Systematic Macro Models: The Iran Bid (22/07/26)
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 kept the energy long as the lead call, and this morning confirms it as spot gold clears 4,100 on the 11th straight night of US-Iran strikes. We hold the energy engine at 81 out of 100. The crude spec washout still waits before we add, and the SPY vol flag stays live, so we treat downside hedges as affordable into today's Mag-7 earnings.
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 81/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 55.83; seven consecutive closes back below it kills the call.
USD/CNH · momentum short, conviction 73/100, new, on for 1 session. The trend gate holds while the quote stays below the 21-day average at 6.7806; seven consecutive closes back above it kills the call.
WTI Crude · momentum long, conviction 66/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 77.40; 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 24/100.
Across the 44-market universe, 28 are trend-driven (momentum) and 16 are range-driven (mean reversion).
Sector Snapshot & Breadth
Main Developments in Macro
CENTCOM: 11TH CONSECUTIVE NIGHT OF US STRIKES ON IRAN; TRUMP THREATENS TO HIT PICKAXE MOUNTAIN NUCLEAR SITE "SOON"
HOUTHIS WARN SHIPPERS TO AVOID SAUDI PORTS; CENTCOM SAYS STRAIT OF HORMUZ STAYS OPEN TO TRAFFIC
WTI +1.3%, BRENT +1.4%, SPOT GOLD BREAKS THROUGH USD 4,100
NASDAQ 100 +1.93% AS TSMC PLANS UP-TO-10% CHIP PRICE HIKES; TAIWAN EXPORT ORDERS +59.4% YEAR ON YEAR
TRUMP: GENERIC DRUG TARIFF ZERO FOR TWO YEARS, THEN 100%, THEN 200%
JAPAN CABINET APPROVES JPY 370TLN INVESTMENT PLAN TO 2040; TRADE DATA BEATS
AHEAD: UK CPI, TESLA AND ALPHABET EARNINGS, GERMAN AND US SUPPLY
The prints lean firmer. Michigan sentiment came in at 54.4 against a 51 consensus, which tells us the consumer is holding up better than feared and gives the front end no reason to soften.
The inflation side backs it. Import prices rose 0.3% against a -0.7% consensus, so disinflation is stalling just as oil bids. Our read is that this growth-plus-sticky-prices mix keeps the strip leaning toward tightening.
The Tape In the 20 July session the S&P edged lower and the drag was defensive: healthcare took off 0.11pp and discretionary 0.08pp. Energy contributed positively. We read that as positioning churn rather than a directional turn in leadership.
Gold rose 1.45% on the day while WTI has rallied hard, up 4.17% on the week, so the geopolitical bid runs across metals and energy. We would keep the energy long as our expression of it.
The S&P-dollar correlation flipped from 0.31 to -0.06. We flag it as a BIG SHIFT. The dollar has stopped tracking equities, which makes an oil hedge against equity risk work cleaner for us now.
On credit, IG sits at 79bp against its 92bp long-run mean. That keeps us in the carry and complacency regime. If it breaks decisively above that mean, then we read a regime shift and cut credit risk; until then, the spread keeps us carrying.
HY at 269bp confirms no stress bid.
Rates & Fed Pricing The strip prices no cut on any month. September is the first month with a hike at least half-priced, at 72%, which we treat as the cleanest read that this is still a tightening cycle.
November firms that to a 96% hike. Cumulative tightening builds to +44.5bp by next April.
The strip peaks at 4.075% then and troughs this month at 3.665%. The curve points to higher policy rates ahead.
The driver is oil. Rising crude stoked inflation fears and Treasuries bear flattened into it. Terminal barely moved, off 1bp on the week, so this week's escalation has not changed the rate destination. If Friday's manufacturing PMI beats 54.5, then we expect the hike path to harden; until then, we hold the energy long as the cleaner geopolitics play.
Bottom Line
Energy long holds at 81 out of 100 as the lead call.
Gold extends its bid through 4,100 as the Iran binary runs.
September hike pricing waits at 72% for Friday's PMIs.
IG at 79bp watches its long-run mean for any regime break.
Crude specs, washed out at the 19th percentile, hold before we add.
The Week Ahead
Wednesday's EIA crude stocks (consensus -1.5 million): a draw keeps the energy long intact; a build echoing the API +2.6 million forces us to trim the add.
Thursday's Initial Jobless Claims (consensus 212k): a print near that keeps the hike path; a jump toward stress cools the strip and our energy conviction.
Friday's flash PMIs (manufacturing consensus 54.5): a beat hardens the November hike and our stance; a miss softens the front end and we lighten.
Wednesday's UK CPI plus today's Tesla and Alphabet earnings: hot prints keep risk bid; misses hand us the downside hedge we flagged.
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 6/60 · the archive deepens automatically every build.
Disclaimer
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