Cross-asset conditions, 11 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 0.47× the norm
Commodities moved more than anything else. Copper realized vol moved from +15.3% to +24.0%, its biggest move since September 2025. The broad commodity ETF eased to +10.1% on the month (from +12.2%). Oil vol moved from 46 to 59. Crude (USO) eased to +21.7% on the month (from +23.7%). Three of its eight groups moved at once. A fourth straight session at the top.
- MetalsCopper realized vol moved from +15.3% to +24.0%, its biggest move since September 2025. Copper moved from $6.6 to $6.5.
- Broad commoditiesThe broad commodity ETF eased to +10.1% on the month (from +12.2%), 3.6 times its normal pace.
- Commodity volatilityOil vol moved from 46 to 59, its biggest move since July 17. Gold vol moved from 27 to 26.
- ETF flowsCrude (USO) eased to +21.7% on the month (from +23.7%), 4.0 times its normal pace.
- AgricultureWheat eased to +11.3% on the month (from +14.6%), 2.7 times its normal pace.
- EnergyCrude eased to +20.4% on the month (from +21.4%), 3.6 times its normal pace.
- Roll yield & carryWheat futures roll drag went from -1.9pt to -3.5pt. Oil futures roll drag went from +2.3pt to +1.3pt.
- Futures positioningNo fresh reading in this group.
The change in crypto is in how things move together. Bitcoin-Nasdaq co-movement went from +0.29 to +0.20, 3.6 times its normal pace. Bitcoin eased to +22.0% on the month (from +24.0%).
- Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.29 to +0.20, 3.6 times its normal pace. Bitcoin-gold co-movement went from +0.61 to +0.66.
- PerformanceBitcoin eased to +22.0% on the month (from +24.0%), 3.0 times its normal pace. The Bitcoin ETF moved from +26.2% to +22.0%.
- Market structureThe ETH/BTC ratio held at 0.03 at the latest reading. That is its highest level in about six months.
- Crypto volatilityBitcoin realized vol moved from +44.5% to +45.4%. Bitcoin-ETF realized vol moved from +42.8% to +44.7%.
- Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +14.7% to +14.5%.
- Futures positioningNo fresh reading in this group.
Rates had a single story. The 1-3y Treasury ETF deepened to -0.7% on the month (from -0.2%), its biggest move since March 30.
- Term premium & durationThe 1-3y Treasury ETF deepened to -0.7% on the month (from -0.2%), its biggest move since March 30. The 7-10y Treasury ETF moved from -1.1% to -2.1%.
- Rates volatilityMOVE moved from 75 to 82. Rate realized vol moved from +65.2% to +68.7%.
- 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 & positioningETF flows went from -0.48 to -0.74, its biggest move since August 13. TLT ETF flows went from -1.26 to -0.79.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +0.0% to +12.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from -3.0% to -9.0%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from +1.0% to +9.0%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -1.0% to +3.0%.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 88.95 to 96.53.
FX had a single story. USD/JPY deepened to -3.5% on the month (from -1.2%).
- Major pairsUSD/JPY deepened to -3.5% on the month (from -1.2%). AUD/USD moved from +2.0% to +1.5%.
- DollarAussie-S&P co-movement went from -0.03 to -0.12.
- CarryNZD/USD deepened to -0.8% on the month (from -0.0%), its biggest move since August 28.
- FX volatilityDollar-yen realized vol moved from +9.2% to +9.8%. Aussie-dollar realized vol moved from +5.2% to +5.5%.
- Emerging marketsDollar-real realized vol moved from +9.3% to +8.1%, its biggest move since July 23. Dollar-rand realized vol moved from +8.1% to +7.4%.
- Futures positioningNo fresh reading in this group.
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 -0.75 to -0.83. Credit curve slope moved from 8.99% to 9.15%.
- Total returnsNo fresh reading in this group.
Equities was quiet. Nothing moved beyond its normal range. The nearest mover was VIX, from +21.0% to -200.0%.
- Equity volatilityVIX moved from +21.0% to -200.0%, its biggest move since July 30. VVIX went from 83.80 to 91.28.
- Market breadthRSP vs S&P, 200-day went from -0.01 to -0.02. Sectors above 200dMA went from 0.73 to 0.64.
- Sector rotationSector breadth (50dMA) went from 0.73 to 0.36. Sector rotation velocity went from 3.54 to 2.49.
- Index performanceS&P daily return moved from +1.1% to +0.9%. S&P drawdown from the 1-year peak went from -0.01 to -0.02.
- Factor returnsSize factor deepened to -3.3% on the month (from -2.0%), its biggest move since July 28. Momentum factor moved from -3.8% to -1.4%.
- Forward earningsForward EPS went from 307 to 304. The forward equity risk premium sits at -0.01.
- ValuationsShiller CAPE held at 40.73 at the latest reading. The Fed-model spread sits at -0.02.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.33 to +0.25.
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 -0.6% to +0.1%. Net liquidity moved from $5.77tn to $5.86tn.
- 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 volatility. The nearest mover was oil vol, from 46 to 59.
- Implied vol complexOil vol moved from 46 to 59, its biggest move since July 17. 7-10y implied vol (VXIEF) went from 6.26 to 8.11.
- Stress concentrationThe OVX/VIX ratio went from 3.24 to 3.72, its biggest move since July 29. The GVZ/VIX ratio went from 1.90 to 1.62.
- Vol risk premiumThe oil vol premium moved from +13.0% to +20.8%. The gold vol premium moved from +4.2% to +269.0%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.58 to -0.23.