Systematic Macro Models: The Hormuz Premium (23/07/26)
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 Our WTI crude thesis from Wednesday holds: at 86.23 the geopolitical bid is intact, and washed-out specs still leave room to size up. Today's tape confirms it, with Brent up 2.2% into the European open as the IRGC declared the Strait of Hormuz closed. We keep the energy long, and the crude-uptrend flag stays live.
Today's Three · Highest-Conviction Signals
The three signals the desk engines rank highest right now, each with the level that proves it wrong.
WTI Crude · momentum long, conviction 79/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 78.37; seven consecutive closes back below it kills the call.
Brent Crude · momentum long, conviction 82/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 83.55; seven consecutive closes back below it kills the call.
AUD/JPY · momentum long, conviction 75/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 113.0; seven consecutive closes back below it kills the call.
Asset Market Pricing
Momentum Book · Sticky Regimes
Assets whose regime is sticky (Markov persistence 6+ days): trends run, so the momentum engine sets the direction, and conviction rises with the strength bar.
Mean Reversion Book · Choppy Regimes
Assets whose regime is choppy : trends get faded, so the mean-reversion engine sets the direction against the stretch from the 21-day average.
What's Driving the S&P 500
The S&P 500 is in a sticky regime (Markov persistence 11 days), so momentum is driving it: the trend engine reads bullish with conviction 44/100.
Across the 44-market universe, 32 are trend-driven (momentum) and 12 are range-driven (mean reversion).
Sector Snapshot & Breadth
Main Developments in Macro
IRGC DECLARES STRAIT OF HORMUZ CLOSED, WARNS SOUTHERN ROUTE IS MINED
US CENTCOM STRIKES IRAN FOR 12TH CONSECUTIVE NIGHT, HITTING MARITIME AND MISSILE SITES
TANKER STRUCK OFF SAUDI ARABIA, HOUTHIS SAY THEY HIT TWO SAUDI OIL TANKERS IN RED SEA
BRENT +2.2%, WTI +1.7% AS SUPPLY FEAR BUILDS INTO THE EUROPEAN OPEN
ECB SEEN ON HOLD TODAY, MARKET EYES HAWKISH SEPTEMBER HINTS, LAGARDE SPEAKS
ALPHABET BEATS BUT FALLS 3.3%, TESLA MISSES AND DROPS 4.1% AFTER THE CLOSE
AUSTRALIA EMPLOYMENT SMASHES ESTIMATES AT 76.3K VERSUS 15K EXPECTED
Our read on growth stays firmer than the doom-mongers want. Michigan sentiment printed 54.4 against a 51 consensus, well clear of the line, and housing starts rebounded hard last week. We treat this as a demand base that keeps the Fed's hand free.
Inflation is the harder tell. Import prices rose 0.3% against a consensus of -0.7%, and the oil bid now layers a fresh supply shock on top. That combination is why we read the rate path as firm with no case for easing.
The Tape Leadership tilted defensive. Utilities led the S&P on Wednesday, contributing +0.06pp, with energy adding +0.04pp behind it. That bid rotated toward safety and hard assets on a flat tape.
Health care and communication services did the dragging, each cutting the index. Growth is where the session bled, and we read that as mild caution while the broader tape stays orderly.
Cross-asset, commodities carry the session. WTI rallied hard, up 2.00% on the day and surging on the week, while gold rallied hard by 2.04% as the safety and inflation bids ran together.
The SPX versus dollar correlation now reads -0.09 against 0.24 a month ago, and we flag this as a BIG SHIFT. Equities and the dollar have decoupled this month. So a dollar hedge no longer offsets equity risk, and we treat oil as the cleaner hedge against this tape.
Credit stays complacent. IG OAS sits at 78bp, well inside its long-run mean, which we read as a carry-and-complacency regime, and high yield echoes the calm. If IG breaks decisively above 92bp, then we hedge equity beta; until then, we hold the carry stance.
Rates & Fed Pricing No month on the strip carries a rate cut. The first month with a 25bp hike at least half-priced is August at roughly 62%, while September sits near a lock. Sticky import prices and the oil bid are why the front end keeps building rather than fading.
The strip peaks at 4.175% in April 2027, and the terminal repriced 16bp higher on the week as the geopolitical premium fed through. Our systematic book is short US 5Y and 10Y on high conviction. If August delivers the priced hike, then September's near-lock is confirmed and we add to the tightening tilt; until then, we hold it.
Bottom Line
WTI crude at 86.23 holds, with the Hormuz bid keeping our energy long on.
Gold at 4165.30 extends, though we would not chase the third day higher.
The 100% September hike pricing anchors the tilt, and we watch August for the first leg.
IG at 78bp waits, and only a break above its mean would change the credit read.
VIX at 17.45 fades any equity wobble while the tape stays orderly.
The Week Ahead
Thursday: US Initial Jobless Claims, consensus 212. A print near 208 keeps our
Vol Screen · Rich and Cheap Implied Vol
Positive IV-RV = options priced rich to what the tape is delivering (USO and GOOG richest today); negative = vol going cheap (AAPL and SLV). Percentile ranks unlock at 60 archived sessions per name · currently 7/60 · the archive deepens automatically every build.
Disclaimer
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