Systematic Macro Models: The Hormuz Unwind (05/08/26)
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 said the September hike at 68% waits for today's ISM Services before we size the belly, and the strip has not moved to challenge that. Our oldest thesis, the 2-year holding elevated around 4.23% on firm growth, only firms: the 2-year sits at 4.28% and ISM Manufacturing at 55.6 keeps the short-duration stance intact. The crude-capped thesis is doing its work this morning, so we hold the hawkish rates read and let the oil premium bleed.
Today's Three · Highest-Conviction Signals
The three signals the desk engines rank highest right now, each with the level that proves it wrong.
DAX 40 · momentum long, conviction 86/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 25359; seven consecutive closes back below it kills the call.
EUR/JPY · mean-reversion long, conviction 84/100, new, on for 0 sessions. The fade targets the 21-day average at 184.5 and ends on a touch of it; a further stretch through 180.2 (one more average daily range against it) says the regime has turned and the fade is wrong.
AUD/JPY · mean-reversion long, conviction 76/100, new, on for 0 sessions. The fade targets the 21-day average at 112.6 and ends on a touch of it; a further stretch through 109.8 (one more average daily range against it) says the regime has turned and the fade is wrong.
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 12 days), so momentum is driving it: the trend engine reads bullish with conviction 55/100.
Across the 44-market universe, 27 are trend-driven (momentum) and 17 are range-driven (mean reversion).
Sector Snapshot & Breadth
Main Developments in Macro
AXIOS: US NEARS HORMUZ DEAL, AIMING FOR WEDNESDAY ANNOUNCEMENT; NORTHERN INBOUND LANE THROUGH IRANIAN WATERS, SOUTHERN OUTBOUND THROUGH OMAN
TRUMP: STRAIT "GOING TO BE OPEN VERY SOON," WILL "KNOW IN 48 HOURS ON IRAN"
BRENT FALLS BACK BELOW USD 80/BBL ON HORMUZ PROGRESS; DECLINE ALSO SUPPORTED TREASURIES
FED'S SCHMID: POLICY NOT RESTRICTIVE, INFLATION "TOO HIGH," ENERGY RELIEF "MAY PROVE TEMPORARY"
NIKKEI 225 +3.5% ON SOFTBANK AI STRENGTH; NASDAQ SURGED 3.3% PRIOR SESSION ON PALANTIR
US CENTCOM: SOUTHERN ROUTE THROUGH HORMUZ REMAINS FREE AND OPEN FOR COMMERCIAL VESSELS
SPOT GOLD +1.4% AS DXY STAYS LACKLUSTRE POST OIL TUMBLE
The recent prints read growth firm, inflation sticky. ISM Manufacturing at 55.6 beat the 54 consensus and accelerated from 53.3, with employment back above 50 at 52.8. That is the number that keeps our hawkish read alive.
The soft spots do not change it. JOLTs at 7.359 undershot the 7.4 consensus and Factory Orders fell 0.3% against a 0.2% call, but the Employment Cost Index held at 0.9%, above the 0.8% consensus. We treat sticky wages and resilient survey data as the reason the front end stays priced for a hike.
The Tape
Technology drove the session, adding 0.49pp to the 1.48% S&P day, with Communication Services next at 0.27pp. Leadership is cyclical and AI-led, which fits our fading-growth-scare thesis rather than any defensive rotation.
Across assets, WTI rose 2.29% into the close but is giving it back this morning below 80 on the Hormuz reports. The SPX versus 10Y correlation flipped to -0.20 from -0.53 a month ago, flagged BIG SHIFT; rising yields no longer punish equities the way they did, so we would not hedge duration with stocks here. Gold versus DXY at -0.39 from -0.65 loosened too, and we treat gold as a cleaner standalone hedge now than a dollar mirror.
IG OAS at 80bp sits below the 91bp long-run mean, squarely in carry regime, with HY at 284bp offering no warning. If OAS breaks above 91bp decisively, then we shift to a regime-change stance and stop fading widening; until then, we hold the carry book and fade panic.
Rates & Fed Pricing
No month on the strip has a cut half-priced, so the debate is entirely about the hike. The first month with a 25bp hike at least half-priced is September at roughly 68% odds, and November carries it at 94%. The strip peaks at 4.130% in May 2027, up 50bp cumulative on EFFR, with the near trough at 3.705% in August.
The terminal barely moved, up 0.5bp on the day and 0.5bp on the week, so the repricing this week is about timing rather than height. Schmid calling policy "not restrictive" and warning energy relief may prove temporary is exactly why the front end refuses to fade the hike, even with crude sinking. If ISM Services today prints above the 54.5 consensus, then we size the belly short into November; until then, we hold and let the print set the level.
Bottom Line
IG at 80bp holds the carry regime and we fade panic short of the mean.
September hike at 68% waits for today's ISM Services before we size the belly short.
The 2-year at 4.28% extends our short-duration stance while growth stays firm.
Crude below 80 fades the geopolitical premium and this changes nothing for our hawkish rates read.
The SPX-yield correlation at -0.20 watches the regime shift and we would not hedge equity with duration.
The Week Ahead
Wednesday's ISM Services: above 54.5 keeps us short the belly into November; below 54, and 197 claims strength notwithstanding, softens our size and we wait.
Wednesday's ADP: above the 70 consensus confirms the firm-growth thesis and holds our stance; a print near 0 challenges it and we lighten the front-end short.
Wednesday's EIA Crude Stocks: a draw beyond the -1.5 consensus complicates the Hormuz unwind; a build defends our crude-capped view and we hold.
Thursday's Initial Jobless Claims: near the 202 consensus keeps the labour read balanced; a spike above it is the first crack and we reassess the hike.
Thursday's Unit Labour Costs: above the 2.1% consensus reinforces sticky-inflation and our hawkish read; a soft print undercuts it and we wait on Schmid's successors.
Wednesday's Fed Cook and Thursday's Musalem: a Schmid-aligned hawkish tone holds the September pricing; a dovish pivot fades it and we trim the belly short.
Vol Screen · Rich and Cheap Implied Vol
Positive IV-RV = options priced rich to what the tape is delivering (AVGO and NVDA richest today); negative = vol going cheap (TSLA and MSFT). Percentile ranks unlock at 60 archived sessions per name · currently 18/60 · 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.