Systematic Macro Models: The Set Up Into PMIs (21/07/26)
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 energy momentum long and faded tech shorts into the Nasdaq's weekly drop, and this morning's prints harden that hot-growth read. IG edged to 79bp from 78bp, still in carry territory, so we keep the September hike as a wait rather than reversing it. The bear flattener flagged on the 20th remains live, and we treat the Iran decision as the main new risk to the energy long.
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
TRUMP EXPECTED TO DECIDE IN COMING DAYS ON EXPANDING MILITARY OPERATIONS AGAINST IRAN, SENIOR US OFFICIAL TELLS FOX
US, ISRAELI OFFICIALS SEE TWO PATHS, A 10-DAY CEASEFIRE TO REOPEN STRAIT OF HORMUZ OR FULL-SCALE WAR, PER AXIOS
US OFFICIAL SAYS IF WAR EXPANDS, STRIKES TO INCLUDE TEHRAN AND NUCLEAR SITES, VIA AL ARABIYA
UK PM BURNHAM APPOINTS JOHN HEALEY AS CHANCELLOR, GILTS AND UK DEFENCE NAMES ON WATCH
EURO STOXX 50 FUTURES DOWN 0.2%, APAC MIXED, CRUDE MILDLY LOWER IN RANGE TRADE
DAY AHEAD, UK JOBS, PSNB, GERMAN AND EU ZEW, US ADP WEEKLY, NBH DECISION, GM AND 3M EARNINGS
The US data run is hot into this decision. The Philadelphia Fed survey printed 41.4 against a 13 consensus, a beat that argues for accelerating factory activity. Our read is that this feeds the front-end hike pricing directly.
Initial jobless claims fell to 208 against a 217 consensus, which keeps the labour market tight enough to hold wage pressure alive. Import prices then rose 0.3% versus a -0.7% expectation, so imported disinflation has stalled. We treat the growth and inflation mix as one-directional for the Fed.
The Tape
Leadership was defensive and heavy on the day. Health care led the drag at -0.11pp and discretionary followed at -0.08pp, which tells us the selling hit the highest-beta consumer names first. Energy and tech held green, and that fits our engine's energy long.
Gold rose 1.45% and copper firmed with it, while WTI rallied hard 4.17% on the week. The metals and oil bid together says a reflation and geopolitical premium is building, so we would keep the energy hedge on. SPY implied vol flipped to cheap versus realised, and we would rather own optionality than sell it into the Iran headlines.
The SPX-dollar correlation flipped to -0.06 now from 0.31 a month ago, tagged as a big shift. The dollar has stopped trading with equities, so a long-dollar hedge against stock drawdowns works less well today. We size that hedge down.
IG sits at 79bp against its 92bp mean, which keeps us in the carry and complacency regime. HY at 273bp echoes the same calm. If OAS breaks decisively above the mean, then we treat that as a regime shift and cut credit beta; until then, the spread holds and we stay long carry.
Rates & Fed Pricing
No month on the strip has a cut half-priced, so we drop cut talk entirely. The first fully-half-priced move is a September hike at 72% odds, and we treat that as the anchor of the front end.
November carries a 96% hike, and cumulative tightening builds to +44.5bp at the April 2027 peak. The strip trough is only +3.5bp this July, yet the terminal repriced just -1.0bp on the week despite the hot prints. Our read is the market believes the hikes without chasing them higher.
If Friday's flash PMIs beat the 54.5 manufacturing consensus, then we add to the September view; until then, we hold the wait.
Bottom Line
Energy momentum long holds at 81/100 conviction.
Crude specs at the 19th percentile extend the washout.
The September hike at 72% waits on the data.
IG at 79bp watches for the break above its mean.
Gold up 1.45% fades without fresh Iran escalation.
The Week Ahead
Tuesday, ADP weekly employment (prev 19.75) and German ZEW: a print near trend keeps the September wait, a sharp upside surprise pulls us toward adding the hike.
Tuesday, API crude stocks (cons -1.5): a draw in line keeps the energy long, a surprise build challenges the crude washout thesis.
Wednesday, EIA crude stocks (cons -1.5): a confirming draw holds the energy tape, a build above consensus forces us to trim.
Thursday, initial jobless claims (cons 212, prev 208): a print near 208 keeps the tight-labour read, a jump above 212 softens the hike case.
Friday, S&P Global flash PMIs (manufacturing cons 54.5, services cons 51.5): beats keep us leaning to the September hike, sub-consensus prints put the wait back in charge.
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 5/60 · 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.