MGLens

Cross-asset conditions, 6 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

#1Equities

Most of the day's movement came from equities. Momentum factor eased to -5.1% on the month (from -12.3%), 5.5 times its normal pace. Forward EPS went from 292 to 303. RSP vs S&P, 200-day went from 0.02 to -0.00. Shiller CAPE moved hard. Four of its nine groups moved at once.

  • Factor returnsMomentum factor eased to -5.1% on the month (from -12.3%), 5.5 times its normal pace. Low-vol factor moved from +2.1% to -0.7%.
  • Forward earningsForward EPS went from 292 to 303, 3.6 times its normal pace. Forward EPS revisions went from 0.04 to 0.05.
  • Market breadthRSP vs S&P, 200-day went from 0.02 to -0.00, 3.0 times its normal pace. Equal-weight vs cap-weight S&P went from 0.29 to 0.28.
  • ValuationsShiller CAPE held at 42.19 at the latest reading. Equity risk premium moved from -34.6% to +2.5%.
  • Sector rotationSector rotation velocity went from 4.57 to 2.28, 3.1 times its normal pace. Sector dispersion went from 0.06 to 0.02.
  • Equity volatilityS&P realized vol moved from +11.6% to +13.8%. Implied minus realized vol went from 5.47 to 1.32.
  • Index performanceFTSE 1-month return eased to +3.6% on the month (from +4.0%). S&P daily return moved from +1.7% to -0.2%.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +57.9% to +63.6%.

#2FX

A busy day in FX. Dollar-yen realized vol moved from +4.2% to +9.2%, its biggest move since May 2024. NZD/USD extended to +3.4% on the month (from +2.2%).

  • FX volatilityDollar-yen realized vol moved from +4.2% to +9.2%, its biggest move since May 2024. Aussie-dollar realized vol moved from +5.2% to +6.5%.
  • CarryNZD/USD extended to +3.4% on the month (from +2.2%).
  • Major pairsUSD/JPY swung from +0.4% to -2.4% on the month. USD/CAD moved from -1.2% to -1.3%.
  • DollarThe dollar moved from -1.0% to +0.4%. Aussie-S&P co-movement sits at +0.00.
  • Emerging marketsDollar-lira realized vol moved from +1.0% to +1.1%. The EM dollar index went from 129 to 128.
  • Futures positioningNo fresh reading in this group.

#3Volatility

Volatility had a single story. The vol complex gauge went from 76.19 to 54.86, 3.5 times its normal pace.

  • Implied vol complexThe vol complex gauge went from 76.19 to 54.86, 3.5 times its normal pace. Long-bond implied vol (VXTLT) went from 13.19 to 12.10.
  • Vol risk premiumThe oil vol premium moved from +3.4% to -8.6%, 3.1 times its normal pace. S&P realized vol moved from +11.6% to +13.8%.
  • Stress concentrationThe GVZ/VIX ratio went from 1.43 to 1.64. Vol complex co-movement went from +0.43 to +0.40.
  • Stress gauges & regimeNo fresh reading in this group. The financial-conditions composite went from -0.64 to -0.53.

#4Crypto

Crypto had a single story. The Ethereum ETF realized vol moved from +44.5% to +38.2%.

  • Crypto volatilityThe Ethereum ETF realized vol moved from +44.5% to +38.2%. Ethereum realized vol moved from +39.4% to +34.9%.
  • Cross-asset linkageBitcoin-S&P co-movement went from +0.46 to +0.44. Bitcoin-gold co-movement sits at +0.50.
  • PerformanceThe Ethereum ETF eased to +9.8% on the month (from +22.0%).
  • Market structureThe ETH/BTC ratio (1-month change) eased to +5.7% on the month (from +10.5%). Stablecoin supply sits at 306.
  • Network activityNo fresh reading in this group. Bitcoin active addresses went from 485,064 to 519,753.
  • Futures positioningNo fresh reading in this group.

#5Commodities

Commodities had a single story. Wheat moved from $663.5 to $630.5.

  • AgricultureWheat moved from $663.5 to $630.5.
  • Roll yield & carryCopper futures roll drag went from +0.2pt to -1.2pt. Oil futures roll drag went from -0.5pt to flat.
  • EnergyCrude moved from $83.6 to $77.9.
  • Broad commoditiesThe broad commodity ETF eased to +3.8% on the month (from +10.0%). The broad commodity ETF realized vol moved from +24.1% to +25.5%.
  • MetalsGold moved from $4,100 to $4,302. Copper moved from $6.4 to $6.7.
  • Commodity volatilityOil vol moved from 63 to 57.
  • ETF flowsCrude (USO) swung from +19.8% to +5.9% on the month.
  • Futures positioningNo fresh reading in this group.

#6Credit

Little happened in credit.

  • Default cycle & lendingCorporate charge-off rate held at 0.59% at the latest reading.
  • Spread complexLQD ETF flows went from 0.03 to 0.78. AAA credit moved from 0.46% to 0.38%.
  • Total returnsNo fresh reading in this group.

#7Macro

Macro was quiet. Nothing moved beyond its normal range.

  • Fiscal positionDebt-to-GDP held at 123% at the latest reading. That is its highest level in about six months.
  • InflationHeadline CPI held at 333 at the latest reading.
  • HousingHousing starts held at 1.4m at the latest reading.
  • Household credit & cash flowDebt service ratio held at 11.16 at the latest reading. That is its lowest level in about six months.
  • Liquidity & financial conditionsThe dollar moved from -1.0% to +0.4%.
  • GrowthReal GDP held at $24.27tn at the latest reading. The weekly economy index went from 2.87 to 2.42.
  • Labor marketPayrolls held at 159.0m at the latest reading. Initial claims went from 189,000 to 198,000.

#8Rates

A calm day in rates. Every group stayed inside its usual pace.

  • Fiscal & stock-bond contextNet interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.
  • Flows & positioningETF flows went from -1.11 to -0.84. LQD ETF flows went from 0.03 to 0.78.
  • Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.7% to +1.6%. Long-Treasury ETF realized vol moved from +8.6% to +8.5%.
  • Yield curveNo fresh reading in this group. 30-year Treasury yield moved from +34.0% to +12.0%.
  • Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from 0.84% to 0.74%.
  • Real yieldsNo fresh reading in this group. 10-year real yield moved from +0.0% to +1.0%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +6.0% to -1.0%.
  • Rates volatilityNo fresh reading in this group. Rate realized vol moved from +57.9% to +63.6%.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 75.86 to 74.75.

Descriptive research, not investment advice · the live lens · all days