MGLens

Cross-asset conditions, 27 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 0.51× the norm

#1FX

Most of the day's movement came from FX. Dollar-rupee realized vol moved from +4.1% to +11.1%, its biggest move since January 2024. NZD/USD extended to +3.0% on the month (from +1.9%). AUD/USD extended to +3.2% on the month (from +1.8%). Two of its six groups moved at once.

  • Emerging marketsDollar-rupee realized vol moved from +4.1% to +11.1%, its biggest move since January 2024. Dollar-rand realized vol moved from +11.7% to +7.3%.
  • CarryNZD/USD extended to +3.0% on the month (from +1.9%).
  • Major pairsAUD/USD extended to +3.2% on the month (from +1.8%), its biggest move since July 2. USD/CAD moved from -1.2% to -2.0%.
  • FX volatilitySterling-dollar realized vol moved from +5.0% to +4.6%. Dollar-franc realized vol moved from +6.2% to +8.4%.
  • DollarThe dollar moved from +0.1% to -0.1%. The broad dollar index moved from -142.8% to -284.5%.
  • Futures positioningNo fresh reading in this group.

#2Commodities

A busy day in commodities. Wheat moved from $682.8 to $747.0, its biggest move since July 16. The broad commodity ETF realized vol moved from +25.8% to +20.1%.

  • AgricultureWheat moved from $682.8 to $747.0, its biggest move since July 16. It still sits near multi-year highs.
  • Broad commoditiesThe broad commodity ETF realized vol moved from +25.8% to +20.1%, its biggest move since July 31. The broad commodity ETF moved from $31.1 to $30.6.
  • Roll yield & carryWheat futures roll drag went from +0.9pt to -2.7pt, its biggest move since December 2024. Copper futures roll drag went from +0.1pt to -2.2pt.
  • EnergyOil realized vol moved from +58.2% to +40.3%, its biggest move since July 14. Crude moved from $87.8 to $82.7.
  • ETF flowsThe gold ETF extended to +13.0% on the month (from +9.5%), 3.0 times its normal pace.
  • MetalsGold extended to +14.7% on the month (from +8.9%), its biggest move since March 31. That is its highest level in about six months.
  • Commodity volatilityOil vol moved from 50 to 47. Gold vol sits at 27.
  • Futures positioningNo fresh reading in this group.

#3Equities

Equities moved on several fronts. Momentum factor swung from -4.8% to +1.3% on the month, 4.6 times its normal pace. Shiller CAPE moved hard.

  • Factor returnsMomentum factor swung from -4.8% to +1.3% on the month, 4.6 times its normal pace. Quality factor moved from +0.2% to -1.7%.
  • ValuationsShiller CAPE held at 41.98 at the latest reading. The earnings yield sits at +2.4%.
  • Index performanceS&P 500 1-month return extended to +5.3% on the month (from +1.9%), its biggest move since May 29. S&P drawdown from the 1-year peak went from -0.02 to -0.01.
  • Equity volatilityS&P realized vol moved from +13.4% to +11.2%, its biggest move since August 6. VVIX went from 89.86 to 84.80.
  • Sector rotationSector rotation velocity went from 3.71 to 2.34. Cyclicals vs defensives went from 0.01 to 0.03.
  • Forward earningsForward EPS went from 300 to 303. Forward EPS revisions went from 0.03 to 0.02.
  • Market breadthRSP vs S&P, 200-day held at 0.01 at the latest reading. Equal-weight vs cap-weight S&P sits at 0.29.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.29 to +0.31.

#4Crypto

Only one thing moved in crypto. The Bitcoin ETF extended to +25.2% on the month (from +10.3%), its biggest move since June 5.

  • PerformanceThe Bitcoin ETF extended to +25.2% on the month (from +10.3%), its biggest move since June 5. Bitcoin moved from $73,033 to $79,546.
  • Crypto volatilityBitcoin realized vol moved from +35.1% to +40.0%. Ethereum realized vol moved from +63.3% to +67.2%.
  • Cross-asset linkageBitcoin-gold co-movement went from +0.53 to +0.59, its biggest move since July 14. Bitcoin-S&P co-movement went from +0.33 to +0.37.
  • Market structureStablecoin supply went from 307 to 309. The ETH/BTC ratio sits at 0.03.
  • Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from -2.1% to +50.3%.
  • Futures positioningNo fresh reading in this group.

#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

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.
  • InflationHeadline CPI held at 333 at the latest reading.
  • HousingHousing starts held at 1.2m 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.
  • 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.
  • Liquidity & financial conditionsThe dollar moved from +0.1% to -0.1%.

#7Rates

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 & positioningETF flows went from -0.57 to -0.69.
  • Term premium & durationLong-Treasury ETF realized vol moved from +11.4% to +10.5%. The 7-10y Treasury ETF realized vol sits at +4.7%.
  • Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -1.0% to -6.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from +9.0% to +12.0%.
  • Real yieldsNo fresh reading in this group. 20-year real yield moved from 2.81% to 2.7%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from 2.3% to 2.32%.
  • Rates volatilityNo fresh reading in this group. The MOVE-to-realized ratio went from 1.07 to 0.95.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 56.67 to 64.79.

#8Volatility

No news in volatility. The nearest mover was the oil vol premium, from -8.6% to +7.1%.

  • Vol risk premiumThe oil vol premium moved from -8.6% to +7.1%, its biggest move since August 5. The gold vol premium moved from +5.0% to +6.3%.
  • Stress concentrationThe GVZ/VIX ratio went from 1.70 to 1.81. The OVX/VIX ratio went from 3.10 to 3.18.
  • Implied vol complexThe vol complex gauge went from 57.87 to 64.81. Gold vol sits at 27.
  • Stress gauges & regimeNo fresh reading in this group.

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