MGLens

Cross-asset conditions, 24 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 0.70× the norm

#1Commodities

Most of the day's movement came from commodities. The broad commodity ETF extended to +8.7% on the month (from +5.5%), its biggest move since August 10. Gold vol moved from 25 to 30. The gold ETF extended to +15.9% on the month (from +10.1%). Gold extended to +17.1% on the month (from +10.1%).

  • Broad commoditiesThe broad commodity ETF extended to +8.7% on the month (from +5.5%), its biggest move since August 10. The broad commodity ETF realized vol moved from +25.9% to +20.7%.
  • Commodity volatilityGold vol moved from 25 to 30, its biggest move since June 11. Oil vol moved from 53 to 50.
  • ETF flowsThe gold ETF extended to +15.9% on the month (from +10.1%), its biggest move since March 30. Crude (USO) moved from +5.1% to +10.0%.
  • MetalsGold extended to +17.1% on the month (from +10.1%), its biggest move since March 26. That is its highest level in about six months.
  • AgricultureWheat moved from $674.8 to $705.5. Wheat realized vol moved from +32.3% to +29.2%.
  • EnergyOil realized vol moved from +58.5% to +44.1%, its biggest move since July 29. Crude moved from $84.5 to $85.6.
  • Roll yield & carryWheat futures roll drag went from +0.2pt to -2.5pt, its biggest move since July 15. Copper futures roll drag went from -0.3pt to flat.
  • Futures positioningNo fresh reading in this group.

#2Crypto

A busy day in crypto. Ethereum realized vol moved from +24.3% to +66.4%, 22.7 times its normal pace. Bitcoin moved from $64,506 to $78,839.

  • Crypto volatilityEthereum realized vol moved from +24.3% to +66.4%, 22.7 times its normal pace. Bitcoin realized vol moved from +21.0% to +40.0%.
  • PerformanceBitcoin moved from $64,506 to $78,839, 6.4 times its normal pace. Ethereum moved from $1,912 to $2,499.
  • Cross-asset linkageBitcoin-S&P co-movement went from +0.40 to +0.34. Bitcoin-Nasdaq co-movement went from +0.37 to +0.32.
  • 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.

#3FX

FX moved on several fronts. NZD/USD extended to +3.4% on the month (from +0.8%), its biggest move since August 6. Dollar-franc realized vol moved from +6.1% to +8.4%.

  • CarryNZD/USD extended to +3.4% on the month (from +0.8%), its biggest move since August 6.
  • FX volatilityDollar-franc realized vol moved from +6.1% to +8.4%, its biggest move since January 2026. Sterling-dollar realized vol moved from +5.1% to +4.2%.
  • Major pairsUSD/CAD deepened to -2.1% on the month (from -1.2%). EUR/USD moved from +1.1% to +2.6%.
  • Emerging marketsDollar-rupee realized vol moved from +4.1% to +2.7%, its biggest move since May 20. Dollar-peso realized vol moved from +5.4% to +3.5%.
  • DollarAussie-S&P co-movement went from -0.00 to -0.05, its biggest move since August 7. The dollar moved from -0.0% to +0.2%.
  • Futures positioningNo fresh reading in this group.

#4Equities

A busy day in equities. Shiller CAPE moved hard.

  • ValuationsShiller CAPE held at 41.96 at the latest reading. The earnings yield sits at +2.4%.
  • Market breadthRSP vs S&P, 200-day went from -0.00 to 0.01, its biggest move since August 6. Equal-weight vs cap-weight S&P sits at 0.29.
  • Factor returnsMomentum factor swung from +2.6% to -1.1% on the month, 2.8 times its normal pace. Value factor moved from +3.4% to -1.2%.
  • Forward earningsForward EPS revisions went from 0.05 to 0.02. Forward EPS went from 305 to 301.
  • Index performanceS&P drawdown from the 1-year peak went from -0.01 to -0.02. S&P daily return moved from -0.5% to -0.2%.
  • Equity volatilityVIX moved from +94.0% to +89.0%. SKEW went from 138 to 144.
  • Sector rotationSector breadth (50dMA) went from 0.82 to 0.73, its biggest move since August 10. Sector rotation velocity went from 1.97 to 2.56.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group.

#5Credit

Credit was quiet. Nothing moved beyond its normal range.

  • Default cycle & lendingCorporate charge-off rate held at 0.59% at the latest reading.
  • Spread complexJNK ETF flows went from -0.96 to -0.78. HYG ETF flows went from -0.87 to -0.40.
  • Total returnsNo fresh reading in this group.

#6Macro

No news in macro.

  • 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.
  • Liquidity & financial conditionsThe dollar moved from -0.0% 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.

#7Rates

Little happened in rates. The nearest mover was long-Treasury ETF realized vol, from +9.4% to +11.2%.

  • Term premium & durationLong-Treasury ETF realized vol moved from +9.4% to +11.2%. The 7-10y Treasury ETF realized vol moved from +4.4% to +4.5%.
  • 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 -0.69. HYG ETF flows went from -0.87 to -0.40.
  • Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -5.0% to +4.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from +10.0% to +16.0%.
  • Real yieldsNo fresh reading in this group. 10-year real yield moved from -3.0% to +0.0%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +3.0% to +0.0%.
  • Rates volatilityNo fresh reading in this group.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 59.06 to 56.98.

#8Volatility

Volatility stayed in range all session. The nearest mover was gold vol, from 25 to 30.

  • Implied vol complexGold vol moved from 25 to 30, its biggest move since June 11. The vol complex gauge went from 55.26 to 72.71.
  • Vol risk premiumThe oil vol premium moved from -5.6% to +6.4%, its biggest move since August 7. The gold vol premium moved from +4.2% to +8.8%.
  • Stress concentrationThe GVZ/VIX ratio went from 1.65 to 1.86. The OVX/VIX ratio went from 3.48 to 3.15.
  • Stress gauges & regimeNo fresh reading in this group. Euro-area systemic stress went from 0.01 to 0.02.

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