1. Rates & cost of capital
UST 2Y 4.88% (-1 bp d/d, +3 bp over 5 sessions), 5Y 5.09% (+3 bp, +10 bp), 10Y 5.29% (+3 bp, +18 bp), 30Y 5.64% (+5 bp, +24 bp). 10Y real 2.93% (+2 bp, +17 bp), 10Y breakeven 2.36%, 2s10s 41 bp (prior 37). The bear steepening continued: the front end held after the soft PCE while the long end rose on strong growth data. Almost all of the five-session rise in the 10Y is real yield, the main source of pressure on long-duration assets such as the Nasdaq-100.
2. Fed
Target range 3.75-4.00% after a 25 bp hike on Sep 16. The three-meeting rate path from fed funds futures settlement is n/a (CME data unavailable from the cloud), so the component is excluded. CME FedWatch at the Sep 30 close, as reported by Babypips, put the probability of a 25 bp hike on Oct 28 at 34.9%, down from 70.9% a week earlier (secondary source; not scored). Goolsbee spoke after the close; remarks n/a (not verified). An October hike is no longer the market's base case, but this is a delay of tightening rather than easing — long rates kept rising. The next test is payrolls on Oct 2.
3. Valuation & equity risk premium
S&P 500 forward P/E 19.2 (FactSet, as of Sep 24; 5-yr avg 19.8, 10-yr avg 19.0; next edition Oct 2), forward earnings yield 5.21%. ERP (EY − 10Y) -0.08 pp (prior -0.05); EY − real 10Y +2.28 pp. Nasdaq-100 forward P/E: n/a (no verified source for the date). Equity earnings yields now sit below the 10-year Treasury yield, leaving valuation dependent on earnings growth.
4. Earnings
FactSet (Sep 25 edition; no new data) expects S&P 500 EPS growth of 29.1% in Q3, 26.8% in Q4, 32.0% for CY2026 and 15.4% for CY2027. Forward 12-month EPS is up 8.9% since June 30 vs 7.4% in the Aug 28 edition — a four-week revision of +1.40%. Q3 guidance: 44 negative, 72 positive; 9 companies have reported, 7 beating on EPS. Nasdaq-100 aggregate revisions: n/a. After the close, Micron reported FQ4 revenue of $54.23bn and adjusted EPS of $33.42, guiding FQ1 to $60–63bn and $37.15–39.15, above consensus (GuruFocus, Micron release) — support for AI-memory demand within the Nasdaq-100; price reaction falls outside the session.
5. Credit
HY OAS 308 bp, IG OAS 84 bp (FRED, latest Sep 29). HY +6 bp on the day, +40 bp over 5 sessions and +45 bp over 20; IG +7 bp and +4 bp. Credit confirms tighter financial conditions rather than the relief the soft PCE might have implied.
6. Commodities & dollar
Session settlements for Brent and WTI are n/a (exchange data unavailable). Media reports (futures, unverified): Brent +1.9% to $98.03 (AP), WTI $90.42, +1.16% (Investrade). The scorecard uses EIA spot via FRED, dated Sep 29: Brent $113.96 (Sep 28: $119.97), +26.97% over 20 sessions; WTI $96.16 (+10.49%). Dated Brent spot and the futures contract are different instruments. DXY: n/a.
7. Macro data
| Release | Actual | Consensus | Prior |
|---|---|---|---|
| PCE, y/y (Aug) | 3.4% | 3.7% | n/a |
| PCE, m/m (Aug) | +0.3% | +0.4%* | +0.1% |
| Core PCE, m/m (Aug) | +0.2% | +0.3% | +0.1% |
| Core PCE, y/y (Aug) | 3.0% | 3.3% | 3.0% / 3.3%** |
| GDP Q2, third estimate, ann. | +2.2% | +1.5% | +1.5% |
| ADP employment (Sep) | +90k | +70k* | +36k |
| Goods trade balance (Aug) | -$132.6bn | -$114.8bn | — |
| Personal spending / income (Aug) | +0.9% / +0.2% | — / +0.4% | — |
| Chicago PMI (Sep) | n/a | 51.2 | — |
\ Consensus differs across sources (PCE m/m +0.3–0.4%, ADP +49–70k). \\* The prior core PCE reading differs between Investrade and Babypips; BEA published its annual methodology update the same day.
An inflation surprise to the downside and a growth surprise to the upside: for rates the latter mattered more — the 2Y was little changed while the 10Y set a new high, which also explains the late equity reversal.
8. Corporate events
S&P 500 -0.25% (7,651.54), Nasdaq-100 +0.23%, Nasdaq Composite +0.24%, Dow -0.86%, Russell 2000 -0.39%. Indices traded higher for most of the day before turning lower in the final minutes (Investrade, AP). The S&P 500 finished September lower, its third losing month in four (AP); XLK was the only S&P sector higher for the month, +5% (Investrade). NDX top 10 by market cap: AAPL +1.10%, SPCX +1.09%, AMZN +1.01%, GOOGL +0.93%, MSFT +0.77%, TSLA +0.56%, NVDA +0.51%, AVGO -1.10%, META -1.84%. Single stocks: MRNA -6.35% (Citi downgrade), CBOE +4.38%, HPE +3.9%, MDB +3.4%. Sector ETF moves: n/a.
9. Fundamental scorecard
| Component | Reading | Score |
|---|---|---|
| ERP (EY − 10Y), pp | -0.08 | -1 |
| 10Y real yield, % | 2.93 | -2 |
| 10Y change, 5 sessions, bp | +18 | -1 |
| NTM EPS revision, 4 weeks, % | +1.40 | +2 |
| HY OAS, 20 sessions, bp (as of Sep 29) | +45 | -1 |
| Fed pricing, next 3 meetings, bp | n/a | excluded |
| Brent, 20 sessions, % (EIA spot, as of Sep 29) | +26.97 | -2 |
| Total (6 of 7 components) | -5 → Moderately Unfavorable |
10. Week ahead (ET)
| Date | Time | Event |
|---|---|---|
| Oct 1 | 8:30 / 10:00 | Jobless claims; ISM Manufacturing (Sep) |
| Oct 2 | 8:30 | Nonfarm payrolls (Sep) |
| Oct 2 | 10:00 | Factory orders (Aug) |
| Oct 2 | TBA | Logan; FactSet Earnings Insight |
| Oct 5 | 10:00 | ISM Services (Sep) |
| Oct 6–7 | — | n/a (not confirmed) |
| Oct 16 | — | Monthly OPEX |
| Oct 28 | 14:00 | FOMC decision |
11. What Would Change the Regime
- If the five-session rise in the 10Y exceeds +20 bp (now +18 bp), then the rates component returns to -2 and the total to -6 — Unfavorable.
- If four-week NTM EPS revisions in the Oct 2 FactSet edition slow below +1%, then the only positive component drops to +1 and the total to -6.
- If the 20-session change in HY OAS falls below +25 bp, then the credit component improves to 0 and the total to -4.
- If fed funds futures settlement becomes available and prices more than +10 bp over three meetings, then the Fed component enters at -1 or -2 and returns the regime to Unfavorable.
Sources
- U.S. Treasury — daily par nominal and real yield curves
- FRED — ICE BofA HY and IG OAS, Fed target range, EIA Brent and WTI spot
- FactSet Earnings Insight, Sep 25 and Aug 28, 2026
- Investrade Market Review, Sep 30, 2026
- TheStreet and AP (via BNN Bloomberg), Sep 30, 2026
- Babypips, Oct 1, 2026 (CME FedWatch reference)
- GuruFocus — Micron FQ4 2026 results
- Kiplinger weekly economic calendar
Model-based estimates (gamma exposure, dealer positioning) are labeled as such and are not observed positions. This report describes market conditions and is not investment advice.