Systematic Macro Models: The Oil Rally (24/07/26)
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 held the crude long at 87.80 into the Hormuz binary and kept the rates-firm stance, and this morning's tape confirms both. Our oldest open view, the WTI crude uptrend from Tuesday, stays intact even as crude eased overnight, and the MOVE volatility flag from yesterday remains live. We keep the stance and add nothing.
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 88/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 79.25; seven consecutive closes back below it kills the call.
Brent Crude · momentum long, conviction 84/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 83.62; seven consecutive closes back below it kills the call.
US 10Y (price dir) · levels in yield · momentum short, conviction 90/100, on for 10 sessions. The trend gate holds while the quote stays above the 21-day average at 4.5582; 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 43/100.
Across the 44-market universe, 30 are trend-driven (momentum) and 14 are range-driven (mean reversion).
Sector Snapshot & Breadth
Main Developments in Macro
TRUMP WEIGHS "MASSIVE" STRIKE ON IRAN, CLOSE TO A DECISION; TEHRAN REJECTS 10-DAY HORMUZ CEASEFIRE
CENTCOM: STRAIT OF HORMUZ STAYS OPEN AFTER 13TH NIGHT OF STRIKES; 12 VESSELS REDIRECTED
HOUTHIS HIT SAUDI TANKERS IN RED SEA; EXPLOSIONS REPORTED AT US BASES IN JORDAN AND KUWAIT
ALPHABET AND TESLA MISSES DRAG NASDAQ; GOOGL CAPEX LIFT REIGNITES SPEND FEARS
US TRADE REP GREER LAUNCHES 10%-12.5% "FORCED LABOUR" TARIFFS, OIL AND GAS EXEMPT
INITIAL JOBLESS CLAIMS 187K, TIGHTEST IN NEARLY SIX DECADES
US 10-YEAR YIELD PRINTS FRESH YTD HIGH NEAR 4.70% OVERNIGHT
Claims printed 187 against a 212 consensus, the tightest labour read in nearly six decades. That resilience keeps our no-easing thesis alive. We would not fight it.
Import prices rose 0.3% where consensus wanted a fall of 0.7%, so the disinflation the strip needs is not arriving. We treat this as confirmation of the rates-firm read into Friday's session.
The Tape Consumer discretionary took 0.50pp out of the tape, the largest single drag, on the Tesla miss. Industrials added 0.16pp as the offset, which tells us cyclical leadership rotated rather than broke. The cyclical bid stayed intact.
Crude did the heavy lifting again, WTI up over 11% on the week as the Hormuz premium built. That weekly surge is the move underwriting our long. We stay long.
The stock-bond hedge is degrading, SPX versus the 10-year correlation at -0.33 now against -0.71 a month ago. Duration is a weaker cushion now. We would not lean on a bond rally to protect equity risk here; an oil position does that job better.
IG holds at 78bp against a 92bp long-run mean, the carry-and-complacency regime intact. We keep fading credit scares at this level.
HY at 269bp shows no stress either. If I
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 8/60 · the archive deepens automatically every build.
Positioning Book · Friday COT
market specs net %OI percentile state price 5d
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Wheat -3.8% 85 +5.2%
Soybean Meal 14.5% 75 +3.6%
Corn 7.7% 75 +4.3%
Copper 24.8% 73 +3.2%
Gold 48.7% 63 +3.5%
Silver 23.9% 62 +3.2%
Gasoline RBOB 17.9% 60 +3.4%
Soybean 12.5% 44 +3.2%
Natural Gas -10.7% 35 +1.7%
Heating Oil 3.2% 27 +2.6%
Crude Oil (WTI) 3.3% 19 SPEC LONGS WASHED OUT +10.9%No crowded-and-cracking setups this week · extremes without a price crack are carry, not catalysts.
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.