Cross-asset conditions, 21 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 0.79× the norm
Crypto moved more than anything else. Ethereum realized vol moved from +24.2% to +62.0%, the biggest such move in at least four years. Bitcoin moved from $62,976 to $77,156. Bitcoin-S&P co-movement went from +0.43 to +0.32. Three of its six groups moved at once. A third straight session at the top.
- Crypto volatilityEthereum realized vol moved from +24.2% to +62.0%, the biggest such move in at least four years. Bitcoin realized vol moved from +19.2% to +38.3%.
- PerformanceBitcoin moved from $62,976 to $77,156, its biggest move since February 5. Ethereum moved from $1,881 to $2,382.
- Cross-asset linkageBitcoin-S&P co-movement went from +0.43 to +0.32, its biggest move since June 9. Bitcoin-Nasdaq co-movement went from +0.38 to +0.30.
- Market structureThe ETH/BTC ratio held at 0.03 at the latest reading.
- Network activityNo fresh reading in this group.
- Futures positioningNo fresh reading in this group.
A busy day in commodities. Gold vol moved from 24 to 28, 2.9 times its normal pace. The broad commodity ETF moved from $30.0 to $31.2.
- Commodity volatilityGold vol moved from 24 to 28, 2.9 times its normal pace. Oil vol moved from 50 to 51.
- Broad commoditiesThe broad commodity ETF moved from $30.0 to $31.2. It still sits near multi-year highs.
- ETF flowsThe gold ETF extended to +13.1% on the month (from +10.0%), its biggest move since June 10. That is its highest level in about six months.
- MetalsGold extended to +14.8% on the month (from +9.9%), its biggest move since March 30. Silver moved from +16.3% to +20.8%.
- AgricultureWheat moved from $674.8 to $696.0. Wheat realized vol moved from +32.6% to +30.7%.
- EnergyCrude moved from $82.4 to $86.6. Natural-gas realized vol moved from +34.7% to +37.9%.
- Roll yield & carryWheat futures roll drag went from +0.2pt to -1.0pt. Copper futures roll drag went from +0.3pt to flat.
- Futures positioningNo fresh reading in this group.
FX moved on several fronts. NZD/USD extended to +2.9% on the month (from +0.1%), its biggest move since August 6. USD/CAD deepened to -2.4% on the month (from -0.8%).
- CarryNZD/USD extended to +2.9% on the month (from +0.1%), its biggest move since August 6.
- Major pairsUSD/CAD deepened to -2.4% on the month (from -0.8%), its biggest move since July 2. USD/JPY moved from -1.6% to -2.6%.
- FX volatilityEuro-dollar realized vol moved from +4.1% to +4.7%, its biggest move since August 5. Dollar-franc realized vol moved from +6.5% to +8.6%.
- Emerging marketsDollar-peso realized vol moved from +5.5% to +4.4%. Dollar-rupee realized vol moved from +4.2% to +4.1%.
- DollarAussie-S&P co-movement went from -0.03 to -0.04. The dollar moved from -0.2% to -0.1%.
- Futures positioningNo fresh reading in this group.
Only one thing moved in rates. Long-Treasury ETF realized vol moved from +9.2% to +11.3%, 2.8 times its normal pace.
- Term premium & durationLong-Treasury ETF realized vol moved from +9.2% to +11.3%, 2.8 times its normal pace. The long-Treasury ETF moved from -2.6% to -1.1%.
- 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 & positioningETF flows went from -0.57 to -0.91.
- Yield curveNo fresh reading in this group. 30-year Treasury yield moved from +16.0% to +6.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from +6.0% to +14.0%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from -1.0% to -6.0%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -2.0% to +4.0%.
- Rates volatilityNo fresh reading in this group.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 68.34 to 54.16.
Equities had a single story. Momentum factor swung from +1.1% to -5.8% on the month, 5.4 times its normal pace.
- Factor returnsMomentum factor swung from +1.1% to -5.8% on the month, 5.4 times its normal pace. Quality factor moved from -1.0% to -0.5%.
- ValuationsShiller CAPE held at 41.79 at the latest reading. Equity risk premium moved from +10.5% to +45.6%.
- Sector rotationSector rotation velocity went from 1.56 to 3.60, 2.7 times its normal pace. Leading-sector count went from 3.00 to 2.00.
- Forward earningsForward EPS went from 306 to 301.
- Market breadthEqual-weight vs cap-weight S&P held at 0.29 at the latest reading. RSP vs S&P, 200-day went from 0.00 to 0.01.
- Index performanceS&P drawdown from the 1-year peak went from -0.00 to -0.02. S&P daily return moved from -0.2% to +0.3%.
- Equity volatilityVIX moved from 14 to 15. SKEW went from 134 to 143.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group.
Little happened in credit.
- Default cycle & lendingCorporate charge-off rate held at 0.59% at the latest reading.
- Spread complexHYG ETF flows went from -0.87 to -0.90, its biggest move since April 9. HY OAS moved from -1.0% to -2.0%.
- Total returnsNo fresh reading in this group.
Macro stayed in range all session.
- Fiscal positionDebt-to-GDP held at 123% at the latest reading. That is its highest level in about six months.
- 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.
- HousingHousing starts held at 1.2m at the latest reading.
- GrowthReal GDP held at $24.27tn at the latest reading. That is its highest level in about six months.
- Liquidity & financial conditionsThe dollar moved from -0.2% to -0.1%.
- Labor marketPayrolls held at 158.9m at the latest reading.
A calm day in volatility. Every group stayed inside its usual pace. The nearest mover was the vol complex gauge, from 48.18 to 69.49.
- Implied vol complexThe vol complex gauge went from 48.18 to 69.49, its biggest move since October 2025. Gold vol moved from 24 to 28.
- Vol risk premiumThe gold vol premium moved from +3.0% to +6.4%, its biggest move since August 5. The oil vol premium moved from -10.3% to -3.7%.
- Stress concentrationThe GVZ/VIX ratio went from 1.68 to 1.80. The OVX/VIX ratio went from 3.48 to 3.27.
- Stress gauges & regimeNo fresh reading in this group.