Cross-asset conditions, 12 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 0.38× the norm
Most of the day's movement came from rates. ETF flows went from -0.84 to 1.75, 4.1 times its normal pace. Net interest to GDP held at 3.15% at the latest reading. A fourth straight session at the top.
- Flows & positioningETF flows went from -0.84 to 1.75, 4.1 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 long-Treasury ETF deepened to -2.3% on the month (from -1.8%). The 1-3y Treasury ETF realized vol sits at +1.5%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -7.0% to -2.0%.
- Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from 0.74% to 0.81%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from 2.4% to 2.43%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -4.0% to -2.0%.
- Rates volatilityNo fresh reading in this group. Rate realized vol moved from +67.4% to +69.0%.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 76.43 to 72.55.
A busy day in commodities. The broad commodity ETF moved from $28.5 to $30.1, 3.5 times its normal pace. Oil futures roll drag went from -1.3pt to +1.5pt.
- Broad commoditiesThe broad commodity ETF moved from $28.5 to $30.1, 3.5 times its normal pace. It still sits near multi-year highs.
- Roll yield & carryOil futures roll drag went from -1.3pt to +1.5pt, its biggest move since July 17. Copper futures roll drag went from +0.6pt to -0.5pt.
- EnergyCrude moved from $75.2 to $82.8, 3.3 times its normal pace.
- ETF flowsThe gold ETF extended to +8.8% on the month (from +3.2%). Crude (USO) moved from +5.5% to +5.9%.
- MetalsGold moved from $4,246 to $4,467, 2.6 times its normal pace. Silver moved from $62.1 to $65.4.
- AgricultureWheat moved from $642.2 to $653.0. It still sits near multi-year highs.
- Commodity volatilityOil vol moved from 51 to 52. Gold vol sits at 26.
- Futures positioningNo fresh reading in this group.
Equities moved on several fronts. Shiller CAPE moved hard. Low-vol factor swung from -1.5% to +1.2% on the month.
- ValuationsShiller CAPE held at 42.24 at the latest reading. Equity risk premium went from 17.28 to 17.61.
- Factor returnsLow-vol factor swung from -1.5% to +1.2% on the month. Momentum factor moved from -5.1% to -3.0%.
- Index performanceThe Stoxx extended to +4.0% on the month (from +2.5%). FTSE 1-month return moved from +2.1% to +2.9%.
- Forward earningsForward EPS revisions went from 0.06 to 0.05. Forward EPS went from 304 to 305.
- Sector rotationCyclicals vs defensives went from 0.04 to 0.02. Sector rotation velocity went from 1.89 to 2.36.
- Equity volatilityVIX moved from -69.0% to -73.0%. SKEW went from 126 to 136.
- Market breadthThe advance-decline line held at +8.0% at the latest reading. RSP vs S&P, 200-day sits at -0.00.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +67.4% to +69.0%.
Only one thing moved in crypto. Bitcoin realized vol moved from +27.6% to +19.7%, its biggest move since June 8.
- Crypto volatilityBitcoin realized vol moved from +27.6% to +19.7%, its biggest move since June 8. Ethereum realized vol moved from +35.5% to +26.5%.
- Cross-asset linkageBitcoin-dollar co-movement went from -0.34 to -0.38.
- PerformanceBitcoin moved from $64,598 to $63,463.
- Market structureStablecoin supply growth eased to -0.5% on the month (from -0.8%).
- Network activityNo fresh reading in this group. Bitcoin active addresses went from 523,906 to 467,215.
- Futures positioningNo fresh reading in this group.
Only one thing moved in FX. NZD/USD eased to +1.7% on the month (from +3.1%).
- CarryNZD/USD eased to +1.7% on the month (from +3.1%).
- Major pairsAUD/USD extended to +2.1% on the month (from +1.3%), its biggest move since July 6. USD/JPY moved from -2.7% to -1.8%.
- Emerging marketsDollar-rupee realized vol moved from +5.8% to +4.2%, its biggest move since June 5. Dollar-lira realized vol moved from +1.1% to +1.3%.
- DollarAussie-S&P co-movement went from +0.00 to -0.04. The dollar moved from -0.2% to +0.2%.
- FX volatilityDollar-yen realized vol moved from +9.0% to +9.7%. Aussie-dollar realized vol moved from +6.7% to +6.5%.
- Futures positioningNo fresh reading in this group.
Only one thing moved in macro. Debt-to-GDP held at 123% at the latest reading.
- Fiscal positionDebt-to-GDP held at 123% at the latest reading. That is its highest level in about six months.
- 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.
- InflationHeadline CPI held at 333 at the latest reading.
- Liquidity & financial conditionsThe dollar moved from -0.2% to +0.2%.
- 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.
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 -0.53, its biggest move since July 16. Credit curve slope moved from 8.56% to 8.63%.
- Total returnsNo fresh reading in this group.
A calm day in volatility. Every group stayed inside its usual pace. The nearest mover was the vol complex gauge, from 69.05 to 53.90.
- Implied vol complexThe vol complex gauge went from 69.05 to 53.90, 2.5 times its normal pace. Gold vol sits at 26.
- Vol risk premiumThe oil vol premium moved from -15.0% to -6.8%. Rate realized vol moved from +67.4% to +69.0%.
- Stress concentrationThe OVX/VIX ratio went from 3.26 to 3.60. The GVZ/VIX ratio went from 1.62 to 1.76.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index went from -2.39 to -2.86.