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.
In This Issue
Where We Stand
Asset Market Pricing
Sector Attribution
Momentum Book · Sticky Regimes
Mean Reversion Book · Choppy Regimes
Sector Snapshot & Breadth
Main Developments in Macro
Cross-Asset Read
Rates & Fed Pricing
Bottom Line
The Week Ahead
Tradeable Levels
Vol Screen · Rich and Cheap Implied Vol
The Measured Books · Monday Edges
Where We Stand
Yesterday we held short-duration with the 2-year at 4.2% and no cut anywhere on the strip, and this morning's tape confirms it after Warsh went hawkish at Jackson Hole. Warsh outlined that inflation remains a greater concern than employment, even in light of better-than-expected inflation figures through summer, while he noted the Fed has more work to do unless progress towards its 2% inflation target resumes. The short-duration thesis opened 26 days ago stays intact, the crude cap remains flagged as the equity hedge, and we keep the gold-crowding read live.
Asset Market Pricing
Sector Attribution
Where the index move came from on 2026-08-28. Each sector's day multiplied by its approximate index weight gives its contribution in percentage points. The sectors and the unexplained remainder sum exactly to the index move, and the sector split accounts for 88% of it.
The remainder is not an error term to ignore. Index weights drift and sector ETFs are not the index's own constituents, so a decomposition of this kind never closes on its own. Reading the residual is how you know whether the sector story explains the day or only decorates it.
Momentum Book · Sticky Regimes
Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.
Mean Reversion Book · Choppy Regimes
Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.
Sector Snapshot & Breadth
Main Developments in Macro
WARSH AT JACKSON HOLE HAWKISH, SAYS INFLATION A GREATER CONCERN THAN EMPLOYMENT; FED HAS MORE WORK TO DO
DOLLAR RALLIED BROADLY, TREASURY CURVE FLATTENED, GOLD WEIGHED AS SEPTEMBER AND DECEMBER HIKE BETS RETURN
US STRUCK IRGC MISSILE LAUNCHERS ON LARAK ISLAND; IRAN RETALIATED ON US BASES IN JORDAN, ALL MISSILES INTERCEPTED
WTI +2.6%, BRENT +2.4% ON STRAIT OF HORMUZ ESCALATION AND TANKER STRIKE
BESSENT SAYS US TREASURY TO IMPOSE MORE IRAN SECONDARY SANCTIONS EVERY WEEK, STARTING WITH BANKS
CHINA OFFICIAL PMI MIXED: MANUFACTURING TOPS FORECAST, NON-MANUFACTURING DISAPPOINTS, BOTH IN CONTRACTION
GOOLSBEE AGREES WITH WARSH, SAYS INFLATION IS THE MAIN ISSUE RIGHT NOW
The prints back the hawk. PCE Price Index rose 3.7% year-on-year, above the 3.6% consensus, and the monthly PCE Price Index came in at 0.2% against a 0.1% consensus. Sticky inflation with personal spending holding at 0.2% tells us demand has not cracked, so we treat the hawkish repricing as earned rather than a scare.
The one soft spot is Chicago PMI at 47.1 against a 58.3 consensus. We think this flags a manufacturing wobble. We would not act on it because the payrolls revision at -79k came in far shallower than the prior -911k.
Cross-Asset Read
Technology did the damage on Thursday's tape. XLK fell 1.55% on the day for a -0.50pp contribution, the single largest drag, with industrials adding -0.08pp behind it. Leadership thinned into month-end, and we read the -0.50pp tech drop as positioning rather than a growth signal.
The scoreboard move that matters is oil against equities. SPX versus crude sits at -0.55 now against -0.25 a month ago, flagged as a big shift. That deepening means an oil hedge against equity risk works again, and we would keep the crude cap as our equity hedge into the Hormuz headlines.
Credit refuses to corroborate any anxiety. IG OAS at 79bp sits at the tight end of its own range, a carry regime with credit calm. HY at 263bp is priced as if default risk has been abolished. If OAS breaks decisively above the 90bp mean, then the carry regime flips and we fade; until then, we hold the carry and fade panic widening.
Rates & Fed Pricing
No month on the strip has a cut half-priced, so the story is hikes. September carries roughly 62% odds of a 25bp hike, and November firms to about 88%, the high-conviction month. We read this as the market taking Warsh at his word after Jackson Hole.
The strip peaks at 4.23% in 2027-08, worth +60.5bp cumulative over an EFFR of 3.63%, with the trough already behind us at 3.7%. Terminal repriced +38bp on the week even as it eased -10bp on the day, so the weekly direction is unmistakably hawkish. We would not chase the front end here.
If Tuesday's ISM prints above the 55.3 consensus, then the belly extends the hike premium further and we add; until then, we wait before extending duration exposure. This changes nothing for our short-duration stance today.
Bottom Line
Short-duration stays our call, the 2-year pinned at 4.2% with no cut priced anywhere on the strip.
The crude cap extends as the SPX-crude correlation deepens to -0.55 and works as our equity hedge.
IG carry keeps fading panic with OAS at 79bp, still below the 90bp mean that would flip the regime.
Gold specs at 56.9% of open interest watches the crowded long unwind after the 3.38% weekly drop.
The September hike at 62% odds waits on Tuesday's ISM before we extend the belly.
The Week Ahead
Monday's Dallas Fed Manufacturing (prev 1.3): a bounce keeps the resilient-demand read; a sharp negative print backs the Chicago PMI wobble and softens our hawkish lean.
Tuesday's ISM Manufacturing (cons 55.3, prev 55.6): a beat above 55.3 extends the belly and confirms hikes; a miss below 55 challenges the September pricing and stalls our add.
Tuesday's JOLTs Job Openings (cons 7.39, prev 7.359): openings above 7.39 keep the hawk intact; a slide keeps the labour crack alive and caps duration downside.
Wednesday's ADP Employment (cons 47, prev 44): a print above 47 supports the no-cut strip; a sub-40 miss reopens the employment side Warsh dismissed.
Wednesday's Factory Orders (cons 0.6%, prev -0.3%): 0.6% or better confirms demand holds and the crude cap stays our hedge; a negative print tilts us to trim.
Tradeable Levels
Floor-trader pivots off the last completed session (2026-08-28 / 2026-08-30), with the 14-day average true range as the day's expected travel. Levels marked * sit inside 0.6 x ATR of the close, which is the band the session usually reaches. These are reference geometry drawn from the market's own range, not a directional call.
Vol Screen · Rich and Cheap Implied Vol
Positive IV-RV = options priced rich to what the tape is delivering (UNG and AVGO richest today); negative = vol going cheap (AMZN and NVDA). Percentile ranks unlock at 60 archived sessions per name · currently 42/60 · the archive deepens automatically every build.
The Measured Books · Monday Edges
Five rules, each backtested on the desk's own data before it may speak; rules that failed the measurement are named as context, never traded.
E1 · Slow trend (12-1) · live on equities and crypto only (measured noise elsewhere): FTSE 100 LONG · US Energy LONG · Semiconductors LONG · Russell 2000 LONG · Nikkei 225 LONG · Dow Jones LONG · +9 more
E2 · FX carry · signal only when the policy differential is 1%+ wide: EUR/JPY LONG (+27.24%) · EUR/GBP LONG (+24.51%) · EUR/USD LONG (+24.49%) · USD/CHF LONG (+3.75%) · AUD/JPY LONG (+3.35%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum) · slope 47bp, +1bp over 63 sessions → 63d trend STEEPENER (shorter-horizon state can differ · see appendix) · long 2Y (ZT) / short 10Y (ZN), roughly 2: 1 DV01
E4 · Variance risk premium · POSITIVE, harvest is on (long SPX) · 38th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.78tn, -93bn over 13 weeks → falling, a headwind
Disclaimer
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.
Glad these are back!
👏👏👏 absolutely top notch