MGLens

Cross-asset conditions, 31 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 0.60× the norm

#1Commodities

Most of the day's movement came from commodities. Wheat moved from $681.8 to $765.0, 5.9 times its normal pace. The broad commodity ETF realized vol moved from +25.6% to +17.4%. Oil realized vol moved from +53.7% to +30.9%. Wheat futures roll drag went from +0.5pt to -4.6pt. Four of its eight groups moved at once. Wheat still sits near multi-year highs.

  • AgricultureWheat moved from $681.8 to $765.0, 5.9 times its normal pace. It still sits near multi-year highs.
  • Broad commoditiesThe broad commodity ETF realized vol moved from +25.6% to +17.4%, its biggest move since July 31. The broad commodity ETF moved from +2.8% to +10.4%.
  • EnergyOil realized vol moved from +53.7% to +30.9%, its biggest move since July 13. Natural-gas realized vol moved from +36.8% to +29.7%.
  • Roll yield & carryWheat futures roll drag went from +0.5pt to -4.6pt, its biggest move since January 2024. Copper futures roll drag went from +0.1pt to -1.4pt.
  • ETF flowsCrude (USO) swung from -3.3% to +15.5% on the month, its biggest move since August 10. The gold ETF moved from +14.7% to +8.2%.
  • Commodity volatilityGold vol moved from 28 to 25. Oil vol moved from 47 to 46.
  • MetalsGold eased to +9.3% on the month (from +14.1%).
  • Futures positioningNo fresh reading in this group.

#2FX

FX moved on several fronts. Dollar-rupee realized vol moved from +4.0% to +10.8%, its biggest move since January 2024. Dollar-yen realized vol moved from +9.7% to +4.8%.

  • Emerging marketsDollar-rupee realized vol moved from +4.0% to +10.8%, its biggest move since January 2024. Dollar-lira realized vol moved from +1.4% to +2.4%.
  • FX volatilityDollar-yen realized vol moved from +9.7% to +4.8%, its biggest move since August 6. Dollar-franc realized vol moved from +8.5% to +7.7%.
  • Major pairsAUD/USD eased to +2.4% on the month (from +2.9%). EUR/USD moved from +2.7% to +0.8%.
  • CarryNZD/USD swung from +3.5% to +0.9% on the month.
  • DollarAussie-S&P co-movement went from -0.05 to -0.02. The dollar moved from +0.2% to -0.1%.
  • Futures positioningNo fresh reading in this group.

#3Rates

Rates had a single story. The 1-3y Treasury ETF realized vol moved from +1.5% to +1.2%, its biggest move since August 7.

  • Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.5% to +1.2%, its biggest move since August 7. Long-Treasury ETF realized vol moved from +11.6% to +10.2%.
  • 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 & positioningTLT ETF flows went from -0.45 to -0.95. ETF flows went from -0.69 to -0.20.
  • Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +4.0% to +1.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.5% to 0.39%.
  • Real yieldsNo fresh reading in this group. 20-year real yield moved from 2.73% to 2.71%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +0.0% to -2.0%.
  • Rates volatilityNo fresh reading in this group. The MOVE-to-realized ratio went from 1.01 to 0.97.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 56.98 to 63.41.

#4Volatility

Only one thing moved in volatility. The oil vol premium moved from -7.0% to +15.6%, its biggest move since August 5.

  • Vol risk premiumThe oil vol premium moved from -7.0% to +15.6%, its biggest move since August 5. S&P realized vol moved from +12.7% to +6.7%.
  • Implied vol complexGold vol moved from 28 to 25. Oil vol moved from 47 to 46.
  • Stress concentrationThe GVZ/VIX ratio went from 1.78 to 1.60.
  • Stress gauges & regimeNo fresh reading in this group.

#5Equities

Equities moved on several fronts. S&P realized vol moved from +12.7% to +6.7%, its biggest move since June 11.

  • Equity volatilityS&P realized vol moved from +12.7% to +6.7%, its biggest move since June 11. Implied minus realized vol went from 3.19 to 8.72.
  • ValuationsShiller CAPE held at 42.17 at the latest reading. The earnings yield sits at +2.4%.
  • 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.
  • Factor returnsValue factor swung from -1.3% to +3.0% on the month. Momentum factor moved from -5.0% to -3.5%.
  • Index performanceS&P drawdown from the 1-year peak held at -0.02 at the latest reading. S&P 500 1-month return moved from +3.2% to -0.8%.
  • Sector rotationLeading-sector count went from 4.00 to 3.00. Sector rotation velocity went from 3.77 to 3.52.
  • Forward earningsForward EPS revisions held at 0.02 at the latest reading. Forward EPS went from 301 to 302.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +72.6% to +72.2%.

#6Credit

Little happened in credit.

  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Spread complexJNK ETF flows went from -0.78 to -0.99, its biggest move since April 2. Single-B credit moved from 2.94% to 2.76%.
  • Total returnsNo fresh reading in this group.

#7Crypto

Crypto was quiet. Nothing moved beyond its normal range. The nearest mover was Bitcoin, from +23.2% to +21.4%.

  • PerformanceBitcoin eased to +21.4% on the month (from +23.2%), 3.0 times its normal pace.
  • Cross-asset linkageBitcoin beta to the S&P went from +0.99 to +0.82, its biggest move since July 9. Bitcoin-Nasdaq co-movement went from +0.31 to +0.28.
  • Crypto volatilityThe Ethereum ETF realized vol moved from +54.1% to +51.1%. Ethereum realized vol moved from +66.4% to +67.1%.
  • Market structureThe ETH/BTC ratio (1-month change) eased to +7.5% on the month (from +8.3%).
  • Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +26.7% to +13.2%.
  • Futures positioningNo fresh reading in this group.

#8Macro

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

  • 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.
  • Liquidity & financial conditionsThe dollar moved from +0.2% to -0.1%.
  • Labor marketPayrolls held at 158.9m at the latest reading.

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