Cross-asset conditions, 1 September 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 0.61× the norm
Most of the day's movement came from commodities. Wheat moved from $685.5 to $781.0, the biggest such move in at least four years. The broad commodity ETF extended to +11.4% on the month (from +4.9%). Wheat futures roll drag went from +0.7pt to -4.7pt. Oil realized vol moved from +48.3% to +31.4%. Three of its eight groups moved at once. A second straight session at the top. Wheat still sits near multi-year highs.
- AgricultureWheat moved from $685.5 to $781.0, the biggest such move in at least four years. It still sits near multi-year highs.
- Broad commoditiesThe broad commodity ETF extended to +11.4% on the month (from +4.9%), its biggest move since July 31. The broad commodity ETF realized vol moved from +22.8% to +17.5%.
- Roll yield & carryWheat futures roll drag went from +0.7pt to -4.7pt, its biggest move since September 2023. Copper futures roll drag went from -0.7pt to -1.3pt.
- EnergyOil realized vol moved from +48.3% to +31.4%, its biggest move since July 14. Crude moved from -0.3% to +16.7%.
- ETF flowsCrude (USO) extended to +18.7% on the month (from +1.1%), its biggest move since July 31. The gold ETF moved from +14.3% to +6.9%.
- Commodity volatilityGold vol moved from 28 to 25. Oil vol moved from 46 to 47.
- MetalsGold moved from $4,638 to $4,408.
- Futures positioningNo fresh reading in this group.
FX moved on several fronts. Dollar-rupee realized vol moved from +3.9% to +10.9%, its biggest move since January 2024. Dollar-yen realized vol moved from +9.8% to +4.9%.
- Emerging marketsDollar-rupee realized vol moved from +3.9% to +10.9%, its biggest move since January 2024. Dollar-lira realized vol moved from +1.4% to +2.3%.
- FX volatilityDollar-yen realized vol moved from +9.8% to +4.9%, its biggest move since August 6. Dollar-franc realized vol moved from +8.5% to +7.8%.
- Major pairsAUD/USD held at +2.3% at the latest reading. EUR/USD moved from +2.4% to +0.9%.
- CarryNZD/USD swung from +2.9% to +0.7% on the month.
- DollarAussie-S&P co-movement went from -0.06 to -0.02. The dollar moved from -0.1% to +0.1%.
- Futures positioningNo fresh reading in this group.
Volatility had a single story. S&P realized vol moved from +12.7% to +7.0%, its biggest move since June 11.
- Vol risk premiumS&P realized vol moved from +12.7% to +7.0%, its biggest move since June 11. The oil vol premium moved from -216.1% to +15.2%.
- Stress concentrationThe GVZ/VIX ratio went from 1.79 to 1.58.
- Implied vol complexThe vol complex gauge went from 54.63 to 66.27, its biggest move since August 5. Gold vol moved from 28 to 25.
- Stress gauges & regimeNo fresh reading in this group.
A busy day in equities. S&P realized vol moved from +12.7% to +7.0%, its biggest move since June 11.
- Equity volatilityS&P realized vol moved from +12.7% to +7.0%, its biggest move since June 11. Implied minus realized vol went from 2.79 to 8.85.
- ValuationsShiller CAPE held at 42.04 at the latest reading. The earnings yield sits at +2.4%.
- Factor returnsValue factor swung from -1.8% to +3.3% on the month, its biggest move since August 14. Momentum factor moved from -3.5% to -4.2%.
- 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 +3.6% to -1.3%.
- 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.
- Sector rotationCyclicals vs defensives went from 0.02 to -0.01. Sector rotation velocity went from 2.91 to 4.04.
- Forward earningsForward EPS went from 302 to 300. Forward EPS revisions went from 0.02 to 0.01.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group.
Crypto had a single story. Bitcoin eased to +21.9% on the month (from +23.3%), 3.0 times its normal pace.
- PerformanceBitcoin eased to +21.9% on the month (from +23.3%), 3.0 times its normal pace.
- Cross-asset linkageBitcoin beta to the S&P went from +0.99 to +0.81, its biggest move since July 9. Bitcoin-Nasdaq co-movement went from +0.30 to +0.28.
- Market structureThe ETH/BTC ratio (1-month change) extended to +7.3% on the month (from +4.8%). Stablecoin supply sits at 309.
- Crypto volatilityThe Ethereum ETF realized vol moved from +53.0% to +51.7%. Bitcoin realized vol moved from +40.2% to +40.6%.
- Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from +26.4% to -14.0%.
- Futures positioningNo fresh reading in this group.
Credit was quiet. Nothing moved beyond its normal range.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexJNK ETF flows went from -0.78 to -1.01, its biggest move since April 2. Single-B credit moved from 2.88% to 2.72%.
- Total returnsNo fresh reading in this group.
Macro stayed in range all session.
- 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.
- Liquidity & financial conditionsThe dollar moved from -0.1% to +0.1%.
- 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.
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.
- Term premium & durationLong-Treasury ETF realized vol moved from +12.1% to +10.2%. The 1-3y Treasury ETF realized vol moved from +1.5% to +1.6%.
- 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. Curve curvature went from -0.14 to 0.05.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.46% to 0.41%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from +5.0% to +8.0%.
- 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 60.62 to 86.38.