MGLens

Cross-asset conditions, 26 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 0.56× the norm

#1FX

Most of the day's movement came from FX. Dollar-franc realized vol moved from +6.2% to +8.6%, 5.0 times its normal pace. NZD/USD extended to +3.0% on the month (from +0.3%). Dollar-rand realized vol moved from +11.7% to +7.2%. Two of its six groups moved at once. A second straight session at the top.

  • FX volatilityDollar-franc realized vol moved from +6.2% to +8.6%, 5.0 times its normal pace. Sterling-dollar realized vol moved from +5.0% to +4.5%.
  • CarryNZD/USD extended to +3.0% on the month (from +0.3%).
  • Emerging marketsDollar-rand realized vol moved from +11.7% to +7.2%, its biggest move since July 30. Dollar-peso realized vol moved from +4.4% to +3.5%.
  • Major pairsEUR/USD extended to +2.5% on the month (from +1.4%). USD/CAD moved from -1.2% to -1.8%.
  • DollarAussie-S&P co-movement went from -0.02 to -0.06. The broad dollar index moved from -142.8% to -284.5%.
  • Futures positioningNo fresh reading in this group.

#2Crypto

A busy day in crypto. Bitcoin moved from $69,266 to $78,545, 3.9 times its normal pace. Bitcoin realized vol moved from +30.6% to +40.2%.

  • PerformanceBitcoin moved from $69,266 to $78,545, 3.9 times its normal pace. Ethereum moved from $2,251 to $2,460.
  • Crypto volatilityBitcoin realized vol moved from +30.6% to +40.2%, 4.1 times its normal pace. Ethereum realized vol moved from +62.8% to +67.2%.
  • Cross-asset linkageBitcoin-dollar co-movement went from -0.48 to -0.43. Bitcoin-S&P co-movement went from +0.38 to +0.34.
  • Market structureStablecoin supply went from 306 to 309, its biggest move since August 3. The ETH/BTC ratio sits at 0.03.
  • Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from +20.1% to -8.8%.
  • Futures positioningNo fresh reading in this group.

#3Commodities

A busy day in commodities. Wheat moved from $680.2 to $718.2, its biggest move since July 31. The gold ETF extended to +14.8% on the month (from +10.4%).

  • AgricultureWheat moved from $680.2 to $718.2, its biggest move since July 31. Wheat realized vol moved from +33.4% to +31.0%.
  • ETF flowsThe gold ETF extended to +14.8% on the month (from +10.4%), its biggest move since June 10. That is its highest level in about six months.
  • Broad commoditiesThe broad commodity ETF extended to +6.5% on the month (from +4.0%), its biggest move since August 10.
  • MetalsGold extended to +16.0% on the month (from +10.3%), its biggest move since March 30. That is its highest level in about six months.
  • Roll yield & carryCopper futures roll drag went from flat to -1.6pt, 2.7 times its normal pace. Wheat futures roll drag went from +0.2pt to -2.1pt.
  • EnergyOil realized vol moved from +58.2% to +46.2%, its biggest move since July 31. Crude moved from $85.8 to $81.7.
  • Commodity volatilityOil vol moved from 48 to 45. Gold vol moved from 27 to 28.
  • Futures positioningNo fresh reading in this group.

#4Equities

Equities moved on several fronts. Momentum factor swung from -5.4% to +0.3% on the month, 4.3 times its normal pace.

  • Factor returnsMomentum factor swung from -5.4% to +0.3% on the month, 4.3 times its normal pace. Value factor moved from +0.9% to -0.5%.
  • ValuationsShiller CAPE held at 41.97 at the latest reading. The earnings yield sits at +2.4%.
  • Forward earningsForward EPS revisions went from 0.05 to 0.02, its biggest move since August 11. Forward EPS went from 303 to 302.
  • Sector rotationSector breadth (50dMA) went from 0.91 to 0.73, its biggest move since August 7. Sector rotation velocity went from 3.12 to 2.40.
  • Index performanceS&P drawdown from the 1-year peak held at -0.01 at the latest reading. S&P daily return moved from +0.2% to +0.1%.
  • Market breadthEqual-weight vs cap-weight S&P held at 0.29 at the latest reading. RSP vs S&P, 200-day sits at 0.01.
  • Equity volatilityVIX moved from 15 to 16. SKEW went from 144 to 143.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. The financial-conditions composite went from -0.66 to -0.57.

#5Credit

A calm day in credit. Every group stayed inside its usual pace.

  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Spread complexJNK ETF flows went from -0.96 to -0.78. Credit curve slope moved from 8.64% to 8.81%.
  • 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 -0.9% to +0.3%.
  • 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

Rates stayed in range all session.

  • 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 -0.39.
  • Term premium & durationThe 7-10y Treasury ETF realized vol moved from +4.6% to +4.9%. Long-Treasury ETF realized vol moved from +11.1% to +11.9%.
  • Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +4.0% to -4.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve sits at +13.0%.
  • Real yieldsNo fresh reading in this group. 20-year real yield moved from 2.84% to 2.75%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +2.0% 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 58.83 to 66.75.

#8Volatility

Little happened in volatility. The nearest mover was the vol complex gauge, from 52.58 to 67.20.

  • Implied vol complexThe vol complex gauge went from 52.58 to 67.20, its biggest move since July 17. Gold vol moved from 27 to 28.
  • Vol risk premiumThe oil vol premium moved from -10.5% to -156.8%. The gold vol premium moved from +3.9% to +7.4%.
  • Stress concentrationThe OVX/VIX ratio went from 3.20 to 2.87. The GVZ/VIX ratio went from 1.79 to 1.77.
  • Stress gauges & regimeNo fresh reading in this group. The financial-conditions composite went from -0.66 to -0.57.

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