Cross-asset conditions, 11 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 0.36× the norm
Rates moved more than anything else. ETF flows went from -0.84 to 1.76, 4.2 times its normal pace. Net interest to GDP held at 3.15% at the latest reading. A third straight session at the top.
- Flows & positioningETF flows went from -0.84 to 1.76, 4.2 times its normal 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.
- Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.6% to +1.5%. The 7-10y Treasury ETF realized vol moved from +4.3% to +4.2%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -5.0% to +7.0%.
- Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from 0.79% to 0.83%.
- Real yieldsNo fresh reading in this group. 10-year real yield sits at 2.43%.
- 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 +62.0% to +71.0%.
- Policy pathNo fresh reading in this group. The priced Fed path (12-month) moved from 4.14% to 4.13%.
Commodities moved on several fronts. The broad commodity ETF moved from $28.3 to $30.0, its biggest move since July 23. Gold moved from $4,095 to $4,428.
- Broad commoditiesThe broad commodity ETF moved from $28.3 to $30.0, its biggest move since July 23. It still sits near multi-year highs.
- MetalsGold moved from $4,095 to $4,428, 4.1 times its normal pace. Silver moved from $60.1 to $64.8.
- EnergyCrude moved from $75.8 to $83.4, 3.2 times its normal pace. Natural-gas realized vol moved from +34.9% to +34.3%.
- Commodity volatilityGold vol moved from 24 to 26. Oil vol moved from 53 to 55.
- ETF flowsThe gold ETF swung from -2.1% to +7.7% on the month. Crude (USO) moved from +11.0% to +6.2%.
- Roll yield & carryCopper futures roll drag went from -1.1pt to -0.4pt. Oil futures roll drag went from +0.4pt to +1.0pt.
- AgricultureWheat moved from $638.5 to $630.5.
- Futures positioningNo fresh reading in this group.
Only one thing moved in volatility. The GVZ/VIX ratio went from 1.42 to 1.70, 2.6 times its normal pace.
- Stress concentrationThe GVZ/VIX ratio went from 1.42 to 1.70, 2.6 times its normal pace. The OVX/VIX ratio went from 3.24 to 3.60.
- Vol risk premiumThe oil vol premium moved from -13.3% to -4.1%. Implied minus realized vol went from 2.53 to 1.88.
- Implied vol complexThe vol complex gauge went from 70.41 to 55.99. Gold vol moved from 24 to 26.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index went from -2.57 to -2.76.
Crypto had a single story. Bitcoin realized vol moved from +27.7% to +19.7%, its biggest move since June 8.
- Crypto volatilityBitcoin realized vol moved from +27.7% to +19.7%, its biggest move since June 8. Ethereum realized vol moved from +35.6% to +26.5%.
- Cross-asset linkageBitcoin-dollar co-movement went from -0.34 to -0.38. Bitcoin-gold co-movement went from +0.51 to +0.50.
- Market structureStablecoin supply growth held at -0.8% at the latest reading.
- PerformanceBitcoin swung from +0.1% to -2.1% on the month.
- Network activityNo fresh reading in this group. Bitcoin active addresses went from 453,096 to 473,315.
- Futures positioningNo fresh reading in this group.
Only one thing moved in FX. NZD/USD eased to +2.1% on the month (from +2.8%).
- CarryNZD/USD eased to +2.1% on the month (from +2.8%).
- Major pairsUSD/CAD deepened to -1.6% on the month (from -1.1%), its biggest move since July 8. USD/JPY moved from -2.4% to -1.9%.
- Emerging marketsDollar-rupee realized vol moved from +5.9% to +4.2%, its biggest move since June 4. Dollar-lira realized vol moved from +1.2% to +1.3%.
- DollarAussie-S&P co-movement went from -0.00 to -0.05. The broad dollar index went from 120 to 119.
- FX volatilityDollar-yen realized vol moved from +9.2% to +9.8%. Aussie-dollar realized vol moved from +6.4% to +6.5%.
- Futures positioningNo fresh reading in this group.
Only one thing moved in equities. Shiller CAPE moved hard.
- ValuationsShiller CAPE held at 42.37 at the latest reading. Equity risk premium went from 15.99 to 17.74.
- Forward earningsForward EPS revisions went from 0.07 to 0.04. Forward EPS sits at 304.
- Factor returnsLow-vol factor swung from -0.8% to +1.4% on the month. Momentum factor moved from -5.1% to -5.9%.
- Index performanceThe Stoxx extended to +4.3% on the month (from +1.4%). Hang Seng 1-month return moved from +11.4% to +7.1%.
- Sector rotationSector rotation velocity went from 1.57 to 2.82. Sector dispersion sits at 0.03.
- Equity volatilityVIX moved from 16 to 15. Implied minus realized vol went from 2.53 to 1.88.
- Market breadthRSP vs S&P, 200-day went from -0.00 to 0.00. Equal-weight vs cap-weight S&P sits at 0.29.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +62.0% to +71.0%.
Credit was quiet. Nothing moved beyond its normal range.
- Default cycle & lendingCorporate charge-off rate held at 0.59% at the latest reading.
- Spread complexHYG ETF flows went from -0.05 to -0.53, its biggest move since July 16. AAA credit moved from 0.39% to 0.4%.
- Total returnsNo fresh reading in this group.
A calm day in macro. Every group stayed inside its usual pace.
- 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.
- 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.
- Liquidity & financial conditionsM2 held at 23,155 at the latest reading. The dollar moved from -0.0% to +0.0%.