Systematic Macro Models: The Geopolitical Bid (20/07/26)
Proprietary systematic macro models · daily signals across rates, equities, FX, commodities and crypto
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
Yesterday we flagged crude momentum at 84/100 conviction as positioning crowding tightened into fifth-percentile spec extremes. Today's spike · Brent +2.4% into news of Iran suspending its MoU commitments and exchanged strikes that killed three US service members · extends that momentum thesis hard. The crude short remains flagged at outsized weekly crowding; we treat the energy-equity hedge as live into a deeper market test of whether this regime holds.
Today's Three · Highest-Conviction Signals
The three signals the desk engines rank highest right now, each with the level that proves it wrong.
US Energy · momentum long, conviction 84/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 55.62; seven consecutive closes back below it kills the call.
Bund 10Y (price dir) · levels in yield · momentum short, conviction 81/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 3.0297; seven consecutive closes back below it kills the call.
Silver · momentum short, conviction 88/100, on for 20 sessions. The trend gate holds while the quote stays below the 21-day average at 60.95; seven consecutive closes back above it kills the call.
Asset Market Pricing
Momentum Book · Sticky Regimes
Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.
Mean Reversion Book · Choppy Regimes
Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.
What's Driving the S&P 500
The S&P 500 is in a choppy regime, so mean reversion is driving it: the fade engine reads bullish with conviction 19/100.
Across the 44-market universe, 20 are trend-driven (momentum) and 24 are range-driven (mean reversion).
Sector Snapshot & Breadth
Main Developments in Macro
IRAN SUSPENDS MOU WITH US; BRENT CRUDE +2.4% ON ESCALATION NEWS
US AND IRAN CONTINUE MILITARY STRIKES; TWO US SERVICE MEMBERS KILLED IN JORDAN, ONE IN IRAQ
US PLANNING FOR WIDER WAR, WASHINGTON POST REPORTS CITING OFFICIAL
APAC EQUITIES MIXED; TECH UNDERPERFORMANCE DRAGS KOSPI LOWER
EUROPEAN EQUITY FUTURES FLAT INTO OPEN
DXY STEADY; ANTIPODEANS LED FX GAINS, CHF AND JPY FLAT
The geopolitical shock landed hard into energy markets overnight. Crude broke higher into the fifth consecutive day of outsized weekly moves · WTI +15.46% on the week · as specs crowded short into a regime shift. We treat this escalation as the catalyst that flushes positioning rather than a pure demand signal; the energy rally has decoupled entirely from growth data and now trades as pure risk-on into war premium.
Equity markets opened mixed despite the oil bid. Tech underperformance weighed on regional indices; our read is that equity shorts in the Nasdaq still face redemptions despite the −4.13% weekly loss, meaning this bounce is forced rather than conviction-driven. We would not chase the energy rally into equities until the tech short flip confirms panic rather than mere rebalancing.
The Tape
Energy and Financials led. XLE contributed +0.04pp as crude surged; US Financials hold momentum conviction at 82/100, with financials offering natural hedges into geopolitical duration unknowns. Comms and Consumer Discretionary lagged hardest (XLC −0.35pp, XLY −0.18pp), typical of risk-off tape into headline shock. This pattern · energy strong, tech weak · says our read is positioning unwind, not rotation into growth.
Cross-asset showed the critical break. SPX versus crude correlation swung from +0.22 to −0.08 over the month · a BIG SHIFT · meaning oil now hedges equity risk again. DXY also decoupled, flipping from +0.32 to −0.04 versus equities, signalling geopolitical risk is priced as a US equity risk factor rather than a dollar bid. VIX9D/VIX3M exploded +36.63% on the week into the outsized skew zone; we watch for whether near-dated vol stays elevated or mean-reverts when headlines cool.
Credit spreads tightened 1bp on the day despite vol noise. IG OAS sits 14bp below the long-run 92bp mean, still in complacency regime. HY holds 271bp. If spreads break above 92bp decisively, we would read it as regime shift into risk-off; until then, we carry this read as a fade into panic.
Rates & Fed Pricing
The strip repriced dovish into geopolitical uncertainty. Terminal repriced −4.5bp on the week as markets priced a wider war and a Fed hold-steady bias. July sits at +3.5bp cumulative above EFFR; August steps to +9.5bp and September to +17.0bp, building out roughly 25bp of cumulative easing priced through year-end. The 2s10s curve added 3bp on the week to 41bp, a steeper long end into duration bid as geopolitical risk is priced as duration tail hedge.
If the curve breaks 50bp decisively steeper, we would read it as panic into recession fears; until then, we hold the read as a rational repricing of Fed guidance into headlines. The 10Y +2.0bp today into VIX rip confirms bond markets treating this as vol spike rather than growth shock. We would not act on curve steepness alone because the economic data has not moved; only actual jobless claims or CPI misses flip this stance.
Bottom Line
Energy momentum extends crude into fifth-percentile crowding; we watch for positioning flush into Tuesday.
Tech shorts fade rallies but not into panic; Nasdaq oversold until VIX9D mean reverts decisively.
Oil hedges equities again after month-long break; duration bid holds until spreads breach 92bp.
Silver tightens conviction at 88/100; wheat short firms at 85/100 into supply unwind through the week.
Dollar holds 100.75 neutral into risk repricing; we wait until Iran escalation settles into actual commodity regime.
The Week Ahead
Tuesday: Canadian Inflation (Jun) · print above consensus tightens BoC hold conviction; below keeps easing door open into geopolitical backstop.
Wednesday: New Zealand Inflation (Q2) · print above 3.0% target tightens RBNZ expectations; below keeps CRB weakness running into commodity unwind thesis.
Vol Screen · Rich and Cheap Implied Vol
Positive IV-RV = options priced rich to what the tape is delivering (USO and AMZN richest today); negative = vol going cheap (TSLA and AAPL). Percentile ranks unlock at 60 archived sessions per name · currently 4/60 · the archive deepens automatically every build.
The Measured Books · Monday Edges
Five rules, each backtested on the desk's own data before it may speak; rules that failed the measurement are named as context, never traded.
E1 · Slow trend (12-1) · live on equities and crypto only (measured noise elsewhere): Nikkei 225 LONG · Semiconductors LONG · Russell 2000 LONG · S&P 500 LONG · Bitcoin SHORT · Ethereum SHORT · +9 more
E2 · FX carry · signal only when the policy differential is 1%+ wide: NZD/USD LONG (+129.10%) · AUD/JPY LONG (+86.91%) · AUD/USD LONG (+84.16%) · USD/CAD SHORT (-84.16%) · USD/CHF SHORT (-84.16%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum) · slope 37bp, -17bp over 63 sessions → FLATTENER · short 2Y (ZT) / long 10Y (ZN), roughly 2: 1 DV01
E4 · Variance risk premium · POSITIVE, harvest is on (long SPX) · 83th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.99tn, +33bn over 13 weeks → rising, supportive for NDX/SPX
Disclaimer
The 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.
What you're doing is so great, keep up man
Amazing effort, thank you