To The Moon

Review of Last Week's Strategies and Profitability

Welcome to this week's Macro Strategy Weekly. As is our tradition, let's first review the outcomes of the strategies discussed in last week's report:

Macro Strategy Weekly: How to trade Fed-Week Volatility and the Crack-Spread Retreat

Strategy Contributor: @程俊Dream

• US Equities (Nasdaq): Last week's limit orders were not filled, but we are keeping them active. We maintain limit buy orders for the Nasdaq at 26,080 and 24,720 (half position each), with a stop-loss set below 23,000, and target prices at 30,500 and 33,800.

• Gold: We anticipated a rebound last week but lacked an ideal entry point, so we primarily stayed on the sidelines. If a double-bottom breakout materializes, we will look for opportunities to sell at higher levels later.

• Result: Last week's strategies were not triggered.

Strategy Contributor: Ivan Gan @Ivan_Gan

Investors could choose to short put options on US equity index-related underlyings. However, the expiration should ideally be within one week, and the strike price must be far from current index levels (the Nasdaq's normal weekly volatility is about 6%, so it is best to sell options with strike prices more than 10% out of the money). This ensures that even if an unexpected event occurs, implied volatility won't spike too rapidly, aiding in risk control. Specifically:

1. Short Euro futures to bet on a "black swan" rate hike by the Fed, with a stop-loss at 1.15.

2. Sell both call and put index options (Short Strangle). This strategy yielded a 1% profit for the overall account last week and was rolled over for this week. However, options market makers strangely did not provide quotes in the morning, meaning we had to wait for stable pricing before executing. In principle, the option duration should not exceed one week, and the strike price should be ±10% from last Friday's closing price. Strikes too close to the current price can easily be breached by black swan events, triggering stop-losses.

• Result: Strategy 1 (short Euro) was stopped out for a small loss. Strategy 2 (shorting both calls and puts) was profitable, capturing almost the entire premium, though margin requirements were high.

Strategy Contributor: Owen @Owen_trading room

• Strategy 1: The first scenario was a more hawkish-than-expected meeting result, causing the SOX (Semiconductor Index) to break below its lowest top-structure support, while the Nasdaq lost its 20-week moving average and accelerated downward. In this scenario, the market shifts from simple consolidation to a definitive downtrend. This environment favors strategies that profit from rising volatility, such as buying QQQ at-the-money straddles (calls and puts with the same strike) expiring in two weeks. Alternatively, traders could short Nasdaq futures directly. Key futures levels: short from 28,223, stop-loss if it rises above, with a downside target at the 200-day moving average of 26,426.

• Strategy 2: The second scenario was a dovish meeting result, which was highly probable. If the SOX stopped falling and rebounded at key levels, the strategy should shift from defensive long-volatility to a short-strangle structure capitalizing on falling volatility. The underlying is still QQQ: sell calls 10% above the current price and puts 10% below, expiring in one week, to collect premium from declining implied volatility.

• Strategy 3: Short the crack spread. The US-Iran situation made it clear that neither side wanted to escalate the war, making crude oil inherently easier to short. As WTI crude futures fell, the crack spread also began to retreat. Futures traders were advised to short at current levels, with a stop-loss upon breaking above the blue resistance line (around 85.5) and a target of 78.5. Alternatively, go long on the volatility of refiner stocks, such as Marathon Petroleum. If the US-Iran situation reversed and the war reignited or escalated, profits or losses on these strategies needed to be taken promptly.

• Result: The meeting result was less hawkish than expected, aligning with Strategy 2. The QQQ short strangle strategy was profitable, capturing almost all the premium (though margin requirements were high).

• In futures, the Nasdaq short was profitable, but the index rebounded before hitting the target, requiring timely profit-taking. The short crude oil strategy was profitable, hitting the exact target. The short crack spread strategy required a prompt stop-loss due to the reignition of the US-Iran conflict.

Weekly Market Overview

Between July 24 and July 31, 2026, the S&P 500 ETF (SPY) rose by 1.10%. Among the 11 sectors, 4 advanced and 7 declined: Consumer Discretionary (XLY) surged 6.11%; Communication Services (XLC), Financials (XLF), and Consumer Staples (XLP) rose 1.83%, 1.12%, and 1.09% respectively; Health Care (XLV) was flat (-0.01%). Utilities (XLU) dropped 4.19%, while Real Estate (XLRE), Materials (XLB), and Industrials (XLI) fell 1.92%, 1.62%, and 1.54% respectively.

$高科技指数ETF-SPDR(XLK)$ $Communication Services Select Sector SPDR Fund(XLC)$ $金融ETF(XLF)$ $消费品指数ETF-SPDR主要消费品(XLP)$ $健康照护类股ETF-SPDR(XLV)$ $公共事业指数ETF-SPDR(XLU)$ $材料ETF(XLB)$ $工业指数ETF-SPDR(XLI)$ $费城半导体指数(SOX)$ $英伟达(NVDA)$ $南方两倍做多海力士(07709)$ $SK海力士(SKHY)$ $美光科技(MU)$

Valuations: Consumer Valuations Heat Up, Tech and Industrials Remain Elevated

The latest sector valuation table shows trailing P/E ratios for Information Technology, Real Estate, and Industrials at 34.42, 32.28, and 31.71, respectively. Industrials appear highly valued across 5-year, 10-year, and 20-year horizons; Tech remains expensive on a 10-year and 20-year basis. Consumer Discretionary's P/E climbed from 28.79 to 30.16, shifting to overvalued on a 5-year and 10-year basis. Although Real Estate has a high P/E, historical comparisons across all three timeframes show it as undervalued. Communication Services remains the cheapest at 15.39x.

The S&P 500's rolling P/E ratio rose from 28.53 last week to 28.84, remaining above its 10-year average of roughly 25.2. The index's rebound has reignited valuation pressure.

Negative Yield Spread Widens Under Rate Constraints

Based on a 28.84x P/E, the S&P 500 earnings yield is approximately 3.47%. In July, the 10-year US Treasury yield averaged about 4.60%. The spread between the two is roughly -1.13 percentage points, weakening further from last week's -1.07 percentage points. On July 31, the 10-year Treasury yield rose to 4.75%; using that daily figure, the spread drops to -1.28 percentage points. The simultaneous occurrence of a rising index, expanding valuations, and climbing long-end rates means the static earnings compensation for stocks remains below the risk-free rate. If earnings upgrades fail to keep pace with price gains, high-valuation sectors will become increasingly sensitive to interest rate and earnings fluctuations.

Insights from Community Experts

@程俊Dream Stock Market Correction May Be Over, but It’s Too Early to Call a Rally

Compared to the S&P 500 and the Dow, the Nasdaq is clearly the index that has surrendered the most gains during this corrective phase. Driven by the same underlying forces, it is unsurprising that the AI and tech sectors, acting as the epicenter, have dragged the index down.

However, the actual depth of the pullback has not even touched the 61.8% retracement level. This underscores that, compared to Japanese and Korean markets, the US stock market's leadership and stability remain unshakeable. It also reconfirms that as long as the flagship US market doesn't collapse, panic in any other market cannot trigger a substantive global crash.

$纳指100ETF(QQQ)$ $纳斯达克(.IXIC)$ $NQ100指数主连 2609(NQmain)$ $微型NQ100指数主连 2609(MNQmain)$ $标普500(.SPX)$ $标普500ETF(SPY)$ $SP500指数主连 2609(ESmain)$ $微型SP500指数主连 2609(MESmain)$ $道琼斯(.DJI)$ $道琼斯指数主连 2609(YMmain)$ $微型道琼斯指数主连 2609(MYMmain)$ $道琼斯ETF(DIA)$

Beyond robust technicals, the news flow has been predominantly positive. Over the weekend, Trump's stance on Iran took a dramatic turn, and oil prices gapped down significantly at Monday's open, indicating that Middle East issues are struggling to dent risk appetite.

On monetary policy, Waller offered no surprises exceeding market expectations. We still lean towards the view that actual US rate hikes won't materialize until the end of the year (Q4 at the earliest).

With these multiple forces at play, while it may be too early to declare the uptrend has resumed, the downward momentum has clearly slowed. Going forward, we only need to monitor the other two major indices; if they continue to hit all-time highs, it is only a matter of time before the Nasdaq catches up.

Macro Strategy Refinement:

• Euro Futures: The previous long position was filled at 1.1420. With last week's momentum, we are trailing the stop-loss up to 1.1370. Targets remain unchanged at 1.1770 and 1.2420 (half position each).

• Crude Oil: As prices hit 70, all pending long orders have been filled with an average price of 75. Although the prior rebound was strong, it failed to hit the first target, and we anticipate range-bound trading in the short term. We will stick to the existing plan for now and may raise the stop-loss later. Currently, the stop-loss is set at 60, with targets at 95 and 115 (half position each).

@Ivan_Gan：Will NFP Shift Rate Hike Expectations?Is a New Wave of Market Volatility Coming?

Last week, the US paused its attacks on Iran, which the market used as an excuse for a sharp rally. This trading pattern—where any drop in US stocks brings out a Trump "taco" tweet—makes it very difficult to find trend-following opportunities in US indices. Technically, last week's Nasdaq rebound still failed to breach the 20-day moving average, so it cannot be defined as a trend reversal.

Bulls should wait for a confirmed breakout before stepping in. If the Non-Farm Payrolls (NFP) data exceeds expectations, it could drastically increase the odds of a September rate hike, in which case the equity market might not react well. It is better to trade based on technical indicators, which makes risk management easier. If the probability of a hike rises, it will heavily impact the Nasdaq (due to higher corporate financing and buyback costs), but it won't necessarily harm traditional sectors (as it signals a strong economy and expectations of a traditional economic recovery). Investors bullish on US equities might consider diversifying into the S&P, Dow, and Russell indices for a smoother ride.

Gold remains weak due to rate hike expectations, but the 20-month moving average support holds, meaning the foundation for a rebound is still intact—it’s just unfolding slower than expected. Heading into August, the 20-month MA support has shifted up to around 3,900.

The NFP data will likely dictate gold's short-term direction, so patience is key. Technically, gold is hovering around its 5-week and 20-day moving averages, so being overly bearish is not advisable. Even if news drives it below 4,000 temporarily, a minor positive catalyst could easily spark a V-shaped recovery near 3,900. If it hits a new low, buying call options to bet on a V-shaped rebound offers a good risk-reward profile, limiting potential losses.

Macro Strategy Refinement:

This week is the first week of the month. Given the heavy data calendar, trends will be unstable, making conservative trading the norm. Strategy-wise:

1. The breakaway gap in US stock index futures is a crucial benchmark; short-term trend-chasers should use it as a stop-loss. (I rarely chase momentum, so this is for short-term traders' reference.)

2. (3.) Last week's short put strategy was completely profitable, boosting account net asset value by 1.7%. Following the principle of caution ahead of major data, I do not plan to trade this week. Those who wish to continue should use small positions and strictly select options that are more than 10% out of the money.

$黄金主连 2612(GCmain)$ $微黄金主连 2612(MGCmain)$ $微黄金主连 2612(MGCmain)$ $黄金ETF-SPDR(GLD)$ $白银主连 2609(SImain)$ $微白银主连 2609(SILmain)$ $迷你白银主连 2609(QImain)$ $白银ETF-iShares(SLV)$ $WTI原油主连 2609(CLmain)$ $微型WTI原油主连 2609(MCLmain)$ $美国原油ETF(USO)$ $天然气主连 2609(NGmain)$

Owen: Real Rally or Bull Trap? Why the Surging Yen Holds the Key to US Stocks？！

The surge in US stocks over the past two days is essentially just a short-term, impulse-driven rebound triggered by short sellers rushing to cover following the dollar index's plunge. Its foundation is weak, and volatility could flare up again at any moment.

Having clarified the true nature of the rebound, we cannot ignore the real hidden dangers brought about by the Bank of Japan's FX intervention. If the Japanese government continues to intervene over the coming weeks to rescue the yen, causing massive fluctuations in the exchange rate, US equities could suffer severely. As we all know, there is a massive global "yen carry trade"—capital that borrows yen at extremely low costs and pivots to buy higher-yielding Western assets, including large quantities of US stocks and Treasuries.

If the yen appreciates sharply beyond expectations, borrowing costs will spike instantly. To meet margin requirements or lock in profits, these investors will be forced to aggressively sell off their Western asset holdings. Almost every time the yen appreciated sharply over the past two years, it was accompanied by a spike in the VIX and severe market turbulence.

Furthermore, the VIX is currently at a relatively low level, and its seasonal trend is historically upward.

Looking back, every Japanese government intervention has resulted in a substantial appreciation of the yen; last week's adjustment was negligible in comparison.

Therefore, the resolve and intensity of the Japanese intervention is a vital "reference indicator" for the future direction of US equities. If the yen continues to surge, it could trigger a vicious wave of selling from the highs in the stock market.

For the USD/JPY currency pair, 155 is a critical resistance level.

Once this breaks and the yen accelerates, we must be highly alert to top-level selling pressure in US equities. It cannot be ruled out that the S&P will replicate its price action from early 2025: chopping sideways, potentially hitting new highs, before suffering another massive smash. We must also reference the S&P's historical trajectory ahead of every November midterm election.

Macro Strategy Refinement:

Since the market is in a weak, high-level consolidation phase and could swing wildly due to yen volatility or geopolitics, we should avoid unilateral directional bets.

• Capturing Volatility Through Straddles/Strangles: Consider redeploying a straddle/strangle strategy on the QQQ (Nasdaq 100 ETF) near the S&P's previous highs. Buy a put and a call with the same strike price, expiring in two weeks, to bet on the VIX bottoming out. If the market suddenly swings wildly, the profits from soaring volatility will cover the premium costs. Dynamically adjust take-profit/stop-loss based on the VIX. If the S&P accelerates past its high—signaling a total loss of control in upward sentiment—and the VIX continuously breaks support, cut losses decisively.

• 

• Selling Out-of-the-Money Options: In a range-bound environment, continuously roll short positions on QQQ calls and puts about 10% out of the money on a weekly basis to steadily collect premium.

• Diversifying Defensively into Gold: Shift some exposure into gold. Consider rolling short put options below gold's 20-month moving average to capture arbitrage profits, and wait for gold to break out of its sideways range before using futures to catch the rebound.