MGLens

Cross-asset conditions, 8 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 0.53× the norm

#1Crypto

Crypto moved more than anything else. Bitcoin eased to +21.9% on the month (from +22.0%), 3.0 times its normal pace. Bitcoin-ETF realized vol moved from +37.8% to +45.6%. Bitcoin-Nasdaq co-movement went from +0.36 to +0.25.

  • PerformanceBitcoin eased to +21.9% on the month (from +22.0%), 3.0 times its normal pace. The Bitcoin ETF moved from +25.3% to +19.9%.
  • Crypto volatilityBitcoin-ETF realized vol moved from +37.8% to +45.6%. Bitcoin realized vol moved from +41.0% to +44.9%.
  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.36 to +0.25. Bitcoin-S&P co-movement went from +0.36 to +0.29.
  • Market structureThe ETH/BTC ratio (1-month change) extended to +7.7% on the month (from +6.7%), its biggest move since August 24.
  • Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +24.4% to -1.6%.
  • Futures positioningNo fresh reading in this group.

#2Commodities

Commodities moved on several fronts. Wheat eased to +15.9% on the month (from +18.3%), 3.8 times its normal pace. The broad commodity ETF extended to +11.7% on the month (from +6.3%).

  • AgricultureWheat eased to +15.9% on the month (from +18.3%), 3.8 times its normal pace.
  • Broad commoditiesThe broad commodity ETF extended to +11.7% on the month (from +6.3%), 4.1 times its normal pace.
  • ETF flowsCrude (USO) extended to +23.0% on the month (from +3.5%), 4.2 times its normal pace. The gold ETF moved from +9.9% to +1.3%.
  • EnergyCrude extended to +19.4% on the month (from +1.3%), 3.5 times its normal pace.
  • Roll yield & carryWheat futures roll drag went from -1.5pt to -3.9pt. Oil futures roll drag went from +2.2pt to +3.6pt.
  • Commodity volatilityGold vol moved from 24 to 27.
  • MetalsCopper moved from $6.6 to $6.8, its biggest move since August 5. Copper realized vol moved from +16.2% to +18.9%.
  • Futures positioningNo fresh reading in this group.

#3Rates

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.
  • Flows & positioningTLT ETF flows went from -0.95 to -1.25. ETF flows went from -0.93 to 0.44.
  • Term premium & durationThe 1-3y Treasury ETF realized vol held at +1.6% at the latest reading. The 7-10y Treasury ETF realized vol sits at +4.8%.
  • 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 2.31% to 2.35%.
  • Rates volatilityNo fresh reading in this group. The MOVE-to-realized ratio went from 0.97 to 1.14.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 63.41 to 82.26.

#4Equities

Equities had a single story. Forward EPS revisions went from 0.01 to 0.04.

  • Forward earningsForward EPS revisions went from 0.01 to 0.04. The forward equity risk premium sits at -0.01.
  • ValuationsShiller CAPE held at 41.41 at the latest reading. The Fed-model spread sits at -0.02.
  • Factor returnsLow-vol factor eased to +0.4% on the month (from +1.0%). Momentum factor moved from -2.4% to +0.0%.
  • Equity volatilityS&P realized vol moved from +10.2% to +8.0%. Implied minus realized vol went from 4.68 to 7.73.
  • Sector rotationSector dispersion went from 0.04 to 0.03, its biggest move since August 21. Cyclicals vs defensives went from 0.01 to -0.01.
  • Market breadthRSP vs S&P, 200-day went from -0.00 to -0.01. Equal-weight vs cap-weight S&P went from 0.29 to 0.28.
  • Index performanceS&P drawdown from the 1-year peak held at -0.01 at the latest reading. S&P daily return sits at -0.3%.
  • 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%.

#5Macro

Only one thing moved 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.
  • Liquidity & financial conditionsThe dollar moved from -0.2% to -0.4%.
  • 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.

#6Credit

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

  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Spread complexJNK ETF flows went from -1.01 to -0.75. Credit curve slope moved from 8.78% to 8.99%.
  • Total returnsNo fresh reading in this group.

#7FX

No news in FX. The nearest mover was Aussie-dollar realized vol, from +5.8% to +4.9%.

  • FX volatilityAussie-dollar realized vol moved from +5.8% to +4.9%. Dollar-yen realized vol moved from +7.6% to +9.1%.
  • Major pairsAUD/USD extended to +2.3% on the month (from +1.8%). USD/CAD sits at -1.2%.
  • DollarThe dollar moved from -0.2% to -0.4%.
  • CarryNZD/USD swung from +0.4% to -0.5% on the month.
  • Emerging marketsDollar-rand realized vol moved from +8.3% to +7.2%. Dollar-lira realized vol sits at +2.3%.
  • Futures positioningNo fresh reading in this group.

#8Volatility

Volatility was quiet. Nothing moved beyond its normal range. The nearest mover was the GVZ/VIX ratio, from 1.64 to 1.75.

  • Stress concentrationThe GVZ/VIX ratio went from 1.64 to 1.75. The MOVE/VIX ratio went from 4.92 to 5.03.
  • Vol risk premiumThe gold vol premium moved from +99.0% to +5.0%. S&P realized vol moved from +10.2% to +8.0%.
  • Implied vol complexThe vol complex gauge went from 59.62 to 69.18. MOVE moved from 71 to 73.
  • Stress gauges & regimeNo fresh reading in this group. Euro-area systemic stress went from 0.02 to 0.03.

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