. The 2s10s steepening thesis is live too and this morning helps it.

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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 · regime classifier, growth x inflation quadrant, curve regimes, cross-asset drivers, crisis phase, model state card, breadth, credit, vol term structure, liquidity, stock-bond correlation, housing
Fixed Income · UST complex, term premia, rate risk, auctions, global curves, Fed/ECB/BoE/BoJ implied policy paths, global 2Y and 10Y panels
Equities · index pages, daily attribution, relatives, vol suite, vol cone, gamma, global relatives, Mag7+ quant sheet, options surfaces
FX · majors dashboards, carry, correlations, COT positioning, crosses
Commodities · energy, metals, agriculture, COT crowding, term structure
Crypto · BTC ladders, ETH, macro correlations, ETF flow proxy

Tearsheet Macroregime 20260925

16MB ∙ PDF file

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Tearsheet Fixedincome 20260925

9.77MB ∙ PDF file

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Tearsheet Equities 20260925

13.8MB ∙ PDF file

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Tearsheet FX 20260925

11.5MB ∙ PDF file

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Tearsheet Commodities 20260925

12.9MB ∙ PDF file

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Tearsheet Crypto 20260925

4.54MB ∙ PDF file

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What Changed

What the Tape Is Arguing About

Geopolitical risk premium: data does not agree (Crude Oil (WTI) -8.8% on the week, 1.6 standard deviations).
Oil shock: data does not agree (Crude Oil (WTI) -8.8% on the week, 1.6 standard deviations).
Fed hikes, higher for longer: no tracked series.
AI trade leadership: data agrees (Nasdaq 100 +4.4% relative on the week).
Tariffs, trade war: no tracked series.

Asset Market Pricing

Sector Attribution

Session 2026-09-24. Sectors plus the unexplained remainder sum to the index move.

Attribution

The S&P 500 closed -0.02% on 24-Sep-2026 and the largest driver was the idiosyncratic remainder at +0.20pp; over the five sessions to that close the index summed to +0.88% with the idiosyncratic remainder the largest driver at +1.73pp.

Regime State · Momentum vs Mean Reversion

Model State

4 model states flipped inside the last five sessions: SPY 30d ATM IV to RICH vs RV +3.3, SPX % > 50DMA to DOWNTREND, Gold to DOWNTREND, AUD-USD to MIXED.

Measured Books · E1 to E5

E1 since entry: 15 live rows, 12 positive, average +25.0%, median +1.51 vol-adjusted.

E2 since entry: 9 live rows, 8 positive, average +18.7%, median +1.04 vol-adjusted.

E3 since entry: SHORT US 2s10s from 2026-09-10, +14bp over 8 sessions (+1.68 vol-adjusted).

E4 since entry: LONG S&P 500 from 2026-07-08, +3.0% over 55 sessions (+0.57 vol-adjusted).

E5 since entry: 2 live rows, 2 positive, average +1.7%, median +1.27 vol-adjusted.

Entry Checklist

Sector Snapshot & Breadth

Stock-Bond Correlation

S&P 500 vs TLT, daily returns: 30-day 0.50, 90-day 0.41, positive, so bonds are not hedging equity risk.

Scenarios for the Week

Expected moves are conditional means from 2-year betas to the anchor times a 1-standard-deviation event-day shock, not forecasts.

Release Playbook

Main Developments in Macro

US 10YR YIELD RISES TO HIGHEST SINCE 2007 NEAR 5.2% AS BOND ROUT DEEPENS
MONEY MARKETS NOW FULLY PRICE THREE FED HIKES OVER THE NEXT YEAR
US, IRAN REPORTEDLY DISCUSSED PHASED DEAL TO REOPEN STRAIT OF HORMUZ (REUTERS)
WTI AND BRENT SLIDE AS HORMUZ HEADLINES EASE SUPPLY FEARS
NIKKEI ABOVE 66,000, JAPAN 30YR YIELD HIGHEST SINCE 1999 DEBUT
DXY PAUSES AFTER FOUR STRAIGHT DAYS OF GAINS
BANXICO HOLDS AT 6.5%, UNANIMOUS

The bond rout is the whole story. The 10yr push came on rising oil, a weak auction, an underwhelming buyback and hawkish Fed speak, with three hikes now fully priced. Against that, the data leans soft in patches. New Home Sales came in at 0.684, above the 0.62 consensus, but Industrial Production printed 0% against a 0.3% consensus. Growth looks steady, so the strip is pricing inflation defence more than boom.

Cross-Asset Read

The tape yesterday was flat and choppy. Communication Services led with a +0.12pp contribution while tech dragged at -0.10pp, a wash of an index day where the sector split explained none of the move.

Two correlation shifts matter. Gold versus DXY has moved to -0.71 from -0.45, so gold is tracking the dollar more tightly than it was, which weakens gold as a dollar hedge here. SPX versus Bitcoin has jumped to 0.45 from 0.09, so Bitcoin is no longer the diversifier it was last month.

Credit stays my anchor. IG at 77bp sits at the tight end of its range against a 89bp mean, and HY at 268bp is priced as if default risk had been abolished. No stress signal there.

Rates & Fed Pricing

No cut is anywhere on this strip, so the question is purely how far the hikes go. November is the first month with a hike at least half-priced, around 70% odds, and December carries a hike at near 100%. The strip peaks in December 2027 at 4.8%, +91.5bp cumulative over the current 3.88% effective.

The repricing this week is the real move. Terminal came +116bp on the week, driven by oil, the auction and hawkish speak. I said it before and I'll say it again, I can't see three hikes being realised. The 2s10s is my tell. It steepened +5bp on the day to 25bp, which is the long-end doubting the front-end has this right. Sustained steepening changes my mind that the strip has overshot.

The Week Ahead

Friday, Durable Goods Orders and the ex-transport read, a soft print would help my case the strip has overshot.
Friday, Michigan Consumer Sentiment Final, watching for confirmation the consumer is fading.
Friday, Fed Williams, Hammack and Schmid speak, the hawkish tone is what has driven terminal this week.
Monday, Dallas Fed Manufacturing, low stakes for my read.
Tuesday, Case-Shiller, CB Consumer Confidence and JOLTs, the labour print is the one that could move my hike view.

Tradeable Levels

Pivots off the last completed session (2026-09-24). Levels marked * sit within 0.6 x ATR14 of the close.

Gold, WTI Crude priced off a session whose range was under a third of normal travel, so those boards are 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 XLE richest today); negative = vol going cheap (NVDA and SLV). Percentiles are each name's own archive history.

Positioning

Positioning Book · Friday COT

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

Recommend

Disclaimer

Systematic Macro Models: Claims Day (24/09/26)

Alfie Kerswell — Thu, 24 Sep 2026 14:21:29 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 20260924

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Tearsheet Fixedincome 20260924

9.37MB ∙ PDF file

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Tearsheet Equities 20260924

14.6MB ∙ PDF file

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Tearsheet FX 20260924

9.15MB ∙ PDF file

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Tearsheet Commodities 20260924

11.7MB ∙ PDF file

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Tearsheet Crypto 20260924

5.86MB ∙ PDF file

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TL;DR

Long the hike story, November at around 70% is the first hike half-priced and no cut sits on the strip.
Rate vol is the tail, MOVE jumped +16.9pts on the day and I'm watching whether it bleeds into equity vol.
Credit is my anchor, IG at 77bp flags no stress, invalidation stays 90bp.
SPX book stays GATED at 76 conviction, narrow breadth keeps me from chasing the tape either way.
The 2s10s at 25bp decides my Fed-path doubt, steepening confirms the strip has overshot.

Where We Stand

Yesterday I stayed long the hike story, with November the first month half-priced and no cut anywhere on the strip. This morning's tape confirms it hard: the front-end sold off again, MOVE jumped +16.9pts on the day, and the terminal repriced another +17bp. My oldest open thesis, that investment grade credit stays bid below its 90bp mean, is INTACT, IG sits at 77bp and is not corroborating any equity anxiety. I'm keeping the hike read on and letting the 2s10s tell me when the long-end starts doubting the path. The Bitcoin correlation flag from yesterday is still live at 0.44, and it still dents my equity hedges.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-23. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 81% of it.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Main Developments in Macro

US STOCKS SOLD AS GLOBAL YIELDS SURGE, RUT THE CLEAR UNDERPERFORMER, ALL MAJORS RED
FED'S BARR SAYS FURTHER RATE HIKES LIKELY NEEDED FOR TIMELY RETURN TO 2% TARGET
WOEFUL 5-YEAR AUCTION AND HAWKISH FED SPEAK DRIVE UST YIELDS HIGHER ACROSS CURVE
WHITE HOUSE DENIES POLITICO REPORT OF 90-DAY US DIESEL EXPORT BAN
BESSENT SAYS US-CHINA TRADE TRUCE EXTENDED TO JANUARY 10TH, XI ARRIVES FOR STATE VISIT
FED'S GOOLSBEE WARNS OIL SUPPLY SHOCKS MAY HAVE PERSISTENT INFLATION EFFECT
NIKKEI 225 OUTPERFORMS ON TECH CATCH-UP AS JAPAN RETURNS FROM HOLIDAY

The growth read is the problem for anyone hoping the Fed backs off. Flash PMI data came in strong and inflationary, with Services at 58.7 and Manufacturing at 57, both well above consensus. That is not a backdrop that lets the front-end price cuts. It is exactly why the strip keeps grinding hawkish.

Cross-Asset Read

The damage on the day sat in the rate-sensitive corners. Consumer Discretionary took off -0.16pp and Tech -0.15pp, the two largest drags, while Energy was the lone real contributor at +0.03pp as crude held up. That is a yield story rather than a growth scare, and the small-cap underperformance fits it with the Russell down -1.77%.

The correlation that matters flipped: SPX versus Bitcoin is now 0.44 against 0.11 a month back, flagged as a BIG SHIFT. If crypto and equities move together, Bitcoin is no longer a clean diversifier for the equity book and my hedges lose bite there.

Credit refuses to play along. IG at 77bp sits at the tight end of its own range, well under the 89bp mean, and HY at 268bp is priced as if default risk has been abolished. No stress signal anywhere in credit.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so this is entirely about hikes. November is the first month with a 25bp hike at least half-priced at around 70% odds, and December is essentially locked at 100%. Cumulatively the strip carries +93bp to the 2028-01 peak at 4.81%, with the trough right at the front at 3.89%. The terminal repriced +124.5bp on the week, a big move driven by strong PMIs, hawkish Barr and Goolsbee, and a poor 5-year auction. I still don't think the full path gets realised, my thesis there sits with US 2Y now at 4.71%. The 2s10s steepened +5bp on the day to 25bp, and if that steepening continues it tells me the long-end doubts the short-end can deliver everything priced. That is what would keep me patient rather than chase the hike.

The Week Ahead

Thursday, Initial Jobless Claims (cons 201, prev 196). A soft print barely dents the hike story given the PMI strength, a jump matters more for how it hits the front-end.
Thursday, Fed Williams, Barkin, Hammack and Paulson all speak. This is the one that moves my read, more Barr-style hawkishness cements the November hike.
Thursday, New Home Sales (cons 0.62, prev 0.607). With mortgage rates at 7.12%, weak housing is expected and won't change my view.
Thursday, German Ifo and the SNB, Riksbank and Norges Bank decisions, context for the global bond rout.
Friday, UN General Assembly and Xi's state visit, watch the China trade headlines into the Thursday dinner.

Tradeable Levels

Pivots off the last completed session (2026-09-23). Levels marked * sit within 0.6 x ATR14 of the close.

WTI Crude 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 META richest today); negative = vol going cheap (NVDA and SLV). Percentiles are each name's own archive history.

Recommend

Disclaimer

Systematic Macro Models: Curve Flattening Into The Hike (23/09/26)

Alfie Kerswell — Wed, 23 Sep 2026 05:42:45 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 20260923

15.3MB ∙ PDF file

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Tearsheet Fixedincome 20260923

9.35MB ∙ PDF file

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Tearsheet Equities 20260923

14.9MB ∙ PDF file

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Tearsheet FX 20260923

9.15MB ∙ PDF file

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Tearsheet Commodities 20260923

11.7MB ∙ PDF file

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Tearsheet Crypto 20260923

5.86MB ∙ PDF file

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TL;DR

Long the hike story, November at around 54% is the first hike half-priced and no cut sits on the strip.
Terminal repriced +42.5bp on the week and I still don't think 79bp gets fully realised, the 2s10s tells me when.
SPX call stays gated at 85 conviction, NDX printed an all-time high but the breadth is narrow.
IG at 77bp flags no stress, invalidation 90bp, credit is not corroborating any equity worry.
Watching the Bitcoin correlation flip to 0.42, it dents my equity hedges.

Where We Stand

Yesterday I said I was long the hike story, with November the first hike half-priced and no cut anywhere on the strip. This morning's tape confirms it. November is the first month with a hike at least half-priced at around 54% odds, and no month reaches a 25bp cut. But my oldest open thesis from the 20th, that the Fed will not deliver the full SEP path and the terminal reprices lower, is under real pressure. The 2s10s flattened another 5bp today and the terminal pushed higher, so I'm defending it on the read that a 79bp strip is more than I think gets realised while the tape has not started doing my work yet. The copper crowding sits alongside a wheat and corn longs flag that is still live.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-22. Sectors plus the unexplained remainder sum to the index move.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Main Developments in Macro

TRUMP SAYS US-IRAN MEETING "VERY PRODUCTIVE", ANOTHER ROUND SCHEDULED; WARNS ON PICKAXE MOUNTAIN STRIKES
IRANIAN SOURCES SAY POSITION UNCHANGED, HORMUZ STAYS SHUT UNTIL CONDITIONS MET
FED'S BARKIN SAYS HIKE HELPS RESTORE PRICE STABILITY, MUCH OF PCE CLIMBING OVER 3%
NDX PRINTS ALL-TIME HIGH ON SEMIS AND MEMORY; SPX FLAT AS FINANCIALS AND ENERGY LAG
HANG SENG SUBDUED ON PBOC LIQUIDITY DRAIN, XI-TRUMP SUMMIT HOPES TEMPERED
MACRON SAYS FRANCE READY TO JOIN DEFENSIVE HORMUZ NAVIGATION OPERATION

The prints lean firm on inflation risk and soft on the interest-rate-sensitive parts. Philadelphia Fed manufacturing came in at 37.8 against a 30.5 consensus, while housing and industrial production both undershot. Barkin said the Fed hiked because inflation risks outweigh employment risks, and that much of PCE is climbing by more than 3%, while the labour market is not overheated. That is the growth-holds, inflation-sticky mix that keeps the hike bid alive.

Cross-Asset Read

The index went nowhere but the internals split hard. Financials dragged the most at -0.26pp and communications took off another -0.10pp, while tech added +0.23pp. The residual is real here, so the sector split explains none of a flat tape. WTI drifted lower again on Iran diplomacy hopes, down on the day and heavy on the week.

One correlation move matters. SPX versus Bitcoin sits at 0.42 now against 0.16 a month ago, flagged as a big shift. Bitcoin is losing its diversifier value against equity risk, so I trust it less as an offset here.

Credit gives me no anxiety. IG at 77bp sits at the tight end of its own range and HY at 266bp is priced as if default risk has vanished. That anchors me long risk against the rates move, invalidation stays 90bp.

Rates & Fed Pricing

No cut is priced anywhere, so this is entirely a hike question. November is half-priced at around 54%, December is effectively certain. The strip peaks at 4.67% in September 2027, +79bp cumulative over EFFR, and the terminal repriced +42.5bp on the week. That is a big weekly build and the 2s10s flattened 12bp over the same stretch, which tells me the front-end is doing the repricing while the long-end sits still.

What changes my mind is the 2s10s reversing its flattening. That would confirm the market doubts the full path and vindicate my terminal call. Until then I respect the flattener and hold the read.

The Week Ahead

Wednesday: S&P Global flash PMIs, a soft services print below 56 would ease my inflation-sticky read, a beat hardens the hike bid.
Wednesday: Fed Barr speech and EIA crude stocks, watching Barr for any push against the front-end pricing.
Thursday: Trump-Xi summit, headline risk for Hang Seng and copper more than US rates.
Thursday: UN General Assembly and Fed Williams, Williams is the one that moves the strip if he leans.

Tradeable Levels

Pivots off the last completed session (2026-09-22). Levels marked * sit within 0.6 x ATR14 of the close.

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 META). Percentiles are each name's own archive history.

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Disclaimer

Systematic Macro Models: The Nasdaq Bid (22/09/26)

Alfie Kerswell — Tue, 22 Sep 2026 15:12:58 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 20260922

15.3MB ∙ PDF file

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Tearsheet Fixedincome 20260922

9.38MB ∙ PDF file

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Tearsheet Equities 20260922

14.8MB ∙ PDF file

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Tearsheet FX 20260922

9.14MB ∙ PDF file

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Tearsheet Commodities 20260922

11.7MB ∙ PDF file

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Tearsheet Crypto 20260922

5.88MB ∙ PDF file

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TL;DR

Long the hike story, November at 56% is the first hike half-priced and no cut sits anywhere on the strip.
Nasdaq +2.83% on Meta and AMD is a narrow tech bid, I respect the run but the model call on S&P is gated.
Gold stays my hedge, the link to duration tightened to -0.42 and that is what I want it doing.
IG at 77bp anchors me, invalidation stays 90bp and credit is flagging no stress.
Watching 2s10s at 25bp, it flattened 8bp on the week, and only a turn back to steepening would confirm the market doubts the full tightening path.

Where We Stand

Yesterday I stayed long the hike story, November at 56% as the first hike half-priced with no cut anywhere on the strip. This morning's tape does not challenge that, it leans into it. The 2Y sits at 4.76%, up 9bp on the day and 13bp on the week, and the 10Y is at 5.01% after adding 7bp. My oldest open thesis, gold appreciating as dollar strength moderates, stays intact with the gold to dollar link now at -0.65. The Fed thesis that the full path will not print is CHALLENGED by the terminal at 4.76%, but the +30.5bp weekly repricing is the crowding I want to fade, and I am keeping it open. The 2s10s at 25bp is flattening, down 2bp on the day and 8bp on the week, so my steepener trigger has not fired and I'm holding.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-21. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 94% of it.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Stock-Bond Correlation

S&P 500 vs TLT, daily returns: 30-day 0.49, 90-day 0.44, positive, so bonds are not hedging equity risk.

Main Developments in Macro

META SURGED OVER 11%, DROVE NASDAQ TO RECORD CLOSE ON MUSE AI AGENT ADOPTION, AMD JOINED USD 1TLN CLUB
FED'S COLLINS PENCILS IN ANOTHER HIKE THIS YEAR, CITES IRAN WAR AND LACK OF INFLATION PROGRESS
FED'S MUSALEM SAYS RATES LIKELY NEED TO CLIMB FURTHER TO TAME DEMAND AND SUPPLY DRIVEN INFLATION
CRUDE TUMBLED ON UN GENERAL ASSEMBLY DIPLOMACY HOPES, TRUMP OPEN TO MEETING IRAN'S PEZESHKIAN
BESSENT TO PRESENT TRUMP WITH US-CHINA AI PACT, DECISION DUE THIS WEEK AHEAD OF TRUMP-XI SUMMIT
G7 CONDEMNS HOUTHI STRIKES, CALLS ON IRAN TO END SUPPORT, WARNS OF DANGEROUS ESCALATION
ECB'S LANE SEES STEADY GROWTH IF ENERGY SHOCK DOES NOT INTENSIFY, SECOND WAVE TO LIFT INFLATION

The data is not helping the growth bulls. Industrial production printed 0% against a 0.3% consensus, and pending home sales came in at 0.3% versus the 2% expected. The Chicago Fed index slipped to -0.04 from 0.08. Against that, Philly Fed at 37.8 beat the 30.5 consensus and claims stayed tight at 196. So activity is soft on the housing and production side while the labour market holds, which is exactly the mix that lets the Fed keep leaning hawkish on inflation without a growth alibi to stop it.

Cross-Asset Read

The leadership was narrow and it was tech. XLK added +0.92pp and XLC +0.37pp to the day, so those two sectors carried most of a +1.37% session. Energy was the drag at -0.08pp as crude sold off.

The correlation I'm watching shifted. Gold versus the 10Y yield moved to -0.42 from -0.17 a month back, so my gold hedge is now leaning harder against duration, which matters with yields grinding up. IG at 77bp sits at the tight end of its range against a 89bp mean, credit is not corroborating any equity anxiety. HY at 268bp is priced as if default risk has gone away.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the question is hikes. November is the first hike at least half-priced at roughly 56%, December is effectively certain near 100%. The strip peaks at 4.69% in September 2027, +80.5bp cumulative over EFFR, with the trough right here at the front. Terminal repriced +30.5bp on the week but slipped 10bp on the day, so the hawkish push is losing a little steam even as Collins and Musalem talk it up. What changes my mind is the front end fade sticking and the 2s10s at 25bp turning higher. For now it is flattening, down 2bp on the day and 8bp on the week, so I read the long end as still going along with the path. Until then I can't see the back half of that strip being realised.

The Week Ahead

Tuesday, ADP weekly and Fed speak from Williams, Jefferson and Barkin, the Fed tone decides whether the front end fade holds.
Tuesday, API crude after a heavy week for oil, matters for the energy drag and my Hormuz tail.
Wednesday, S&P Global flash PMIs, services consensus 56 and manufacturing 53.5, a soft services number would give the growth bears the alibi they lack.
Wednesday, MBA 30-year mortgage rate after the +19bp weekly jump, watching whether housing weakness deepens.
Wednesday, UN General Assembly, the Trump-Iran diplomacy headlines keep the oil tail two-way.

Tradeable Levels

Pivots off the last completed session (2026-09-21). Levels marked * sit within 0.6 x ATR14 of the close.

Gold 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 (META and UNG richest today); negative = vol going cheap (NVDA and TSLA). Percentiles are each name's own archive history.

Recommend

Disclaimer

Systematic Macro Models: The Front End Bid (21/09/26)

Alfie Kerswell — Mon, 21 Sep 2026 05:38:06 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 20260921

15.3MB ∙ PDF file

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Tearsheet Fixedincome 20260921

9.36MB ∙ PDF file

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Tearsheet Equities 20260921

14.9MB ∙ PDF file

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Tearsheet FX 20260921

9.14MB ∙ PDF file

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Tearsheet Commodities 20260921

11.8MB ∙ PDF file

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Tearsheet Crypto 20260921

5.89MB ∙ PDF file

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TL;DR

Long the hike story, November at 56% is the first hike half-priced and no cut sits on the strip.
Terminal at 4.65% repriced +46bp on the week on hawkish Fed speak, I'm watching whether the front end fade sticks.
2s10s at 27bp is dead flat and decides my steepener, steepening confirms the market doubts the full path.
IG at 78bp anchors me, credit is not corroborating any equity anxiety, invalidation stays 90bp.
Gold is my hedge with the dollar link at -0.67, and the Hormuz headlines keep the oil tail live.

Where We Stand

Yesterday I stayed long the hike story, November near 56% as the first hike at least half-priced and no cut anywhere on the strip. This morning's tape half challenges that. The 2Y grabbed 7bp lower on the day even as the strip added +46bp to terminal on the week, so the front end is buying duration while the curve keeps pricing more tightening. I'm not changing my read, the hike is intact at 4.02% implied for November, but that gap is the thing I'm watching. My oldest live thesis, the 2s10s steepener from 27bp opened two days ago, sat dead flat today at 27bp, so it is neither paid nor invalidated. IG at 78bp still anchors me and credit is not corroborating any equity nerves.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-18. Sectors plus the unexplained remainder sum to the index move.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Stock-Bond Correlation

S&P 500 vs TLT, daily returns: 30-day 0.46, 90-day 0.42, positive, so bonds are not hedging equity risk.

Main Developments in Macro

TRUMP SAYS THINKING OF "BLOWING UP" ALL OF IRAN, LEAVES CAMP DAVID EARLY; IRAN KEEPS HORMUZ CLOSED UNTIL CONDITIONS MET - GHALIBAF
FED'S KASHKARI (VOTER): INFLATION TOO HIGH, PRICE PRESSURES SPREAD BEYOND IRAN OIL SHOCK INTO BROADER ECONOMY
FED'S SCHMID: SUPPORTED THE HIKE, DATA SUGGESTS INFLATION TRENDING ABOVE 3%, PROBLEM "NOT JUST ENERGY"
US-CHINA HOLD NEW YORK TALKS AHEAD OF TRUMP-XI SUMMIT, POTENTIAL USD 30BLN RECIPROCAL TARIFF CUTS ON LNG DISCUSSED
HOUTHIS STRIKE SAUDI ARAMCO YANBU FACILITY WITH DRONES, MISSILES; SAUDIS SAY REPELLED
CBA, ANZ BRING FORWARD RBA HIKE CALLS; JAPANESE MARKETS SHUT THROUGH WEDNESDAY THINS CONDITIONS

The data run leans hawkish on inflation, soft on activity. Industrial Production came in at 0% against a 0.3% consensus, and housing kept sagging with starts and permits both under expectations. But the Philadelphia Fed print landed at 37.8 against a 30.5 consensus and claims ran hot at 196. Growth is wobbling at the edges while the Fed's own voters tell me the inflation problem has broadened.

Cross-Asset Read

Thin, tech-led session. On the S&P's +0.17% day, technology carried +0.26pp and industrials added +0.04pp, and the residual did the rest, so I won't read leadership into a move the sectors barely explain. Nasdaq did the work at +0.67%, Russell lagged at -0.63%.

Gold rose 1.2% and its inverse link to the dollar tightened to -0.67, which keeps my gold hedge doing its job while the dollar sits flat. Copper firmed 1.3%. Credit gives me nothing to worry about, IG at 78bp against a 90bp mean, HY at 270bp with risk appetite intact at the low-quality end.

Rates & Fed Pricing

No cut is priced anywhere, the strip never reaches -12.5bp cumulative. The first hike at least half-priced is November at roughly 56%, with December all but locked at 100%. Kashkari said inflation remains too high and that price pressures have expanded beyond the oil shock into the broader economy, and Schmid backed the hike, said data suggests inflation trending above 3% and called the problem "not just about energy". That is why terminal repriced +46bp on the week to peak at 4.65% in December 2027, +77bp cumulative. What changes my mind is the front end, the 2Y buying 7bp of duration against that repricing tells me someone doubts the back half of the path. If the 2s10s starts to steepen off 27bp, that is my steepener paying and my signal the market is fading the terminal.

The Week Ahead

Monday: Goolsbee and the Chicago Fed activity index, tone matters more than the print given how loud the voters have been on inflation.
Tuesday: Williams, Jefferson and Barkin back to back, three voices that could harden or soften the November pricing.
Wednesday: flash PMIs, services consensus 56, this is the release that decides my week, a soft services number is the growth wobble that pressures the hike story.
Wednesday: MBA 30-year mortgage rate after the +19bp weekly jump, watching whether the housing drag deepens.
Through Wednesday: Japanese markets shut, so expect thinner tape and sharper moves on headlines out of the Trump-Xi summit and Iran.

Tradeable Levels

Pivots off the last completed session (2026-09-18). Levels marked * sit within 0.6 x ATR14 of the close.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and META richest today); negative = vol going cheap (NVDA and GLD). Percentiles are each name's own archive history.

The Measured Books · Monday Edges

E1 · Slow trend (12-1): live on equities and crypto only (measured noise elsewhere): US Energy LONG · Semiconductors LONG · Russell 2000 LONG · FTSE 100 LONG · Nikkei 225 LONG · S&P 500 LONG · +9 more
E2 · FX carry: signal only when the policy differential is 1%+ wide: EUR/JPY LONG (+26.99%) · EUR/GBP LONG (+24.51%) · EUR/USD LONG (+24.24%) · USD/CHF LONG (+4.00%) · AUD/JPY LONG (+3.10%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum): slope 27bp, -2bp 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) · 48th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP): $5.86tn, +15bn over 13 weeks → rising, supportive for NDX/SPX

Recommend

Disclaimer

Systematic Macro Models: Nasdaq Flips Long (18/09/26)

Alfie Kerswell — Fri, 18 Sep 2026 16:28:05 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 20260918

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Tearsheet Fixedincome 20260918

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Tearsheet Equities 20260918

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Tearsheet FX 20260918

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Tearsheet Commodities 20260918

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Tearsheet Crypto 20260918

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TL;DR

Long the near-certain hike story, which already landed; September is fully priced and no cut sits anywhere on the strip.
Doubting the full SEP tail; 2s10s at 33bp is my tell, and steepening from here changes my read.
Off copper despite the 3.45% rip, because specs are at the 100th percentile and that book is a fire risk.
IG carry anchors me at 80bp, invalidation 90bp; credit isn't corroborating any equity anxiety.
Watching the dollar for gold hedges now that the inverse link has tightened to -0.67.

Where We Stand

Yesterday I said I was long the near-certain hike story while doubting the full SEP path gets realised, and this morning's tape does nothing to change that. The hike landed at 4% in line, and the strip still prices no cut anywhere, so the near-certain leg is intact. My oldest open thesis, the 2s10s flattening call from three days ago, is holding by a thread: the curve sits at 33bp with a 1bp move on the day, so the flattening has stalled rather than reversed. I'm keeping the thesis alive because the 5d still shows -8bp, but if the curve steepens from here I'll change my read. The copper crowding flag is still live, and after today's rip it matters even more.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-17. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 83% of it.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Main Developments in Macro

BOJ HIKES 25BP AS EXPECTED, 7-2 VOTE, ASADA AND SATO DISSENT; JAPAN CPI SOFTER ACROSS ALL METRICS
NIKKEI +1.8% AS APAC TRACKS WALL STREET FED-CREDIBILITY BID; USD/JPY +0.8% TO 157.19
TRUMP TELLS AXIOS IRAN AT "CRITICAL JUNCTURE", WEIGHING NEW ATTACKS; FORCES HELD IN MIDDLE EAST TO YEAR-END
US EXPECTED TO DELAY EXCESS-CAPACITY TARIFFS UNTIL AFTER TRUMP-XI SUMMIT; CNH AT FOUR-YEAR HIGH
BOE PAUSES APF GILT SALES UNTIL APRIL 2027, WON'T SELL LONG-DATED GILTS
MOODY'S SET TO UPGRADE GERMANY; QUAD WITCHING AND US INDUSTRIAL PRODUCTION DUE

The growth read is mixed and the inflation read is what's driving rates. Philadelphia Fed Manufacturing came in at 37.8 against a 30.5 consensus, and initial jobless claims printed 196 versus 208 expected, both firmer than the street looked for. Housing was the soft spot, with housing starts at 1.275 below the 1.31 consensus and building permits at 1.394 below 1.41. Labour and factory strength alongside a hiking Fed keeps the front-end story honest.

Cross-Asset Read

Technology did the heavy lifting yesterday. XLK rose 2.26% on the day for a +0.72pp contribution, comfortably the largest, with discretionary a distant second and communications the only real drag. The residual is real, so the sectors don't sum to the index, but the leadership is clear enough.

The move I care about most is copper. It surged 3.45% on the day, and with specs already at the 100th percentile of their own history that's a crowded book getting more crowded. I stay off the long side.

Gold's link to the dollar is the correlation shift that changes a hedge. Gold versus DXY has moved to -0.67 now from -0.39 a month ago, a much tighter inverse than I carried yesterday, so the dollar does more of the work in any gold hedge now. Credit is quiet and corroborates nothing: IG OAS sits at 80bp at the tight end of its range, unchanged on the day, and HY at 276bp says risk appetite at the low-quality end is intact. My IG anchor holds, invalidation still 90bp.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the debate is entirely about how much more tightening the market believes. September is fully priced for a 25bp hike at essentially 100% odds, and that's already delivered. Beyond that the strip builds slowly: peak sits at 4.68% in November 2027, which is +105bp cumulative over EFFR. The terminal repriced +35bp on the week even after slipping 7.5bp today, so the weekly direction points to more tightening. The 2Y jumped +28bp on the week to sit at the top of its one-year range, and the 5Y +25bp alongside it.

What changes my mind is the curve. If 2s10s steepens from 33bp back through the week's flattening, the market is telling me it believes the full path, and I'd have to drop my scepticism on the SEP tail.

The Week Ahead

Friday: US Industrial Production (cons 0.3%); a soft print alongside weak housing would start to bend my growth read, a firm one keeps the front end honest. Quad witching adds noise, so I fade nothing on today's close alone.
Friday: Fed Bowman speaks, first read post-blackout on how committed the hiking bias really is.
Monday: Fed Goolsbee and the Chicago Fed National Activity Index; more Fed colour matters more than the data here.
Tuesday: Fed Williams and Jefferson, plus weekly ADP; the speaker slate is where the SEP-path debate gets tested.
Wednesday: S&P Global Services PMI Flash (prev 56.5) and the MBA mortgage rate after a +19bp weekly jump; a hot services print would reinforce the tightening story.

Tradeable Levels

Pivots off the last completed session (2026-09-17). Levels marked * sit within 0.6 x ATR14 of the close.

Vol Screen · Rich and Cheap Implied Vol

Positive IV-RV = options priced rich to what the tape is delivering (UNG and META richest today); negative = vol going cheap (NVDA and TSLA). Percentiles are each name's own archive history.

Positioning Book · Friday COT

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

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Disclaimer

Systematic Macro Models: Copper Longs Still Crowded (17/09/26)

Alfie Kerswell — Thu, 17 Sep 2026 16:18:29 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 20260917

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Tearsheet Fixedincome 20260917

9.34MB ∙ PDF file

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Tearsheet Equities 20260917

14.6MB ∙ PDF file

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Tearsheet FX 20260917

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Tearsheet Commodities 20260917

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Tearsheet Crypto 20260917

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TL;DR

I'm long the near-certain hike story but I can't see the full SEP path getting realised.
2s10s at 33bp is my tell; more flattening confirms doubt on the path beyond October.
Copper longs at the 100th percentile keep me off the long side.
IG carry at 80bp is my anchor, invalidation 90bp.
Gold's -0.59 link to the dollar argues for smaller hedges today.

Where We Stand

Yesterday I said I'm not fading the near-certain hike and that the risk sits in the path beyond it, with the 2s10s at 32bp as my tell. This morning's tape confirms it. The Fed delivered the 25bp move and the dots pencilled in another by year-end, yet the terminal repriced +40.5bp on the day and +65bp on the week, so the market is now doing the work of pricing the whole SEP path. My oldest live view, copper crowding opened three days ago, stays exactly where it was. The copper crowding flag is still live, longs sit at the 100th percentile, and I stay off the long side. My IG anchor holds too, OAS at 80bp with invalidation at 90bp, and credit is giving me nothing to worry about.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-16. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 63% of it.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Main Developments in Macro

FED HIKED 25BP TO 3.75-4%, UNANIMOUS, DOTS PENCIL ONE MORE HIKE THIS YEAR THEN HOLD THROUGH 2027
WARSH SAYS HARD-PRESSED TO CALL FINANCIAL CONDITIONS RESTRICTIVE, PRICE STABILITY THE PREDOMINANT FOCUS
TRUMP DEMANDS RATES AT "1% OR LESS", SAYS HE STILL TOLD WARSH TO BE INDEPENDENT
BOE POLICY ANNOUNCEMENT DUE, RATES EXPECTED HELD IN A 6-3 SPLIT; CNB ALSO DECIDES
BOJ KICKS OFF TWO-DAY MEETING, WIDELY ANTICIPATED HIKE TOMORROW
HKMA RAISED RATES FIRST TIME SINCE 2023 IN LOCK-STEP WITH THE FED, HANG SENG PRESSURED
TRUMP FLAGS POSSIBLE HEAVY TARIFFS ON EUROPE; US-MEXICO TALKS PUSHED BACK A WEEK

The growth read is hot. Retail Sales rose 1.2% against 0.8% consensus, with the control group at 1.4% versus 0.4%. That is why the front end is repricing so hard. The one soft print, Empire State at 7.6 against 14.75 expected, from 20.6 prior, is not enough to slow a Fed that keeps telling me inflation is the problem.

Cross-Asset Read

The tape was orderly. The S&P edged down 0.45% while the Nasdaq 100 held flat. Financials and discretionary did the damage, together roughly -0.4pp of the move, with energy the worst single sector. The residual is real, so I read this as a rate-repricing session rather than a growth scare.

The correlation I care about most this morning is gold against the dollar, now -0.59 versus -0.41 a month ago. That deeper inverse link is why I keep gold hedges smaller here. Credit backs the calm read. IG OAS sits at 80bp, the tight end of its own range and well inside the 90bp mean, and HY at the low end tells me risk appetite is intact.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so this is entirely a tightening story. September is the first month with a hike at least half-priced, near 100% odds. The strip peaks in November 2027 at 4.68%, some +105bp cumulative over EFFR, with the trough already +26.5bp.

The why is the SEP and Warsh. He would not call conditions restrictive and the median now sees one more hike before a long hold. The two-year jumped +28bp on the week doing that work. What changes my mind is the long end: more 2s10s flattening from 33bp tells me the market doubts the back of the path, and I lean into that doubt. If the belly instead keeps selling with equities steady, I have to respect a real terminal move.

The Week Ahead

Thursday: Initial Jobless Claims (cons 208), the clean read on whether the labour market cracks; a big miss is what shifts my growth call.
Thursday: Housing Starts and Building Permits, secondary after a soft NAHB, unlikely to move my read.
Thursday: Philadelphia Fed (cons 30.5 from 47.4), watching for confirmation of the Empire State softness.
Thursday: Pending Home Sales, rate-sensitive but not a read-changer.
Thursday: BoE and CNB decisions plus ECB's Lane, relevant for the dollar leg.
Friday: Industrial Production and Fed's Bowman, her tone on the path is what I want after this SEP.

Tradeable Levels

Pivots off the last completed session (2026-09-16). Levels marked * sit within 0.6 x ATR14 of the close.

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 (NVDA and TSLA).

Recommend

Disclaimer

Systematic Macro Models: Curve Flattening Into FOMC (16/09/26)

Alfie Kerswell — Wed, 16 Sep 2026 13:19:46 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 20260916

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Tearsheet Fixedincome 20260916

9.39MB ∙ PDF file

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Tearsheet Equities 20260916

14.6MB ∙ PDF file

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Tearsheet FX 20260916

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Tearsheet Commodities 20260916

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Tearsheet Crypto 20260916

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TL;DR

Long IG carry at 80bp is my anchor into the Fed, invalidation still 90bp.
I'm not fading the 96% October hike, the risk is in the path beyond it.
The 2s10s at 32bp is my tell, more flattening confirms doubt on the back of the path.
Copper crowding at the 100th percentile keeps me off the long side.
Gold's deepened inverse link to the dollar, now -0.69, argues for smaller hedges today.

Where We Stand

Yesterday I said I hold my pre-FOMC stance, a 96% October hike already sits in the price and I'm not fading it into the meeting. This morning's tape doesn't argue with that. My oldest live view is long IG carry at 80bp against a 90bp mean, invalidation pinned at 90, and credit is a shade tighter on the week, so that thesis stays intact and stays my anchor. The 2s10s flattening view from yesterday is my tell into today, and at 32bp the curve nudged another basis point flatter overnight, which keeps the read alive that the market doubts the back of the hike path. The copper crowding flag is still live too, positioning parked at the 100th percentile, and I'm not chasing that long.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-15. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 87% of it.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Event Watch · FOMC decision today

Into the print the book is long equity beta, short duration, long gold .

Main Developments in Macro

WARSH-LED FED DECISION DUE LATER, MARKET LEANS 96% TO A 25BP HIKE THOUGH NOT SEEN AS A DONE DEAL
LIBYA NOC SUSPENDS THREE OIL FIELDS AFTER PIPELINE VALVE CLOSURE, WARNS IT MAY DECLARE FORCE MAJEURE
SAUDI TELLS SOME EUROPEAN REFINERS SEPTEMBER CRUDE CARGOES CANCELLED, YANBU LOADINGS SUSPENDED
API CRUDE BUILD +7.1MLN VS -1.8MLN EXPECTED, A HEAVY OFFSET TO SUPPLY HEADLINES
US VP VANCE SAYS IRAN CONFLICT TO ENTER "MUCH DIFFERENT PHASE" IN COMING MONTHS
BESSENT SAYS TREASURY BUYBACK INTERVENTION SUCCESSFUL, DEFENDS YEN INTERVENTION AS "NOMINAL"

US stocks closed lower again on Tuesday, with the Nasdaq and Russell underperforming, and calls for a slowdown in AI development remained an overhang for sentiment, although the SOXX and DRAM ETFs were marginally firmer following their sharp declines on Monday. The prints underneath cut both ways on growth. Empire fell to 7.6 against a 14.75 consensus, and Michigan sentiment at 47.8 undershot badly, yet core CPI ran hot at 0.3% month on month. That mix is exactly why a hike prices at 96% while the soft data whisper the growth cost.

Cross-Asset Read

The selling on Tuesday was led by discretionary, roughly -0.19pp of the move, with communication services and tech each near -0.09pp. Energy was the one green sector as crude rallied on the Libya and Saudi headlines. The residual is real, so the sector split explains most of the day but not all of it.

The correlation I'm watching is gold against the dollar, now -0.69 versus -0.40 a month ago, flagged as a big shift. That deepening inverse link means a firmer dollar into the Fed presses gold lower more reliably than before, so I'd size any gold hedge smaller here.

Credit still refuses to corroborate the equity anxiety. IG sits at 80bp, the tight end of its range against a 90bp mean, and HY at 271bp says appetite at the low-quality end is intact. That is why I keep reading the AI wobble as a sentiment event and see no sign of a growth break.

Rates & Fed Pricing

No month on the strip has a cut half-priced, so the whole conversation is about hikes. Money market pricing is leaning heavily towards a 25bps hike, although such a move is not quite seen as a foregone conclusion. September carries roughly 96% odds. Cumulatively the strip builds to +96bp by November 2027 at 4.59%, with the trough this month at 3.87%. Terminal repriced +14.5bp on the week but flat overnight, so the aggression built earlier in the week and this morning added nothing. The 2Y up +28bp on the week is doing that repricing. If the statement leans hawkish and the 2s10s flattens further, I read that as the market doubting hikes beyond October can be realised. A steeper curve on the print would change my mind.

The Week Ahead

Wednesday, FOMC decision, the whole note hinges on the statement tone and whether the strip extends beyond October.
Wednesday, US Retail Sales, cons 0.8% after -0.6%, a strong control group would harden the growth-can-take-it read.
Wednesday, Import Prices and NAHB, second tier, unlikely to move my view.
Wednesday, EIA crude stocks after a 7.1mln API build, watch whether the official number confirms and undercuts the supply bid.
Thursday, Initial Jobless Claims, my next real growth tell after the soft Empire and Michigan prints.

Tradeable Levels

Pivots off the last completed session (2026-09-15). Levels marked * sit within 0.6 x ATR14 of the close.

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 (NVDA and TSLA).

Recommend

Disclaimer

Systematic Macro Models: Duration Selloff Into The Fed (15/09/26)

Alfie Kerswell — Tue, 15 Sep 2026 15:45:28 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 20260915

15.3MB ∙ PDF file

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Tearsheet Equities 20260915

14.5MB ∙ PDF file

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Tearsheet FX 20260915

9.18MB ∙ PDF file

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Tearsheet Commodities 20260915

11.7MB ∙ PDF file

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Tearsheet Crypto 20260915

5.91MB ∙ PDF file

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Where We Stand

Yesterday I said core CPI at 0.3% held my pre-FOMC stance into Wednesday, and this morning's tape backs it. DXY marginally extended on recent gains amid higher oil prices and with the US 10yr yield breaching 5% for the first time since 2023, while participants await key central bank rate decisions beginning with the FOMC on Wednesday, with money markets pricing an 84% chance of the Fed hiking rates. The 2Y leads the front-end again at +13bp and I still do not chase it. My oldest open thesis, WTI over equities on supply risk, opened 8 September, stays intact with crude bid hard on the tape even as it printed a soft day yesterday. The IG carry call at 80bp holds with invalidation pinned at 90, and I'm not moving it.

What Changed

Asset Market Pricing

Sector Attribution

Session 2026-09-14. Sectors plus the unexplained remainder sum to the index move, and the sector split accounts for 91% of it.

Momentum Book · Sticky Regimes

Mean Reversion Book · Choppy Regimes

Sector Snapshot & Breadth

Event Watch · FOMC decision tomorrow

reference     events  avg move  median  closed higher  avg abs move
-------------------------------------------------------------------
S&P 500           37    +0.02%  -0.03%            41%         1.01%
US 10Y yield      37    -2.1bp  -2.2bp            41%         7.0bp
Dollar (DXY)      37    -0.10%  -0.12%            43%         0.49%
Gold              37    +0.10%  +0.25%            57%         0.99%

Into the print the book is long equity beta, short duration, long gold .

Main Developments in Macro

US 10Y YIELD BREACHES 5% FIRST TIME SINCE 2023 AHEAD OF WEDNESDAY FOMC
MONEY MARKETS PRICE 84% CHANCE OF FED HIKE THIS WEEK
IRGC SAYS STRAIT OF HORMUZ CLOSED, CENTCOM DENIES TANKER MINE STRIKE
CRUDE BID: WTI +1.9%, BRENT +1.7% ON MIDDLE EAST SUPPLY RISK
US CHIPS AND MEMORY SOLD AFTER AI CEOS CALL FOR DEVELOPMENT SLOWDOWN
TRUMP PUSHES BACK, CALLS AI TAKEOVER FEARS A HOAX
CHINA DATA MIXED: IP TOPS, RETAIL SALES DISAPPOINT, HOUSE PRICES CONTRACT

The recent prints tell a growth-cooling, inflation-sticky story. Core Inflation Rate MoM came in at 0.3% versus consensus 0.2%, while headline Inflation Rate MoM landed in line at 0.4%. Against that, Michigan sentiment collapsed to 47.8 from 51.7. Sticky core with a wobbling consumer is exactly the mix the Fed hikes into and equities pretend not to see.

Cross-Asset Read

Leadership yesterday was defensive. XLC added +0.21pp and XLV +0.14pp, while XLK dragged -0.58pp as the AI-safety headlines hit chips. That is defensive money hiding, and it looks nothing like a risk-on rotation.

The correlation that matters keeps deepening. Crude futures remained firmer amid the ongoing conflict in the Middle East as Yemeni Houthis continued to target areas in Saudi Arabia, while Iran reiterated an unwillingness to negotiate, and Trump commented that oil is flowing through the Hormuz Strait. SPX versus crude sits at -0.65 now against -0.57 a month ago, which keeps my oil-over-equities thesis clean.

Credit refuses to corroborate any anxiety. IG OAS at 80bp sits at the tight end of range against a 90bp mean, and HY at 265bp is priced as if default risk vanished.

Rates & Fed Pricing

No cut is anywhere on the strip, so forget easing. September is a near-lock hike at roughly 92% odds, and the strip runs to a 4.55% peak in September 2027, +92bp cumulative over EFFR. Terminal repriced +14.5bp on the week but was flat on the day. The 10Y broke 5% because supply, oil and a hawkish FOMC all lean the same way. What changes my mind is the front-end: if the 2Y stalls here with equities holding, the strip is telling me three-plus more of tightening won't get realised.

Bottom Line

Sticky core plus a 92% hike keeps me leaning short duration into Wednesday.
Crude over equities stays my cleanest expression on a -0.65 correlation.
IG carry holds at 80bp, invalidation still 90.
Copper crowding flag is live at the 100th percentile, so I stay clear of longs.
Watching whether equities blink now that the 10Y prints a 5-handle.

The Week Ahead

Monday, ADP weekly and NY Empire (cons 14.75 vs 20.6), a soft Empire tilts my growth read lower.
Tuesday, UK jobs and German ZEW colour the European open, marginal for my book.
Wednesday, FOMC, the whole note pivots here.
Wednesday, Retail Sales Ex Autos (cons 0.6% vs prev -0.3%); a strong print hardens the hawkish tape.
Wednesday, Retail Control Group and headline Retail Sales; the consumer read that either confirms or breaks the Michigan slump.

Tradeable Levels

Pivots off the last completed session (2026-09-11 / 2026-09-14). Levels marked * sit within 0.6 x ATR14 of the close.

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).

Recommend

Disclaimer

Systematic Macro Models: The Front End Selloff (14/09/26)

Alfie Kerswell — Mon, 14 Sep 2026 20:52:38 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 20260914

15.3MB ∙ PDF file

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Tearsheet Fixedincome 20260914

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Tearsheet Equities 20260914

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Tearsheet FX 20260914

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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

Yesterday we held that core CPI at 0.3% waited for the FOMC to confirm, and this morning's tape confirms it as the strip lifts to a hike. On our oldest view, short oil versus equities opened eight days ago, the crude-equity correlation has deepened to -0.65, and the position holds. The copper crowding flag stays live at the 100th percentile of positioning, and we would still not chase the metal.

Asset Market Pricing

Sector Attribution

Where the index move came from on 2026-09-11. 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.

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

Stock-Bond Correlation

Rolling correlation of S&P 500 and TLT daily returns. The 30-day reads 0.44 against 0.44 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

US CORE CPI ROSE 0.3% M/M VS 0.2% CONSENSUS, MARKETS NOW PRICE A HIKE THIS WEEK NEAR 86% FROM 70% PRE-DATA
SAUDI ARABIA SHUT EAST-WEST PIPELINE AFTER DRONE ATTACKS, THREATENING 4% OF GLOBAL SUPPLY, WTI +2.5%
OMAN POSTPONED PERSIAN GULF MEETING INDEFINITELY, IRAN HORMUZ SHIPPING-LANE DEAL UNVEILING DELAYED
AI SLOWDOWN CALLS FROM ANTHROPIC, OPENAI AND SPACEX CEOS DRAG NASDAQ FUTURES, NQ -1.3%
DXY FIRMER AT 99.34 INTO MID-WEEK FOMC, MONEY MARKETS LEAN TOWARDS A HIKE
ECB'S LAGARDE SAID CURRENT INFLATION SHOCK IS LONGER-LASTING; SCHNABEL, CIPOLLONE AND LAGARDE DUE TO SPEAK

The growth-inflation split is the story into the meeting. Core CPI rose 0.3% M/M, above the 0.2% forecast, while headline stayed in line at 3.4%. That is a sticky-core read with cooling breadth, and we treat it as enough for a hike while stopping short of calling it a trend.

The soft patch is real underneath. Michigan sentiment printed 47.8 against a 51 consensus, and core PPI at 0.2% came in below the 0.3% call. Our read is that the Fed hikes on the core beat and the growth wobble waits behind it.

Cross-Asset Read

Technology did the leading again. XLK contributed +0.42pp of the +0.86% session, with consumer discretionary next at +0.10pp, so the tape leant on the same megacap complex the AI-slowdown headlines now threaten overnight.

The scoreboard that matters is the front end. US 2Y rose +13bp and 10Y +12bp as the strip repriced the hike, while VIX fell 2pts to 15.85 at the calm end of its range. The SPX-crude correlation at -0.65 flagged a BIG SHIFT from -0.57, which means our oil hedge against equity risk works again.

Credit is not corroborating any anxiety. IG OAS sits at 80bp, at the tight end of its own range, a carry regime versus a 90bp mean; HY at 270bp shows risk appetite intact at the low-quality end. If IG breaks 90bp, then we close the carry view; until then, the 80bp level holds and we stay long the carry.

Rates & Fed Pricing

No cut is priced anywhere on the strip. The first move fully in the money is a 25bp hike at the October meeting, near 92% odds, and we treat that as the market's base case into Wednesday. Cumulative tightening builds to +23bp by October and the strip peaks at 4.55% in October 2027, +92bp above the 3.63% effective rate.

The reason is this week's repricing. The terminal repriced +14.5bp on the week while sitting flat on the day, so the hot core print did the work and Friday's reversal did not undo it. If Wednesday's FOMC delivers the hike the strip already holds, then the front end has little left to chase; until then, we would fade the temptation to press 2Y shorts here.

Bottom Line

Core CPI at 0.3% holds our pre-FOMC stance into Wednesday.
The 2Y at +13bp leads a front-end selloff we do not chase.
IG carry at 80bp holds, with invalidation still pinned at 90.
Short oil versus equities holds on a -0.65 correlation that keeps deepening.
Copper at the 100th percentile of positioning waits, and stretched longs keep us clear.

The Week Ahead

Tuesday's Empire State Manufacturing (cons 14.75 vs prev 20.6): a print holding above 14 keeps our growth-wobble-behind-inflation read; a sharp miss below brings the soft patch forward.
Wednesday's FOMC decision: the 25bp hike the strip prices keeps our stance; a hold reverses the whole front-end read.
Wednesday's Retail Sales (cons 0.9% vs prev -0.6%): a rebound to consensus confirms the consumer holds and backs the hike; a second negative print challenges it.
Wednesday's Retail Sales Control Group (cons 0.4% vs prev -0.4%): a positive turn keeps the growth read intact; another negative keeps the Michigan warning alive.
Wednesday's Import Prices (cons 0.4% vs prev -0.4%): an in-line print leaves the inflation read unchanged; a hot surprise adds to the sticky-core case.

Tradeable Levels

Floor-trader pivots off the last completed session (2026-09-11 / 2026-09-13), 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 54/60 · 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): Semiconductors LONG · US Energy LONG · Russell 2000 LONG · FTSE 100 LONG · Nikkei 225 LONG · S&P 500 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 39bp, -3bp 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) · 62nd percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.86tn, -40bn over 13 weeks → falling, a headwind

Recommend

Disclaimer

Systematic Macro Models: The EUR/USD Flip (11/09/26)

Alfie Kerswell — Fri, 11 Sep 2026 18:55:32 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 20260911

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Tearsheet Fixedincome 20260911

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Tearsheet Equities 20260911

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Tearsheet FX 20260911

9.18MB ∙ PDF file

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Tearsheet Commodities 20260911

11.8MB ∙ PDF file

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Tearsheet Crypto 20260911

5.88MB ∙ PDF file

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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.

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.

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Disclaimer

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

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Tearsheet Fixedincome 20260910

9.54MB ∙ PDF file

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Tearsheet Equities 20260910

14.7MB ∙ PDF file

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Tearsheet FX 20260910

9.19MB ∙ PDF file

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Tearsheet Commodities 20260910

11.8MB ∙ PDF file

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Tearsheet Crypto 20260910

5.89MB ∙ PDF file

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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.

Recommend

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

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Tearsheet Fixedincome 20260909

9.58MB ∙ PDF file

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Tearsheet Equities 20260909

14.8MB ∙ PDF file

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Tearsheet FX 20260909

9.2MB ∙ PDF file

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Tearsheet Commodities 20260909

11.8MB ∙ PDF file

Download

Tearsheet Crypto 20260909

5.9MB ∙ PDF file

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Subscribe now

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.

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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

Download

Tearsheet Fixedincome 20260908

9.55MB ∙ PDF file

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Tearsheet Equities 20260908

14.9MB ∙ PDF file

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Tearsheet FX 20260908

9.2MB ∙ PDF file

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Tearsheet Commodities 20260908

11.7MB ∙ PDF file

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Tearsheet Crypto 20260908

5.9MB ∙ PDF file

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Subscribe now

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.

Recommend

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

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Tearsheet Fixedincome 20260904

9.6MB ∙ PDF file

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Tearsheet Equities 20260904

12.4MB ∙ PDF file

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Tearsheet Commodities 20260904

11.8MB ∙ PDF file

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Tearsheet Crypto 20260904

5.91MB ∙ PDF file

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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.

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.

Recommend

Disclaimer

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

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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.

Recommend

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

Download

Tearsheet Fixedincome 20260901

9.55MB ∙ PDF file

Download

Tearsheet Equities 20260901

14.7MB ∙ PDF file

Download

Tearsheet FX 20260901

9.16MB ∙ PDF file

Download

Tearsheet Commodities 20260901

11.8MB ∙ PDF file

Download

Tearsheet Crypto 20260901

5.9MB ∙ PDF file

Download

Subscribe now

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.

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