Cross-asset conditions, 7 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 0.70× the norm

#1Equities

Equities moved more than anything else. Forward EPS went from 295 to 305, 3.5 times its normal pace. Shiller CAPE moved hard. Sector breadth (50dMA) went from 0.64 to 0.91. Two of its nine groups moved at once. A fifth straight session at the top.

  • Forward earningsForward EPS went from 295 to 305, 3.5 times its normal pace. Forward EPS revisions went from 0.04 to 0.06.
  • ValuationsShiller CAPE held at 42.12 at the latest reading. Equity risk premium moved from +26.0% to +12.2%.
  • Sector rotationSector breadth (50dMA) went from 0.64 to 0.91, 3.0 times its normal pace. Sector rotation velocity went from 2.82 to 1.95.
  • Index performanceFTSE 1-month return extended to +4.1% on the month (from +2.0%), its biggest move since April 24. S&P daily return moved from +0.7% to +0.6%.
  • Market breadthRSP vs S&P, 200-day went from 0.01 to -0.01. Equal-weight vs cap-weight S&P went from 0.29 to 0.28.
  • Factor returnsMomentum factor eased to -6.4% on the month (from -8.8%). Low-vol factor moved from +0.9% to +0.2%.
  • Equity volatilityS&P realized vol moved from +11.9% to +13.7%. Implied minus realized vol went from 4.12 to 1.17.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +55.5% to +66.4%.

#2FX

FX moved on several fronts. NZD/USD eased to +3.1% on the month (from +3.5%). USD/JPY deepened to -3.0% on the month (from -1.4%).

  • CarryNZD/USD eased to +3.1% on the month (from +3.5%).
  • Major pairsUSD/JPY deepened to -3.0% on the month (from -1.4%), its biggest move since March 19. USD/CAD moved from -1.4% to -1.6%.
  • FX volatilityDollar-yen realized vol moved from +7.8% to +9.0%. Aussie-dollar realized vol moved from +5.9% to +6.4%.
  • DollarAussie-S&P co-movement went from +0.05 to +0.00. The dollar moved from +0.1% to -0.4%.
  • Emerging marketsDollar-lira realized vol moved from +1.2% to +1.4%, 2.5 times its normal pace. USD/MXN moved from -1.2% to -2.5%.
  • Futures positioningNo fresh reading in this group.

#3Rates

Only one thing moved in rates. The 1-3y Treasury ETF realized vol moved from +1.3% to +1.6%, its biggest move since March 3.

  • Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.3% to +1.6%, its biggest move since March 3. The long-Treasury ETF moved from -3.8% to -2.0%.
  • 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 0.30 to 1.07, its biggest move since June 25.
  • Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +1.0% to +6.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.45% to 0.44%.
  • Real yieldsNo fresh reading in this group. 10-year real yield moved from +21.0% to +12.0%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +1.0% to +4.0%.
  • Rates volatilityNo fresh reading in this group. Rate realized vol moved from +55.5% to +66.4%.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 78.27 to 77.95.

#4Volatility

Volatility had a single story. The oil vol premium moved from +3.5% to -9.3%, 3.3 times its normal pace.

  • Vol risk premiumThe oil vol premium moved from +3.5% to -9.3%, 3.3 times its normal pace. S&P realized vol moved from +11.9% to +13.7%.
  • Stress concentrationThe GVZ/VIX ratio went from 1.46 to 1.72, 2.5 times its normal pace. The OVX/VIX ratio went from 3.94 to 3.74.
  • Implied vol complexThe vol complex gauge went from 69.44 to 55.03. Long-bond implied vol (VXTLT) went from 12.79 to 12.28.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index went from -1.92 to -2.59.

#5Commodities

A busy day in commodities. Gold moved from $4,049 to $4,398, its biggest move since June 11.

  • MetalsGold moved from $4,049 to $4,398, its biggest move since June 11. Gold realized vol moved from +21.1% to +26.2%.
  • EnergyCrude moved from $84.7 to $77.0, 2.9 times its normal pace.
  • Broad commoditiesThe broad commodity ETF eased to +4.8% on the month (from +11.3%). The broad commodity ETF realized vol moved from +23.7% to +25.3%.
  • Commodity volatilityGold vol moved from 23 to 26, its biggest move since July 2. Oil vol moved from 63 to 56.
  • Roll yield & carryCopper futures roll drag went from +1.2pt to -0.1pt. Oil futures roll drag went from +1.6pt to +1.4pt.
  • ETF flowsCrude (USO) swung from +25.1% to +8.2% on the month. The gold ETF moved from +0.3% to +5.4%.
  • AgricultureWheat eased to +4.4% on the month (from +8.0%).
  • Futures positioningNo fresh reading in this group.

#6Crypto

Crypto had a single story. The Ethereum ETF realized vol moved from +46.1% to +38.2%, its biggest move since July 14.

  • Crypto volatilityThe Ethereum ETF realized vol moved from +46.1% to +38.2%, its biggest move since July 14. Bitcoin-ETF realized vol moved from +31.2% to +26.4%.
  • PerformanceBitcoin moved from $62,814 to $64,913.
  • Market structureThe ETH/BTC ratio (1-month change) eased to +6.8% on the month (from +7.2%). Stablecoin supply sits at 306.
  • Cross-asset linkageBitcoin-S&P co-movement went from +0.43 to +0.44. Bitcoin-gold co-movement sits at +0.50.
  • Network activityNo fresh reading in this group. Bitcoin active-address growth moved from -11.4% to +6.5%.
  • Futures positioningNo fresh reading in this group.

#7Credit

Credit stayed in range all session.

  • Default cycle & lendingCorporate charge-off rate held at 0.59% at the latest reading.
  • Spread complexHYG ETF flows went from -0.05 to -0.55, its biggest move since July 16. AAA credit moved from 0.43% to 0.39%.
  • Total returnsNo fresh reading in this group.

#8Macro

No news in macro.

  • Fiscal positionDebt-to-GDP held at 123% at the latest reading. That is its highest level in about six months.
  • Liquidity & financial conditionsThe dollar moved from +0.1% to -0.4%. Net liquidity moved from $5.82tn to $5.84tn.
  • 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.
  • GrowthReal GDP held at $24.27tn at the latest reading. That is its highest level in about six months.
  • Labor marketPayrolls held at 158.9m at the latest reading.

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