Cross-asset conditions, 7 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 0.17× the norm
Credit had a single story. Corporate charge-off rate held at 0.58% at the latest reading.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexNo fresh reading in this group. Credit curve slope moved from 8.78% to 8.99%.
- Total returnsNo fresh reading in this group.
Only one thing moved in rates. Net interest to GDP held at 3.15% at the latest reading.
- Fiscal & stock-bond contextNet interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.
- Yield curveNo fresh reading in this group. 2-year Treasury yield moved from 4.2% to 4.34%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.39% to 0.41%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.07% to 2.15%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -2.0% to +0.0%.
- Term premium & durationNo fresh reading in this group. The 1-3y Treasury ETF realized vol moved from +1.6% to +1.7%.
- Rates volatilityNo fresh reading in this group. The MOVE-to-realized ratio went from 0.97 to 1.14.
- Flows & positioningNo fresh reading in this group. TLT ETF flows went from -0.95 to -1.26.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 63.41 to 82.26.
Commodities had a single story. Oil realized vol moved from +41.4% to +29.2%, 3.4 times its normal pace.
- EnergyOil realized vol moved from +41.4% to +29.2%, 3.4 times its normal pace. Crude moved from +1.3% to +10.0%.
- MetalsCopper realized vol moved from +16.2% to +14.7%. Gold moved from $4,431 to $4,477.
- AgricultureNo fresh reading in this group. Wheat moved from $767.0 to $716.0.
- Broad commoditiesNo fresh reading in this group. The broad commodity ETF moved from +5.0% to +10.5%.
- Roll yield & carryNo fresh reading in this group. Wheat futures roll drag went from -1.9pt to -1.7pt.
- Commodity volatilityNo fresh reading in this group. Gold vol moved from 25 to 27.
- Futures positioningNo fresh reading in this group.
- ETF flowsNo fresh reading in this group. Crude (USO) moved from +1.7% to +19.4%.
FX moved on several fronts. USD/JPY deepened to -3.0% on the month (from -0.0%), its biggest move since March 19.
- Major pairsUSD/JPY deepened to -3.0% on the month (from -0.0%), its biggest move since March 19. AUD/USD moved from +2.0% to +2.4%.
- FX volatilityAussie-dollar realized vol moved from +5.8% to +4.8%. Dollar-yen realized vol moved from +7.6% to +8.7%.
- Emerging marketsDollar-rand realized vol moved from +8.2% to +7.0%. Dollar-rupee realized vol moved from +10.8% to +10.9%.
- CarryNZD/USD swung from +0.8% to -0.2% on the month.
- DollarNo fresh reading in this group. The dollar moved from +0.6% to +0.2%.
- Futures positioningNo fresh reading in this group.
Only one thing moved in volatility. The vol complex gauge went from 51.29 to 33.99, its biggest move since January 2026.
- Implied vol complexThe vol complex gauge went from 51.29 to 33.99, its biggest move since January 2026. MOVE moved from 71 to 73.
- Stress concentrationVol complex co-movement went from +0.34 to +0.31, its biggest move since August 11. The GVZ/VIX ratio went from 1.74 to 1.83.
- Vol risk premiumNo fresh reading in this group. S&P realized vol moved from +10.3% to +8.2%.
- Stress gauges & regimeNo fresh reading in this group. Euro-area systemic stress went from 0.02 to 0.03.
A busy day in macro. Debt-to-GDP held at 123% at the latest reading.
- 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. The dollar moved from +0.6% to +0.2%.
Crypto had a single story. Bitcoin eased to +24.6% on the month (from +25.1%), 3.3 times its normal pace.
- PerformanceBitcoin eased to +24.6% on the month (from +25.1%), 3.3 times its normal pace. The Bitcoin ETF moved from +19.6% to +24.0%.
- Crypto volatilityBitcoin realized vol moved from +40.0% to +43.9%. Bitcoin-ETF realized vol moved from +40.1% to +44.0%.
- Cross-asset linkageBitcoin-gold co-movement went from +0.60 to +0.65. Bitcoin-Nasdaq co-movement went from +0.36 to +0.28.
- Market structureStablecoin supply went from 309 to 311.
- Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +28.1% to +47.7%.
- Futures positioningNo fresh reading in this group.
Equities was quiet. Nothing moved beyond its normal range.
- ValuationsShiller CAPE held at 41.41 at the latest reading. The Fed-model spread sits at -0.02.
- Sector rotationSector leadership persistence went from -0.00 to 0.11, its biggest move since August 10. Cyclicals vs defensives went from 0.02 to -0.01.
- Equity volatilityVIX moved from +49.0% to +77.0%. S&P realized vol moved from +10.3% to +8.2%.
- Forward earningsThe forward earnings yield held at +4.0% at the latest reading. Forward EPS revisions sits at 0.05.
- Index performanceThe Stoxx swung from +1.0% to -2.2% on the month. S&P drawdown from the 1-year peak sits at -0.01.
- Market breadthThe advance-decline line deepened to -3.0% on the month (from -200.0%). RSP vs S&P, 200-day went from -0.00 to -0.01.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +72.2% to +65.8%.
- Factor returnsNo fresh reading in this group. Momentum factor moved from -3.3% to -1.3%.