Systematic Macro Models: The Set Up Into FOMC (27/07/26)
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
Yesterday we said the two-year at 4.37 holds and the near-certain July hike keeps us short duration, and this morning's tape confirms it with the strip still pricing the September hike at 96%. Our WTI-as-equity-hedge thesis, opened three days ago, is the one under pressure: crude tumbled 5.89% on the day as the US paused strikes, though the 3.30% weekly gain and washed-out longs at the 38th percentile keep it alive rather than closed. We are keeping our read on crude, because the geopolitical supply risk that made it a hedge has only been paused for now.
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 2Y (price dir) · levels in yield · momentum short, conviction 84/100, new, on for 0 sessions. The trend gate holds while the quote stays above the 21-day average at 4.2207; seven consecutive closes back below it kills the call.
USD/JPY · momentum long, conviction 86/100, on for 9 sessions. The trend gate holds while the quote stays above the 21-day average at 162.4; seven consecutive closes back below it kills the call.
Bund 10Y (price dir) · levels in yield · momentum short, conviction 89/100, on for 7 sessions. The trend gate holds while the quote stays above the 21-day average at 3.0870; 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 37/100.
Across the 44-market universe, 29 are trend-driven (momentum) and 15 are range-driven (mean reversion).
Sector Snapshot & Breadth
Main Developments in Macro
US PAUSED STRIKES AGAINST IRAN OVER THE WEEKEND AND UNDERPINNED RISK SENTIMENT
WTI SLUMPS BENEATH USD 90/BBL AT THE OPEN; BRENT OFF 4.5%
CENTCOM'S COOPER: NO POINT CONTINUING BOMBING IF DECISION IS NOT TO ESCALATE
HOUTHIS ATTACK ARAMCO FACILITIES AT JIZAN AND YANBU; FEWER THAN 10 SHIPS TRANSITED HORMUZ DAILY
DXY SOFTER, BUNDS GAP HIGHER AS OIL DROP EASES INFLATION PRESSURE
CXMT SOARS OVER 500% ON SHANGHAI STAR MARKET DEBUT, NOW MAINLAND CHINA'S MOST VALUABLE COMPANY
WEEK AHEAD: FOMC WEDNESDAY, PLUS BOE AND BOJ, GERMAN IFO AND US DURABLE GOODS TODAY
The recent US prints lean firm. Initial jobless claims came in at 187 against a 212 consensus, and new home sales at 0.628 beat the 0.61 call while rising from 0.618. Our read is that a labour market this tight gives the Fed no reason to walk back the hike now baked in for Wednesday.
The one soft spot sits in energy inventories. The weekend truce, more than any data, is what dragged crude and yields lower this morning.
The Tape
Friday's session was a technology story. XLK subtracted 0.46pp on a 1.44% fall while financials and communications added roughly 0.11pp and 0.08pp between them, so the tape held flat only because breadth outside the Nasdaq stayed constructive. We treat this as a rotation across sectors rather than a broad risk-off.
Cross-asset, the move that matters is the SPX-versus-10Y-yield correlation flagged BIG SHIFT, now minus 0.37 against minus 0.66 a month ago. As stocks and bonds decouple, the reflex bond hedge against an equity wobble works less cleanly, which is the mechanical reason we keep flagging duration's degrading hedge value. Gold rose 1.34% on the day as the dollar edged lower.
Credit stays inside the complacency regime. IG OAS at 79bp sits below its 92bp long-run mean and was unchanged on the week, with HY at 277bp. If IG breaks decisively above 92bp, then we treat it as a regime shift and hedge accordingly; until then, we stay in carry.
Rates & Fed Pricing
No month on the strip carries a cut half-priced, so the whole conversation is about the hike. The first fully-half-priced move is the August hike at 62% odds, and September is all but done at 96%. Our read is that the two-year rising 21bp on the week, its top of the one-year range, is the market pulling the tightening forward.
Cumulative pricing builds to a strip peak of 4.170% in April 2027, some 54bp above the 3.63% effective rate now, while the trough sits at July's 3.710%. The terminal repriced 7bp higher on the week even as it slipped 7bp today, and our read is that today's dip simply reflects the oil-driven relief while the path holds.
If Wednesday's FOMC delivers the hike with a hawkish hold guidance, then we extend the short-duration stance into September; until then, we hold two-year shorts and respect the systematic momentum SHORT on the US 2Y running at 84 conviction.
Bottom Line
Two-year at 4.37 holds our short-duration stance into Wednesday's FOMC.
September hike at 96% waits for the statement to confirm the path rather than reprice it.
Crude down 5.89% on the truce fades the immediate hedge, but the washed-out spec base keeps the thesis open.
IG at 79bp holds inside carry until a clean break of the mean.
SPX-10Y correlation at minus 0.37 watches, because a degrading bond hedge changes how we size equity risk.
The Week Ahead
Monday's Durable Goods (consensus 1.6%): a beat keeps our firm-growth read and the hike intact; a sharp miss versus the prior minus 4.5 is the first crack that would soften our duration short.
Tuesday's CB Consumer Confidence (consensus 92.1): a print above the prior 91.2 supports the tight-labour story; a drop back below 90 would make us question demand resilience into the Fed.
Tuesday's Case-Shiller Home Prices (consensus 0.8%): holding near the prior 1.1% keeps housing benign; a slide toward zero would flag the rate-sensitive pocket we are watching.
Wednesday's FOMC: a hike with hawkish guidance extends our short-duration stance; a dovish surprise or a hold is what would force us to change the read on the two-year.
Wednesday's BoJ and Thursday's BoE: a hawkish BoJ shift is the yen risk we would hedge; a stand-pat outcome keeps the systematic USD/JPY long running at 86 conviction.
Tuesday's API crude stocks (prev 2.603): another large build alongside the Iran pause fades crude further; a sharp draw revives the supply-risk bid that underpins our hedge thesis.
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 GOOG). Percentile ranks unlock at 60 archived sessions per name · currently 9/60 · the archive deepens automatically every build.
The Measured Books · Monday Edges
Five rules, each backtested on the desk's own data before it may speak; rules that failed the measurement are named as context, never traded.
E1 · Slow trend (12-1) · live on equities and crypto only (measured noise elsewhere): Nikkei 225 LONG · Semiconductors LONG · US Energy LONG · Russell 2000 LONG · Dow Jones LONG · FTSE 100 LONG · +8 more
E2 · FX carry · signal only when the policy differential is 1%+ wide: USD/CHF LONG (+3.75%) · AUD/JPY LONG (+3.35%) · USD/JPY LONG (+2.75%) · GBP/JPY LONG (+2.73%) · USD/CAD LONG (+1.50%) · the edge concentrates in the JPY-funded crosses
E3 · Curve (2s10s momentum) · slope 34bp, -17bp over 63 sessions → 63d trend FLATTENER (shorter-horizon state can differ · see appendix) · short 2Y (ZT) / long 10Y (ZN), roughly 2: 1 DV01
E4 · Variance risk premium · POSITIVE, harvest is on (long SPX) · 79th percentile of its own history
E5 · Net liquidity (WALCL-TGA-RRP) · $5.92tn, +216bn over 13 weeks → rising, supportive for NDX/SPX
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.