Cross-asset conditions, 14 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 0.45× the norm
Commodities moved more than anything else. Wheat moved from $639.8 to $689.0, its biggest move since July 17. The broad commodity ETF moved from $28.9 to $30.0. Natural-gas realized vol moved from +29.6% to +34.7%. Oil futures roll drag went from -0.2pt to +1.9pt. Wheat still sits near multi-year highs.
- AgricultureWheat moved from $639.8 to $689.0, its biggest move since July 17. Wheat realized vol moved from +39.0% to +35.9%.
- Broad commoditiesThe broad commodity ETF moved from $28.9 to $30.0. It still sits near multi-year highs.
- EnergyNatural-gas realized vol moved from +29.6% to +34.7%, its biggest move since July 2. Crude moved from $78.2 to $82.3.
- Roll yield & carryOil futures roll drag went from -0.2pt to +1.9pt, 3.0 times its normal pace. Wheat futures roll drag went from -0.9pt to -1.9pt.
- ETF flowsThe gold ETF extended to +10.0% on the month (from +5.4%), its biggest move since July 1. Crude (USO) moved from +8.2% to +6.1%.
- MetalsGold extended to +11.1% on the month (from +5.1%), its biggest move since June 30. That is its highest level in about six months.
- Commodity volatilityOil vol moved from 56 to 50. Gold vol moved from 26 to 24.
- Futures positioningNo fresh reading in this group.
Volatility had a single story. The vol complex gauge went from 66.36 to 47.92, its biggest move since July 23.
- Implied vol complexThe vol complex gauge went from 66.36 to 47.92, its biggest move since July 23. Gold vol moved from 26 to 24.
- Stress concentrationThe OVX/VIX ratio went from 3.74 to 3.48. The GVZ/VIX ratio went from 1.72 to 1.68.
- Vol risk premiumThe gold vol premium moved from +124.6% to +273.5%. The oil vol premium moved from -9.2% to -10.3%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.43 to -0.53.
A busy day in equities. Shiller CAPE moved hard, 2.8 times its normal pace. Momentum factor swung from -5.1% to -1.4% on the month.
- ValuationsShiller CAPE held at 42.65 at the latest reading. The earnings yield sits at +2.3%.
- Factor returnsMomentum factor swung from -5.1% to -1.4% on the month, 3.9 times its normal pace. Value factor moved from -0.6% to +4.8%.
- Market breadthRSP vs S&P, 200-day went from -0.01 to 0.00.
- Forward earningsForward EPS revisions went from 0.06 to 0.04. Forward EPS went from 305 to 306.
- Index performanceThe Stoxx extended to +4.1% on the month (from +3.8%). Hang Seng 1-month return moved from +5.5% to +2.9%.
- Sector rotationSector dispersion went from 0.02 to 0.03. Sector rotation velocity went from 1.95 to 1.41.
- Equity volatilityVVIX went from 88.72 to 87.48. SKEW went from 135 to 134.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +66.4% to +69.4%.
Only one thing moved in crypto. Ethereum realized vol moved from +35.0% to +24.2%, its biggest move since June 11.
- Crypto volatilityEthereum realized vol moved from +35.0% to +24.2%, its biggest move since June 11. Bitcoin realized vol moved from +26.7% to +19.3%.
- Cross-asset linkageBitcoin-dollar co-movement went from -0.35 to -0.40.
- PerformanceBitcoin moved from $64,880 to $62,863.
- Market structureStablecoin supply growth deepened to -0.7% on the month (from -0.6%).
- Network activityNo fresh reading in this group. Bitcoin active addresses went from 519,753 to 486,521.
- Futures positioningNo fresh reading in this group.
FX had a single story. Sterling-dollar realized vol moved from +6.6% to +5.3%, its biggest move since June 24.
- FX volatilitySterling-dollar realized vol moved from +6.6% to +5.3%, its biggest move since June 24. Aussie-dollar realized vol moved from +6.6% to +5.9%.
- Emerging marketsDollar-rupee realized vol moved from +5.7% to +4.2%, 3.0 times its normal pace. USD/MXN moved from -2.1% to -2.0%.
- CarryNZD/USD swung from +2.7% to +0.8% on the month.
- Major pairsUSD/CAD deepened to -1.2% on the month (from -1.1%). USD/JPY moved from -2.5% to -1.7%.
- DollarAussie-S&P co-movement went from -0.01 to -0.04.
- Futures positioningNo fresh reading in this group.
No news in credit.
- Default cycle & lendingCorporate charge-off rate held at 0.59% at the latest reading.
- Spread complexHYG ETF flows went from -0.53 to -0.88, its biggest move since June 4. CCC credit went from +0.4pt to +0.6pt.
- Total returnsNo fresh reading in this group.
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.
- 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 -0.2%.
- 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.
Little happened in rates.
- 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 & positioningHYG ETF flows went from -0.53 to -0.88, its biggest move since June 4. ETF flows went from 1.77 to -0.58.
- Term premium & durationThe long-Treasury ETF deepened to -2.6% on the month (from -2.0%). The 7-10y Treasury ETF realized vol moved from +4.2% to +4.4%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +6.0% to -5.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from +9.0% to +6.0%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.17% to 2.11%.
- 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 +66.4% to +69.4%.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 77.95 to 59.06.