MGLens

Cross-asset conditions, 3 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 0.45× the norm

#1Commodities

Commodities moved more than anything else. The broad commodity ETF extended to +12.1% on the month (from +4.9%), 4.3 times its normal pace. Wheat extended to +14.2% on the month (from +12.4%). Crude (USO) extended to +23.9% on the month (from +0.5%). Three of its eight groups moved at once. A second straight session at the top.

  • Broad commoditiesThe broad commodity ETF extended to +12.1% on the month (from +4.9%), 4.3 times its normal pace.
  • AgricultureWheat extended to +14.2% on the month (from +12.4%), 3.3 times its normal pace.
  • ETF flowsCrude (USO) extended to +23.9% on the month (from +0.5%), its biggest move since July 31. The gold ETF moved from +13.9% to +5.0%.
  • EnergyCrude swung from -1.1% to +22.5% on the month, its biggest move since July 31.
  • Roll yield & carryWheat futures roll drag went from -1.3pt to -4.2pt, 3.3 times its normal pace. Oil futures roll drag went from +1.6pt to +1.4pt.
  • MetalsGold realized vol moved from +20.8% to +23.5%. Gold moved from $4,610 to $4,506.
  • Commodity volatilityOil vol moved from 46 to 48. Gold vol sits at 27.
  • Futures positioningNo fresh reading in this group.

#2Crypto

A relationship is shifting in crypto. Bitcoin-Nasdaq co-movement went from +0.36 to +0.28, 3.6 times its normal pace. Bitcoin eased to +22.0% on the month (from +25.6%).

  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.36 to +0.28, 3.6 times its normal pace. Bitcoin-S&P co-movement went from +0.37 to +0.29.
  • PerformanceBitcoin eased to +22.0% on the month (from +25.6%), 3.0 times its normal pace. The Bitcoin ETF moved from +25.8% to +21.5%.
  • Crypto volatilityBitcoin-ETF realized vol moved from +37.7% to +39.5%.
  • Market structureStablecoin supply growth eased to +0.9% on the month (from +1.0%).
  • Network activityNo fresh reading in this group. Bitcoin transaction count went from 632,563 to 627,345.
  • 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 +1.8%, its biggest move since August 7.

  • Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.5% to +1.8%, its biggest move since August 7. The 7-10y Treasury ETF realized vol moved from +4.7% to +5.1%.
  • 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 -0.94. ETF flows went from -0.71 to -0.92.
  • Yield curveNo fresh reading in this group. 2-year Treasury yield moved from 4.17% to 4.39%.
  • 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 -1.0%.
  • Rates volatilityNo fresh reading in this group. MOVE moved from 69 to 80.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 64.79 to 90.34.

#4Equities

A busy day in equities. Momentum factor swung from +1.7% to -4.4% on the month, 4.5 times its normal pace.

  • Factor returnsMomentum factor swung from +1.7% to -4.4% on the month, 4.5 times its normal pace. Low-vol factor moved from -1.9% to +1.9%.
  • ValuationsShiller CAPE held at 41.93 at the latest reading. The Fed-model spread sits at -0.02.
  • Equity volatilityS&P realized vol moved from +11.3% to +7.5%, 3.7 times its normal pace. Implied minus realized vol went from 3.20 to 7.49.
  • Sector rotationCyclicals vs defensives went from 0.03 to -0.00, 2.6 times its normal pace. Sector rotation velocity went from 2.33 to 3.88.
  • Market breadthRSP vs S&P, 200-day went from 0.00 to -0.00. Equal-weight vs cap-weight S&P sits at 0.29.
  • Index performanceS&P daily return moved from +0.7% to +0.5%. S&P drawdown from the 1-year peak sits at -0.01.
  • Forward earningsForward EPS went from 304 to 303. 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.

#5FX

Only one thing moved in FX. Dollar-lira realized vol moved from +1.4% to +2.3%, 7.7 times its normal pace.

  • Emerging marketsDollar-lira realized vol moved from +1.4% to +2.3%, 7.7 times its normal pace. Dollar-rupee realized vol moved from +10.8% to +10.9%.
  • FX volatilitySterling-dollar realized vol moved from +4.5% to +3.5%, its biggest move since August 19. Dollar-yen realized vol moved from +9.7% to +11.4%.
  • DollarThe dollar moved from +0.0% to -0.6%, its biggest move since August 19. The broad dollar index went from 118 to 119.
  • Major pairsAUD/USD eased to +2.1% on the month (from +3.0%). USD/JPY moved from -2.8% to -1.4%.
  • CarryNZD/USD swung from +2.9% to +0.0% on the month.
  • Futures positioningNo fresh reading in this group.

#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 -1.04, its biggest move since April 2. Single-B credit moved from 2.84% to 2.75%.
  • Total returnsNo fresh reading in this group.

#7Macro

Macro was quiet. Nothing moved beyond its normal range. The nearest mover was the dollar, from +0.0% to -0.6%.

  • Liquidity & financial conditionsThe dollar moved from +0.0% to -0.6%, its biggest move since August 19.
  • 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.

#8Volatility

No news in volatility. The nearest mover was S&P realized vol, from +11.3% to +7.5%.

  • Vol risk premiumS&P realized vol moved from +11.3% to +7.5%, 3.7 times its normal pace. The gold vol premium moved from +6.0% to +3.6%.
  • Implied vol complexThe vol complex gauge went from 50.30 to 65.78, its biggest move since May 25. MOVE moved from 69 to 80.
  • Stress concentrationThe GVZ/VIX ratio went from 1.85 to 1.81. The MOVE/VIX ratio went from 4.57 to 5.24.
  • Stress gauges & regimeNo fresh reading in this group. Euro-area systemic stress went from 0.01 to 0.03.

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