MGLens

Cross-asset conditions, 28 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 0.46× the norm

#1FX

FX moved more than anything else. Dollar-rupee realized vol moved from +4.2% to +10.8%, 17.2 times its normal pace. AUD/USD extended to +3.4% on the month (from +1.9%). NZD/USD extended to +2.5% on the month (from +2.4%). A third straight session at the top.

  • Emerging marketsDollar-rupee realized vol moved from +4.2% to +10.8%, 17.2 times its normal pace. Dollar-rand realized vol moved from +12.1% to +7.3%.
  • Major pairsAUD/USD extended to +3.4% on the month (from +1.9%), its biggest move since July 2. EUR/USD moved from +2.4% to +1.5%.
  • CarryNZD/USD extended to +2.5% on the month (from +2.4%).
  • FX volatilitySterling-dollar realized vol moved from +5.1% to +4.3%. Dollar-franc realized vol moved from +8.6% to +8.2%.
  • DollarAussie-S&P co-movement went from -0.05 to -0.04.
  • Futures positioningNo fresh reading in this group.

#2Commodities

Commodities moved on several fronts. Wheat moved from $681.5 to $774.5, the biggest such move in at least four years. Wheat futures roll drag went from +1.3pt to -4.4pt.

  • AgricultureWheat moved from $681.5 to $774.5, the biggest such move in at least four years. It still sits near multi-year highs.
  • Roll yield & carryWheat futures roll drag went from +1.3pt to -4.4pt, its biggest move since September 2023. Copper futures roll drag went from +0.2pt to -2.1pt.
  • Broad commoditiesThe broad commodity ETF realized vol moved from +25.4% to +20.3%, 2.7 times its normal pace. The broad commodity ETF moved from +3.1% to +5.0%.
  • EnergyOil realized vol moved from +54.2% to +40.7%, 3.0 times its normal pace. Natural-gas realized vol moved from +37.0% to +32.8%.
  • ETF flowsThe gold ETF eased to +11.8% on the month (from +14.0%), 2.7 times its normal pace.
  • MetalsGold eased to +13.7% on the month (from +14.3%), 3.1 times its normal pace.
  • Commodity volatilityOil vol moved from 50 to 45. Gold vol sits at 27.
  • Futures positioningNo fresh reading in this group.

#3Rates

Rates had a single story. ETF flows went from -0.72 to -1.83, its biggest move since April 9.

  • Flows & positioningETF flows went from -0.72 to -1.83, its biggest move since April 9. TLT ETF flows went from -0.45 to -1.44.
  • Fiscal & stock-bond contextNet interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.
  • 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 -6.0% to +2.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.5% to 0.47%.
  • Real yieldsNo fresh reading in this group. 20-year real yield moved from 2.72% to 2.71%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +4.0% to +1.0%.
  • Rates volatilityNo fresh reading in this group. The MOVE-to-realized ratio went from 0.98 to 0.93.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 54.16 to 62.33.

#4Equities

Equities moved on several fronts. Shiller CAPE moved hard.

  • ValuationsShiller CAPE held at 42.27 at the latest reading. The earnings yield sits at +2.4%.
  • Factor returnsMomentum factor eased to -2.5% on the month (from -6.3%), 2.8 times its normal pace. Quality factor moved from -0.4% to -1.4%.
  • Sector rotationSector rotation velocity went from 3.95 to 2.28. Sector breadth (50dMA) went from 0.82 to 0.73.
  • Equity volatilityS&P realized vol moved from +12.6% to +10.2%, its biggest move since August 5. VVIX went from 86.27 to 86.08.
  • Market breadthRSP vs S&P, 200-day went from 0.01 to -0.00. Equal-weight vs cap-weight S&P sits at 0.29.
  • Index performanceNikkei 1-month return swung from -0.2% to +8.1% on the month, its biggest move since August 4. S&P 500 1-month return moved from +3.6% to +4.1%.
  • Forward earningsForward EPS went from 302 to 304. Forward EPS revisions went from 0.03 to 0.02.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +72.6% to +74.9%.

#5Crypto

Only one thing moved in crypto. Bitcoin extended to +22.2% on the month (from +20.4%), 3.1 times its normal pace.

  • PerformanceBitcoin extended to +22.2% on the month (from +20.4%), 3.1 times its normal pace.
  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.30 to +0.36, 2.6 times its normal pace. Bitcoin-S&P co-movement went from +0.33 to +0.35.
  • Crypto volatilityThe Ethereum ETF realized vol moved from +54.3% to +51.4%. Ethereum realized vol moved from +66.2% to +67.3%.
  • Market structureStablecoin supply went from 308 to 309. The ETH/BTC ratio sits at 0.03.
  • Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from -0.4% to +19.3%.
  • Futures positioningNo fresh reading in this group.

#6Credit

Little happened in credit.

  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Spread complexHYG ETF flows went from -0.40 to -1.08, its biggest move since April 9. Credit curve slope moved from 8.69% to 8.75%.
  • Total returnsNo fresh reading in this group.

#7Macro

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 conditionsM2 held at 23,218 at the latest reading. That is its highest level in about six months.

#8Volatility

No news in volatility. The nearest mover was the oil vol premium, from -4.5% to +4.6%.

  • Vol risk premiumThe oil vol premium moved from -4.5% to +4.6%. The gold vol premium moved from +6.5% to +6.8%.
  • Implied vol complexThe vol complex gauge went from 55.26 to 63.10. Gold vol sits at 27.
  • Stress concentrationThe GVZ/VIX ratio went from 1.80 to 1.88. The OVX/VIX ratio went from 3.28 to 3.11.
  • Stress gauges & regimeNo fresh reading in this group.

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