Systematic Macro Models: The Set Up Into FOMC (29/07/26)
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 running view, that the two-year holds short duration into Wednesday's FOMC, is challenged: the note opened above 4.37 and sits at 4.33 this morning. We defend it because the strip still prices an August hike near 70% and a September hike near certain, so the front end stays a sell into the meeting. The crude short remains flagged, and gold at 4042.5 continues to carry our geopolitical hedge now that its yield link snapped.
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 82/100, new, on for 1 session. The trend gate holds while the quote stays above the 21-day average at 4.2297; seven consecutive closes back below it kills the call.
Dollar Index · momentum long, conviction 80/100, new, on for 0 sessions. 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.
EUR/USD · momentum short, conviction 76/100, new, on for 2 sessions. The trend gate holds while the quote stays below the 21-day average at 1.1417; seven consecutive closes back above 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 33/100.
Across the 44-market universe, 29 are trend-driven (momentum) and 15 are range-driven (mean reversion).
Sector Snapshot & Breadth
Event Watch · FOMC decision today
reference events avg move median closed higher avg abs move
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S&P 500 36 +0.06% -0.02% 42% 1.00%
US 10Y yield 36 -2.4bp -2.2bp 39% 7.0bp
Dollar (DXY) 36 -0.08% -0.08% 44% 0.49%
Gold 36 +0.08% +0.25% 56% 1.01%Into the print the book is long equity beta, short duration, long gold, long USD . Event-day distributions above are close-to-close over the historical set; they describe typical ranges, not a forecast for this release.
Main Developments in Macro
CENTCOM: IRGC FIRED BALLISTIC MISSILES AT US FORCES IN JORDAN, ALL INTERCEPTED; US AND SAUDI STRUCK IRAN-BACKED SITES IN IRAQ
IRAN DEPUTY FM: HORMUZ STAYS CLOSED UNLESS OMAN ACCEPTS TEHRAN'S SHIPPING-LANE TERMS; EUROPEAN SHIPS A "LEGITIMATE TARGET"
TRUMP: IRAN WANTS A DEAL, WILL GET THEM TO "SIGN ON THE DOTTED LINE"; NETANYAHU SAYS FURTHER STRIKES INEVITABLE
KOSPI TRIGGERED CIRCUIT BREAKERS OVERNIGHT AS GLOBAL AI TRADE STAYED UNDER HEAVY PRESSURE; SK HYNIX BEAT NET, MISSED REVENUE
WTI SEP +3.3%, BRENT +2.8% ON HORMUZ HEADLINES; DXY HELD ROUGHLY FLAT DESPITE THE OIL BID AND RISK-OFF TONE
FOMC DECISION, MICROSOFT AND META EARNINGS, FED CHAIR WARSH SPEAK ALL LAND TODAY
The tape carries two engines pulling against each other. Hormuz risk is bidding oil hard this morning while Iran's deputy foreign minister warns the strait stays shut unless Oman yields, yet the same session showed the AI complex cracking, with the KOSPI down 10% overnight and the Nasdaq slipping into correction.
Our read is that growth data has not yet turned. GDP advance is seen at 2.1% and core PCE at 0.2% into Thursday, both consistent with a Fed that keeps tightening rather than one forced to blink.
The Tape
Leadership yesterday came from defensives and cyclicals together while tech lagged. Consumer discretionary added 0.14pp, financials 0.13pp and communication services 0.12pp, while technology dragged the index by 0.29pp. We treat that split as healthy breadth under a weak headline, so we do not chase the Nasdaq weakness as a market-wide signal.
Crude is the cross-asset story. WTI fell 3.41% into last night's close, then this morning's Hormuz bid flipped it 3.3% higher, and the SPX-10Y correlation at minus 0.37 versus minus 0.62 a month ago is flagged as a BIG SHIFT. The bond hedge is degrading, which is why we run gold and shrink equity size rather than lean on duration.
IG sits at 80bp against a 92bp long-run mean, still in the carry regime by the litmus. HY at 279bp confirms no funding stress. If IG breaks decisively above 92bp, then we cut the carry book and add hedges; until then, the carry regime holds.
Rates & Fed Pricing
No cut is priced anywhere on the strip; cumulative pricing never reaches minus 12.5bp, so this is a tightening story. The first month with a 25bp hike at least half-priced is August at roughly 70% odds, and September is effectively fully priced near 100%. We treat the August meeting as the live one and stay short the front end into it.
Cumulatively the strip peaks at 4.175% in April 2027, up 54.5bp versus an effective rate of 3.63%, with the trough already behind us this month. The terminal repriced 9.0bp higher on the week even as it slipped 5.0bp yesterday, so the weekly drift is hawkish despite the daily fade. We read the two-year selling off 15bp over five sessions as the market building in that hike path.
If Warsh signals the September hike is not a lock, then the two-year unwinds and we cover the short; until then, we hold short duration into the announcement.
Bottom Line
The August hike at 70% keeps us short the front end into Wednesday.
The two-year at 4.33 challenges but does not break our short-duration thesis; it holds.
Gold at 4042.5 extends as our geopolitical hedge while the bond hedge fades.
IG at 80bp holds the carry regime and waits on a break of the mean.
The crude short remains flagged, and copper specs at the 88th percentile watch a stretched long.
The Week Ahead
Wednesday's FOMC (consensus 3.75% hold): a hawkish hold with a September lock keeps us short duration; an explicit pause signal reverses the front-end short.
Wednesday's Fed press conference and Warsh: language that endorses the strip's hike path holds the stance; any dovish tilt has us covering into the close.
Wednesday's EIA crude stocks (consensus minus 2.5): a large draw stacked on Hormuz risk extends the oil bid and our gold hedge; a build fades the war premium again.
Thursday's GDP advance (consensus 2.1%): a print at or above keeps the no-cut, tightening read intact; a sub-2% miss challenges it.
Thursday's core PCE (consensus 0.2%): 0.2% or firmer confirms the hike path we are positioned for; a soft 0.1% would force us to reconsider the front-end short.
Thursday's jobless claims (consensus 200k): a print near consensus holds the growth read; a jump toward 220k challenges the tightening case.
Vol Screen · Rich and Cheap Implied Vol
Positive IV-RV = options priced rich to what the tape is delivering (AMZN and MSFT richest today); negative = vol going cheap (TSLA and GOOG). Percentile ranks unlock at 60 archived sessions per name · currently 11/60 · 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.