MGLens

Cross-asset conditions, 2 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 0.54× the norm

#1Commodities

Most of the day's movement came from commodities. Wheat extended to +21.3% on the month (from +10.3%), the biggest such move in at least four years. The broad commodity ETF extended to +12.8% on the month (from +6.6%). Crude (USO) extended to +21.9% on the month (from +5.7%). Wheat futures roll drag went from -0.6pt to -4.6pt. Three of its eight groups moved at once.

  • AgricultureWheat extended to +21.3% on the month (from +10.3%), the biggest such move in at least four years. That is its highest level in about six months.
  • Broad commoditiesThe broad commodity ETF extended to +12.8% on the month (from +6.6%), its biggest move since July 24.
  • ETF flowsCrude (USO) extended to +21.9% on the month (from +5.7%), its biggest move since July 31. The gold ETF moved from +14.1% to +7.6%.
  • Roll yield & carryWheat futures roll drag went from -0.6pt to -4.6pt, its biggest move since May 2024. Copper futures roll drag went from +0.2pt to -1.3pt.
  • EnergyCrude extended to +19.7% on the month (from +3.7%), its biggest move since July 31. Oil realized vol moved from +46.1% to +33.8%.
  • MetalsGold realized vol moved from +20.9% to +24.8%, its biggest move since August 5. Gold moved from +13.9% to +8.2%.
  • Commodity volatilityGold vol moved from 27 to 26. Oil vol moved from 47 to 48.
  • Futures positioningNo fresh reading in this group.

#2FX

FX moved on several fronts. Dollar-yen realized vol moved from +9.7% to +5.6%, 6.5 times its normal pace. Dollar-lira realized vol moved from +1.4% to +2.3%.

  • FX volatilityDollar-yen realized vol moved from +9.7% to +5.6%, 6.5 times its normal pace. Aussie-dollar realized vol moved from +6.4% to +5.1%.
  • Emerging marketsDollar-lira realized vol moved from +1.4% to +2.3%, its biggest move since March 2025. Dollar-rupee realized vol moved from +8.1% to +10.8%.
  • Major pairsAUD/USD held at +2.5% at the latest reading. EUR/USD moved from +2.7% to +0.7%.
  • DollarAussie-S&P co-movement went from -0.06 to -0.03. The dollar moved from +0.3% to -0.1%.
  • CarryNZD/USD swung from +3.6% to -0.2% on the month.
  • Futures positioningNo fresh reading in this group.

#3Volatility

Volatility had a single story. S&P realized vol moved from +12.7% to +7.2%, its biggest move since June 11.

  • Vol risk premiumS&P realized vol moved from +12.7% to +7.2%, its biggest move since June 11. The oil vol premium moved from +71.9% to +13.9%.
  • Implied vol complexMOVE moved from 69 to 78, its biggest move since August 7. Gold vol moved from 27 to 26.
  • Stress concentrationThe MOVE/VIX ratio went from 4.57 to 5.12, its biggest move since August 5. The GVZ/VIX ratio went from 1.77 to 1.72.
  • Stress gauges & regimeNo fresh reading in this group.

#4Equities

Equities moved on several fronts. Momentum factor swung from +0.6% to -4.4% on the month, 3.7 times its normal pace.

  • Factor returnsMomentum factor swung from +0.6% to -4.4% on the month, 3.7 times its normal pace. Quality factor moved from -0.9% to -0.7%.
  • Equity volatilityS&P realized vol moved from +12.7% to +7.2%, its biggest move since June 11. Implied minus realized vol went from 2.53 to 7.97.
  • 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.
  • ValuationsShiller CAPE held at 41.74 at the latest reading. The Fed-model spread sits at -0.02.
  • Sector rotationCyclicals vs defensives went from 0.03 to -0.01, its biggest move since August 5. Sector rotation velocity went from 2.38 to 4.44.
  • 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 +3.3% to -0.9%.
  • Forward earningsForward EPS revisions went from 0.02 to 0.01. The forward equity risk premium sits at -0.01.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.31 to +0.34.

#5Rates

Rates had a single story. The 1-3y Treasury ETF realized vol moved from +1.5% to +1.7%, 3.4 times its normal pace.

  • Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.5% to +1.7%, 3.4 times its normal pace. Long-Treasury ETF realized vol moved from +11.9% to +10.4%.
  • Rates volatilityMOVE moved from 69 to 78, its biggest move since August 7. The MOVE-to-realized ratio went from 0.95 to 1.11.
  • 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. 5-year Treasury yield moved from 4.35% to 4.55%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.47% to 0.4%.
  • Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.04% to 2.18%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +0.0% to +4.0%.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 64.79 to 90.34.

#6Credit

Credit stayed in range all session.

  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Spread complexJNK ETF flows went from -0.78 to -1.02, its biggest move since April 2. Single-B credit moved from 2.84% to 2.75%.
  • Total returnsNo fresh reading in this group.

#7Crypto

Crypto was quiet. Nothing moved beyond its normal range. The nearest mover was Bitcoin, from +23.7% to +20.9%.

  • PerformanceBitcoin eased to +20.9% on the month (from +23.7%), 2.9 times its normal pace. The Bitcoin ETF moved from +23.0% to +20.3%.
  • Cross-asset linkageBitcoin-S&P co-movement went from +0.34 to +0.29. Bitcoin-Nasdaq co-movement went from +0.32 to +0.29.
  • Crypto volatilityBitcoin-ETF realized vol moved from +37.9% to +39.4%. Bitcoin realized vol moved from +40.1% to +41.1%.
  • Market structureThe ETH/BTC ratio held at 0.03 at the latest reading. Stablecoin supply sits at 309.
  • Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +27.4% to +21.6%.
  • 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.
  • Liquidity & financial conditionsThe dollar moved from +0.3% 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.

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