Systematic Macro Models: FOMC Pricing (28/07/26)
Proprietary systematic macro models · daily signals across rates, equities, FX, commodities and crypto
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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 · 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
Every number in this note is computed by the desk's own systematic engines across 44 markets, then read in plain language. Five minutes and you're caught up.
Where We Stand
Our oldest running view, that duration bonds are degrading as an equity hedge with the short-duration book held into FOMC, survives this morning intact. The two-year sits at 4.37 with the strip pricing a 62% hike chance for August, so we keep the short-duration stance and add nothing until Wednesday. The crude short flag remains live even after oil's drop, and we treat the tech rout in Asia as a positioning event that does not signal a growth turn.
Today's Three · Highest-Conviction Signals
The three signals the desk engines rank highest right now, each with the level that proves it wrong.
US 2Y (price dir) · levels in yield · momentum short, conviction 84/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 4.2207; seven consecutive closes back below it kills the call.
USD/JPY · momentum long, conviction 86/100, on for 9 sessions. The trend gate holds while the quote stays above the 21-day average at 162.4; seven consecutive closes back below it kills the call.
Bund 10Y (price dir) · levels in yield · momentum short, conviction 89/100, on for 7 sessions. The trend gate holds while the quote stays above the 21-day average at 3.0870; seven consecutive closes back below it kills the call.
Asset Market Pricing
Momentum Book · Sticky Regimes
Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.
Mean Reversion Book · Choppy Regimes
Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.
What's Driving the S&P 500
The S&P 500 is in a choppy regime, so mean reversion is driving it: the fade engine reads bullish with conviction 37/100.
Across the 44-market universe, 28 are trend-driven (momentum) and 16 are range-driven (mean reversion).
Sector Snapshot & Breadth
Event Watch · FOMC decision tomorrow
reference events avg move median closed higher avg abs move
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S&P 500 36 +0.06% -0.02% 42% 1.00%
Dollar (DXY) 36 -0.08% -0.08% 44% 0.49%
Gold 36 +0.08% +0.25% 56% 1.01%Into the print the book is long equity beta, short duration, long USD . Event-day distributions above are close-to-close over the historical set; they describe typical ranges, not a forecast for this release.
Main Developments in Macro
TRUMP SAYS IRAN TALKING TO US ON A DEAL "RIGHT NOW", FRIENDLY TALKS ONGOING
IRAN, OMAN NEGOTIATORS SEEK DEAL TO RESTART HORMUZ SHIPPING, ANNOUNCEMENT POSSIBLE IN COMING DAYS (BLOOMBERG)
KOSPI TRIGGERS CIRCUIT BREAKER, SAMSUNG AND SK HYNIX DOWN DOUBLE DIGITS ON DUV COMPETITION FEARS
NIKKEI 225 BRIEFLY UNDER 62,000 AS KIOXIA LEADS TECH SELL-OFF, INDEX DOWN 4.0%
MONEY MARKETS PRICE ~40% CHANCE OF A FED HIKE THIS WEEK; CITADEL SECURITIES SEES HIKE SURPRISE RISK
ECB'S KAZIMIR AFFIRMS SUPPORT FOR A SEPTEMBER HIKE; EUR/USD FAILS TO HOLD 1.1400
US REPORTEDLY PROBES CHINESE FACTORIES IN VIETNAM, STOKING FRESH LEVY FEARS
The China DUV production report is the price-moving story overnight, and it did the damage in Asia that Nvidia's financing headlines started on Wall Street. We read this as a sector-specific de-rating in semis that does not amount to a macro turn.
The data underneath still runs warm. Durable goods came in at 0.3% against a 2.5% consensus, a clear miss, yet initial claims at 187 against 212 expected keep the labour read firm. Growth is cooling at the margin while the jobs signal refuses to break, and that is precisely the mix a hawkish Fed leans on.
The Tape
On sectors, the last clean session had financials adding +0.11pp and communications +0.08pp, the two largest contributions, with tech dragging -0.46pp. Leadership sits with the cyclicals and breadth carriers while semis do the bleeding, and we would not fade that rotation yet.
Cross-asset, crude tumbled 5.89% on the strike pause while gold rose 1.34%. The SPX-10Y correlation moved to minus 0.37 from minus 0.66, flagged BIG SHIFT, meaning bonds no longer reliably cushion an equity drawdown, so we shrink equity sizing rather than lean on a duration hedge. Gold versus 10Y also shifted to minus 0.31 from minus 0.64, so a bond scare no longer knocks bullion, and we treat gold as the cleaner geopolitical hedge into Wednesday.
Credit stays calm. IG OAS at 79bp sits below its 92bp long-run mean, keeping us in the carry and complacency regime, with HY at 277bp giving no warning. If IG breaks decisively above 92bp, then we cut the carry stance and buy protection; until then, the credit tape says hold.
Rates & Fed Pricing
No month on the strip carries a half-priced cut, so the whole conversation is about the hike. August is the first month with a hike at least half-priced at 62% odds, and September carries it at 96%. The strip peaks at 4.170% in April 2027, +54.0bp cumulative over an EFFR of 3.63%, with the trough already behind us in July.
This is why oil's crash did not rally the front end much. The strike pause eased the inflation tail, yet the terminal actually repriced +7.0bp on the week even as it slipped 7.0bp on the day, because a hawkish Warsh Fed is the dominant driver. The two-year adding 21bp on the week, the largest such move in a year, tells us the market is bracing rather than fading.
If Wednesday delivers the hike that 62% is pricing, then the short-duration book pays and we extend it; until then, we hold 4.37 and add nothing.
Bottom Line
Short duration holds with the two-year at 4.37 into Wednesday's decision.
IG at 79bp holds the carry regime until a decisive break of its mean.
Equity sizing fades as the SPX-10Y correlation sits at minus 0.37.
Gold watches as a 1.34% up day makes it the cleaner geopolitical hedge.
The tech rout waits, with the Nasdaq down 1.15%, until we see growth confirm it.
The Week Ahead
Tuesday's CB Consumer Confidence: a print above the 92.2 consensus keeps our firm-labour, hold-the-short read; a soft miss revives the durable goods growth wobble and we trim.
Tuesday's Case-Shiller Home Price: above 1.3% expected reinforces the sticky-shelter inflation story that backs the hike; a downside surprise softens it.
Tuesday's Goods Trade Balance: a narrower deficit than the minus 101.3 consensus supports the growth read; a wider gap and we mark net exports lower.
Wednesday's EIA Crude Stocks: another build against the minus 1.5 draw expected keeps the crude short flag live; a sharp draw and we reassess the oil hedge.
Wednesday's FOMC: a hike vindicates the short-duration book and we extend; a hold against the 62% pricing forces us to change our read on the front end fast.
Vol Screen · Rich and Cheap Implied Vol
Positive IV-RV = options priced rich to what the tape is delivering (USO and AMZN richest today); negative = vol going cheap (TSLA and GOOG). Percentile ranks unlock at 60 archived sessions per name · currently 10/60 · the archive deepens automatically every build.
Disclaimer
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.