Cross-asset conditions, 17 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 0.42× the norm
Credit had a single story. 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 -0.53 to -0.87. CCC credit went from +0.4pt to +0.6pt.
- Total returnsNo fresh reading in this group.
A busy day in commodities. Wheat moved from $640.5 to $684.0, its biggest move since July 21. Gold vol moved from 28 to 25.
- AgricultureWheat moved from $640.5 to $684.0, its biggest move since July 21. Wheat realized vol moved from +37.4% to +32.3%.
- Commodity volatilityGold vol moved from 28 to 25. Oil vol moved from 56 to 52.
- MetalsCopper realized vol moved from +21.5% to +16.7%, its biggest move since May 21. Gold moved from $4,362 to $4,442.
- ETF flowsThe gold ETF extended to +7.8% on the month (from +6.8%). Crude (USO) moved from +15.8% to -1.4%.
- Broad commoditiesThe broad commodity ETF realized vol moved from +27.5% to +24.9%. The broad commodity ETF moved from $29.9 to $30.2.
- Roll yield & carryWheat futures roll drag went from -0.1pt to -1.8pt. Oil futures roll drag went from +0.8pt to +1.2pt.
- EnergyOil realized vol moved from +66.6% to +57.4%. Crude moved from $82.1 to $82.7.
- Futures positioningNo fresh reading in this group.
Rates had a single story. Net interest to GDP held at 3.15% at the latest reading.
- 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 -0.87. ETF flows went from 1.77 to -0.57.
- Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.7% to +1.5%. The long-Treasury ETF moved from -2.9% to -2.3%.
- Yield curveNo fresh reading in this group. 2-year Treasury yield moved from 4.25% to 4.15%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from +8.0% to +10.0%.
- 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 -1.0% to +3.0%.
- Rates volatilityNo fresh reading in this group.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 77.95 to 59.06.
Equities moved on several fronts. Momentum factor swung from -6.4% to +1.7% on the month, 6.5 times its normal pace.
- Factor returnsMomentum factor swung from -6.4% to +1.7% on the month, 6.5 times its normal pace. Value factor moved from -1.4% to +3.7%.
- ValuationsShiller CAPE held at 42.56 at the latest reading. The earnings yield sits at +2.3%.
- Index performanceNikkei 1-month return swung from -1.8% to +7.9% on the month. The Stoxx moved from +4.2% to +4.1%.
- Sector rotationSector dispersion went from 0.03 to 0.02. Sector rotation velocity went from 2.29 to 1.73.
- Equity volatilityVIX moved from +56.0% to +80.0%, its biggest move since July 31. SKEW went from 133 to 138.
- Forward earningsForward EPS revisions went from 0.05 to 0.06.
- Market breadthThe advance-decline line extended to +15.0% on the month (from +4.0%), its biggest move since July 28.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group.
Crypto had a single story. Ethereum realized vol moved from +34.9% to +20.6%, its biggest move since June 11.
- Crypto volatilityEthereum realized vol moved from +34.9% to +20.6%, its biggest move since June 11. Bitcoin realized vol moved from +26.8% to +16.5%.
- Cross-asset linkageBitcoin-dollar co-movement went from -0.35 to -0.40.
- Market structureThe ETH/BTC ratio held at 0.03 at the latest reading.
- PerformanceBitcoin deepened to -4.4% on the month (from -0.3%), its biggest move since July 30.
- Network activityNo fresh reading in this group. Bitcoin transaction count went from 542,214 to 694,502.
- Futures positioningNo fresh reading in this group.
Only one thing moved in FX. Sterling-dollar realized vol moved from +6.6% to +5.1%, its biggest move since June 24.
- FX volatilitySterling-dollar realized vol moved from +6.6% to +5.1%, its biggest move since June 24. Dollar-franc realized vol moved from +7.3% to +6.4%.
- Emerging marketsDollar-peso realized vol moved from +5.7% to +3.9%, its biggest move since March 10. Dollar-rupee realized vol moved from +5.5% to +3.9%.
- Major pairsUSD/CAD held at -1.5% at the latest reading. AUD/USD sits at +1.7%.
- CarryNZD/USD eased to +1.1% on the month (from +2.2%).
- DollarThe dollar moved from +0.2% to -0.1%. Aussie-S&P co-movement went from -0.01 to -0.00.
- Futures positioningNo fresh reading in this group.
Macro had a single story. 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 -0.1%.
- 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.
No news in volatility. The nearest mover was the GVZ/VIX ratio, from 1.80 to 1.64.
- Stress concentrationThe GVZ/VIX ratio went from 1.80 to 1.64. The OVX/VIX ratio went from 3.63 to 3.42.
- Implied vol complexGold vol moved from 28 to 25. SKEW went from 133 to 138.
- Vol risk premiumThe oil vol premium moved from -10.6% to -5.9%. The gold vol premium moved from +3.7% to +3.8%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.56 to -0.57.