Systematic Macro Models: The Post FOMC Steepener (30/07/26)
Proprietary systematic macro models · daily signals across rates, equities, FX, commodities and crypto
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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 oldest live view, opened three days ago, said the two-year holds our short duration into the FOMC, and this morning it holds at 4.31. The Fed left rates unchanged against a third of a hike priced, yet three dissents and no forward guidance kept August alive at roughly 62%, so the stance survives the hold. We are not changing our read; the crude short remains flagged and gold still extends as our geopolitical hedge.
Today's Three · Highest-Conviction Signals
The three signals the desk engines rank highest right now, each with the level that proves it wrong.
Dollar Index · momentum long, conviction 76/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 101.1; seven consecutive closes back below it kills the call.
US 2Y (price dir) · levels in yield · momentum short, conviction 73/100, new, on for 2 sessions. The trend gate holds while the quote stays above the 21-day average at 4.2332; seven consecutive closes back below it kills the call.
US Financials · momentum long, conviction 92/100, on for 30 sessions. The trend gate holds while the quote stays above the 21-day average at 55.76; 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 23/100.
Across the 44-market universe, 25 are trend-driven (momentum) and 19 are range-driven (mean reversion).
Sector Snapshot & Breadth
Main Developments in Macro
FED HELD 3.50-3.75%, 9-3 VOTE; LOGAN, HAMMACK, KASHKARI WANTED 25BP HIKE
WARSH: FIVE YEARS OF ABOVE-TARGET INFLATION CANNOT BE CURED IN NINE WEEKS, WILL NOT WAVER
US CURVE FLATTENED MODESTLY ON NO GUIDANCE; MONEY MARKETS PUSH BACK TIGHTENING
CENTCOM COMPLETES HEAVY WAVE OF STRIKES ON IRAN; TRUMP SAYS "OUR TURN NOW"
US-OWNED LNG STORAGE UNIT STRUCK BY DRONE AT EGYPT'S DAMIETTA PORT
MSFT +8.9% ON REVENUE BEAT; META -7.5%, ARM -5.7% AS AI TRADE WOBBLES
MOFCOM THREATENS RETALIATION OVER US ROBOT BAN
The hold surprised against a market that had put roughly a third of a hike on the table, and the initial reaction was dovish across gold, equities and the ten-year. The moves in equities, gold and the 10-year Treasury quickly reversed during Warsh's press conference, as he largely reiterated his commitment to restoring price stability and downplayed the significance of the June CPI report. Our read is that a resilient-growth Fed with no guidance keeps the tightening bias intact.
Today brings the growth and inflation test together. GDP advance is seen at 2.1% and core PCE at 0.2% against a prior 0.3%; a cooler core would ease the pressure, but we would not fade the front end on one print.
The Tape
Leadership on the session was defensive and financial. XLV added 0.24pp and XLC 0.18pp, with XLF contributing 0.16pp, while tech dragged with XLK at minus 0.59pp. That mix tells us the rotation is out of the AI complex, and we read healthcare and financials leading as late-cycle behaviour rather than a growth scare.
Cross-asset, the scoreboard flagged a BIG SHIFT in the SPX versus ten-year correlation, now minus 0.23 against minus 0.63 a month ago. The bond hedge is degrading, so we would size equity risk down rather than lean on duration to cushion a drawdown. Crude fell 3.41% on the day even with Iran strikes live, which keeps our flagged short honest until a Hormuz event forces a chase.
Credit stays complacent. IG OAS sits at 81bp against a to-date mean of 92bp, with HY at 281bp, so the litmus reads carry regime. If OAS breaks decisively above 92bp, then we treat it as a regime shift and cut risk; until then, we hold the carry.
Rates & Fed Pricing
The strip prices no cut anywhere, so the whole conversation is about how much more tightening survives. The first month at least half-priced for a hike is August at roughly 62%, and September sits near certain, so our short front-end stance rests on that August print rather than on the July hold. The curve flattened a touch overnight, with the ten-year at 4.70% on the wire as guidance stayed absent.
Cumulative tightening reaches +52.0bp at the June 2027 peak, with the trough of +7.5bp already behind us this month. Terminal barely moved on the day at +0.5bp but repriced 2.0bp lower on the week, so the market trimmed the tail even as the near dates held. If core PCE prints at or below 0.2% today, then we let August ride but stop adding; until then, we stay short the front end into the August meeting.
Bottom Line
August hike at 62% holds our short front-end stance into next month's meeting.
The two-year at 4.31 holds short duration; the July hold changed nothing for us.
Gold at 4035.6 extends as our geopolitical hedge while the bond hedge degrades.
IG at 81bp waits on a decisive break of its 92bp mean before we cut risk.
WTI down 3.41% keeps our flagged crude short honest against live Iran headlines.
The Week Ahead
Thursday's GDP advance (cons 2.1%): a print holding 2.1% keeps our resilient-growth, stay-short read; a sub-1% miss forces us to soften the tightening bias.
Thursday's core PCE (cons 0.2%, prev 0.3%): 0.2% or cooler lets August ride without adding; a reacceleration to 0.4% and we press the front-end short harder.
Thursday's headline PCE year on year (cons 3.7%, prev 4.1%): a fall toward 3.7% supports Warsh's patience; a surprise above 4% and we treat September as locked.
Thursday's initial jobless claims (cons 200k, prev 187k): a rise toward 200k tempers our growth read; a sub-190k print reaffirms it.
Friday's Employment Cost wages (prev 0.8%): a cooling below 0.8% eases the wage-inflation worry we hold; a hotter reading keeps the hike bias firm into September.
Vol Screen · Rich and Cheap Implied Vol
Positive IV-RV = options priced rich to what the tape is delivering (MSFT and META richest today); negative = vol going cheap (TSLA and GOOG). Percentile ranks unlock at 60 archived sessions per name · currently 12/60 · 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.