Cross-asset conditions, 13 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 0.34× the norm
Rates moved more than anything else. 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.
- 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 eased to -2.0% on the month (from -2.2%). The 1-3y Treasury ETF realized vol moved from +1.6% to +1.5%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +0.0% 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 2.41% to 2.42%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens sits at -1.0%.
- Rates volatilityNo fresh reading in this group. Rate realized vol moved from +63.6% to +67.8%.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 74.75 to 68.34.
Only one thing moved in credit. Corporate charge-off rate held at 0.59% at the latest reading.
- 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. HY-IG spread moved from 1.97% to 1.92%.
- Total returnsNo fresh reading in this group.
A busy day in commodities. Wheat moved from $631.2 to $668.5, its biggest move since July 29. The broad commodity ETF moved from $28.9 to $29.8.
- AgricultureWheat moved from $631.2 to $668.5, its biggest move since July 29. Wheat realized vol moved from +39.3% to +31.6%.
- Broad commoditiesThe broad commodity ETF moved from $28.9 to $29.8. It still sits near multi-year highs.
- Commodity volatilityOil vol moved from 57 to 49. Gold vol moved from 25 to 24.
- ETF flowsThe gold ETF extended to +7.1% on the month (from +4.1%). Crude (USO) moved from +5.9% to +3.0%.
- MetalsGold extended to +8.9% on the month (from +4.2%).
- Roll yield & carryCopper futures roll drag went from -0.5pt to -1.5pt. Oil futures roll drag went from +0.8pt to +1.0pt.
- EnergyCrude moved from $77.3 to $81.2.
- Futures positioningNo fresh reading in this group.
A busy day in equities. Shiller CAPE moved hard.
- ValuationsShiller CAPE held at 42.34 at the latest reading. Equity risk premium went from 17.30 to 17.72.
- Factor returnsLow-vol factor swung from -0.7% to +2.4% on the month, 2.7 times its normal pace. Momentum factor moved from -3.6% to -4.5%.
- Sector rotationCyclicals vs defensives went from 0.04 to 0.01. Sector breadth (50dMA) sits at 0.91.
- Forward earningsForward EPS went from 303 to 307. Forward EPS revisions sits at 0.05.
- Index performanceThe Stoxx eased to +4.5% on the month (from +4.8%). FTSE 1-month return moved from +3.6% to +2.4%.
- Market breadthRSP vs S&P, 200-day went from -0.01 to -0.00. Equal-weight vs cap-weight S&P went from 0.28 to 0.29.
- Equity volatilityVIX held at 15 at the latest reading. SKEW went from 133 to 137.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +63.6% to +67.8%.
Only one thing moved in crypto. Bitcoin realized vol moved from +27.0% to +19.7%, 3.6 times its normal pace.
- Crypto volatilityBitcoin realized vol moved from +27.0% to +19.7%, 3.6 times its normal pace. Ethereum realized vol moved from +35.0% to +26.1%.
- Cross-asset linkageBitcoin-dollar co-movement went from -0.35 to -0.41, its biggest move since June 18. That is its lowest level in about six months.
- PerformanceBitcoin moved from $64,262 to $63,402.
- Market structureStablecoin supply growth eased to -0.4% on the month (from -0.5%).
- Network activityNo fresh reading in this group. Bitcoin active addresses went from 508,237 to 494,924.
- Futures positioningNo fresh reading in this group.
A relationship is shifting in FX. Aussie-S&P co-movement went from -0.00 to -0.05.
- DollarAussie-S&P co-movement went from -0.00 to -0.05. The dollar moved from +0.4% to -0.1%.
- Emerging marketsDollar-rupee realized vol moved from +5.8% to +4.2%, its biggest move since June 5. The EM dollar index moved from -145.1% to -192.5%.
- CarryNZD/USD swung from +3.7% to +0.7% on the month.
- Major pairsUSD/JPY eased to -1.6% on the month (from -2.9%). USD/CAD moved from -1.4% to -0.9%.
- FX volatilityDollar-yen realized vol moved from +9.0% to +9.7%. Aussie-dollar realized vol moved from +6.4% to +6.0%.
- 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 +0.4% to -0.1%.
- 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.
Little happened in volatility. The nearest mover was the vol complex gauge, from 67.24 to 49.80.
- Implied vol complexThe vol complex gauge went from 67.24 to 49.80, its biggest move since July 23. Gold vol moved from 25 to 24.
- Stress concentrationThe OVX/VIX ratio went from 3.78 to 3.37, its biggest move since July 29. The GVZ/VIX ratio went from 1.64 to 1.63.
- Vol risk premiumThe gold vol premium moved from +118.3% to +249.6%. The oil vol premium moved from -8.2% to -10.5%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.36 to -0.70.