The Lens / Archive / 2026-08-05Cross-asset conditions, 5 August 2026 The dated record: each asset class ranked by how much it mattered, with what actually moved. Written by the lens engine on the day; preserved as published.
cross-asset activity 0.69× the norm
Equities moved more than anything else. Momentum factor swung from -14.4% to -3.6% on the month, its biggest move since July 7. RSP vs S&P, 200-day went from 0.03 to -0.00. Sector rotation velocity went from 7.53 to 1.89. Forward EPS went from 288 to 304. Five of its nine groups moved at once. A third straight session at the top.
Factor returns Momentum factor swung from -14.4% to -3.6% on the month, its biggest move since July 7. Low-vol factor moved from +3.9% to -1.5%.Market breadth RSP vs S&P, 200-day went from 0.03 to -0.00, 5.0 times its normal pace. Equal-weight vs cap-weight S&P went from 0.30 to 0.29.Sector rotation Sector rotation velocity went from 7.53 to 1.89, its biggest move since March 2025. Sector dispersion went from 0.04 to 0.02.Forward earnings Forward EPS went from 288 to 304, its biggest move since March 2. Forward EPS revisions went from 0.02 to 0.06.Valuations Shiller CAPE held at 42.28 at the latest reading. Equity risk premium moved from +11.8% to +128.7%.Equity volatility Implied minus realized vol went from 10.25 to 1.95, its biggest move since April 14. VIX moved from +245.0% to -69.0%.Index performance S&P 500 1-month return swung from -1.7% to +2.9% on the month, its biggest move since July 13. S&P daily return moved from -1.5% to -0.2%.Positioning & sentiment No fresh reading in this group.Financial conditions & risk appetite No fresh reading in this group. Rate realized vol moved from +55.6% to +67.4%.A busy day in volatility. The oil vol premium moved from +7.2% to -15.0%, its biggest move since May 19. The GVZ/VIX ratio went from 1.19 to 1.62.
Vol risk premium The oil vol premium moved from +7.2% to -15.0%, its biggest move since May 19. S&P realized vol moved from +10.4% to +13.9%.Stress concentration The GVZ/VIX ratio went from 1.19 to 1.62, its biggest move since March 11. Vol complex co-movement went from +0.43 to +0.41.Implied vol complex The vol complex gauge went from 86.11 to 57.51, its biggest move since October 2025. VIX moved from +245.0% to -69.0%.Stress gauges & regime No fresh reading in this group. The financial-conditions composite went from -0.64 to -0.53.A busy day in FX. Dollar-yen realized vol moved from +4.2% to +9.1%, 16.9 times its normal pace. NZD/USD extended to +3.3% on the month (from +2.3%).
FX volatility Dollar-yen realized vol moved from +4.2% to +9.1%, 16.9 times its normal pace. Aussie-dollar realized vol moved from +5.3% to +6.9%.Carry NZD/USD extended to +3.3% on the month (from +2.3%).Major pairs USD/JPY swung from +1.2% to -2.7% on the month, its biggest move since March 19. USD/CAD moved from -0.7% to -1.4%.Emerging markets Dollar-lira realized vol moved from +0.9% to +1.1%, 3.2 times its normal pace. Dollar-rand realized vol moved from +11.9% to +12.9%.Dollar The dollar moved from -0.6% to -0.2%. The broad dollar index went from 121 to 120.Futures positioning No fresh reading in this group.Only one thing moved in commodities. Gold realized vol moved from +20.3% to +27.5%, its biggest move since June 16.
Metals Gold realized vol moved from +20.3% to +27.5%, its biggest move since June 16. Gold moved from $4,035 to $4,307.Commodity volatility Oil vol moved from 68 to 51, its biggest move since July 17.Energy Crude moved from $84.5 to $75.0, 3.6 times its normal pace.Roll yield & carry Oil futures roll drag went from +1.4pt to -1.0pt, 3.5 times its normal pace. Copper futures roll drag sits at +0.1pt.Broad commodities The broad commodity ETF moved from $29.4 to $28.5. The broad commodity ETF realized vol moved from +23.9% to +25.7%.Agriculture Wheat eased to +5.7% on the month (from +16.0%).ETF flows Crude (USO) swung from +20.8% to +5.5% on the month.Futures positioning No fresh reading in this group.Little happened in credit.
Default cycle & lending Corporate charge-off rate held at 0.59% at the latest reading.Spread complex LQD ETF flows went from 0.03 to 0.78. AAA credit moved from 0.46% to 0.39%.Total returns No fresh reading in this group.Crypto was quiet. Nothing moved beyond its normal range. The nearest mover was the Ethereum ETF realized vol, from +46.2% to +39.8%.
Crypto volatility The Ethereum ETF realized vol moved from +46.2% to +39.8%. Ethereum realized vol moved from +39.8% to +35.9%.Cross-asset linkage Bitcoin-gold co-movement went from +0.45 to +0.50. Bitcoin beta to the S&P went from +1.14 to +1.08.Market structure The ETH/BTC ratio (1-month change) eased to +5.7% on the month (from +11.4%). Stablecoin supply went from 307 to 306.Performance Ethereum eased to +8.4% on the month (from +21.6%). The Ethereum ETF moved from +16.3% to +7.2%.Network activity No fresh reading in this group. Bitcoin active-address growth moved from -2.7% to +31.5%.Futures positioning No fresh reading in this group.No news in macro.
Fiscal position Debt-to-GDP held at 123% at the latest reading. That is its highest level in about six months.Inflation Headline CPI held at 333 at the latest reading.Housing Housing starts held at 1.4m at the latest reading.Household credit & cash flow Debt service ratio held at 11.16 at the latest reading. That is its lowest level in about six months.Liquidity & financial conditions The dollar moved from -0.6% to -0.2%.Growth Real GDP held at $24.27tn at the latest reading. That is its highest level in about six months.Labor market Payrolls held at 159.0m at the latest reading. That is its highest level in about six months.A calm day in rates. Every group stayed inside its usual pace. The nearest mover was the 1-3y Treasury ETF realized vol, from +1.7% to +1.5%.
Term premium & duration The 1-3y Treasury ETF realized vol moved from +1.7% to +1.5%. Long-Treasury ETF realized vol moved from +9.2% to +8.3%.Fiscal & stock-bond context Net interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.Flows & positioning ETF flows went from -1.11 to -0.84. TLT ETF flows went from -1.54 to -0.27.Yield curve No fresh reading in this group. 30-year Treasury yield moved from +22.0% to +19.0%.Curve slope No fresh reading in this group. The 10s-3mo curve moved from 0.71% to 0.74%.Real yields No fresh reading in this group. 10-year real yield sits at -3.0%.Inflation expectations No fresh reading in this group. 10-year breakevens moved from -1.0% to -4.0%.Rates volatility No fresh reading in this group. Rate realized vol moved from +55.6% to +67.4%.Policy path No fresh reading in this group. Priced odds of a hike next meeting went from 83.05 to 76.43.