Cross-asset conditions, 14 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 0.23× the norm
Most of the day's movement came from rates. The 1-3y Treasury ETF deepened to -0.8% on the month (from -0.1%), its biggest move since March 26. Net interest to GDP held at 3.15% at the latest reading.
- Term premium & durationThe 1-3y Treasury ETF deepened to -0.8% on the month (from -0.1%), its biggest move since March 26. The 7-10y Treasury ETF moved from -0.8% to -2.1%.
- 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 & positioningETF flows went from -0.48 to -0.74. TLT ETF flows went from -1.26 to -0.79.
- Yield curveNo fresh reading in this group. 2-year Treasury yield moved from 4.34% to 4.63%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.43% to 0.33%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.15% to 2.38%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +1.0% to -4.0%.
- Rates volatilityNo fresh reading in this group. MOVE moved from 73 to 82.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 82.26 to 93.57.
A busy day in commodities. The broad commodity ETF eased to +8.5% on the month (from +10.5%), 3.0 times its normal pace. Crude (USO) extended to +20.2% on the month (from +19.4%).
- Broad commoditiesThe broad commodity ETF eased to +8.5% on the month (from +10.5%), 3.0 times its normal pace.
- ETF flowsCrude (USO) extended to +20.2% on the month (from +19.4%), 3.7 times its normal pace.
- EnergyCrude extended to +20.5% on the month (from +18.4%), 3.6 times its normal pace.
- AgricultureWheat eased to +7.0% on the month (from +13.4%).
- MetalsCopper deepened to -3.1% on the month (from -1.3%), its biggest move since August 27. Copper realized vol moved from +15.4% to +23.8%.
- Roll yield & carryNo fresh reading in this group. Oil futures roll drag went from +1.1pt to -0.2pt.
- Commodity volatilityNo fresh reading in this group. Oil vol moved from 45 to 59.
- Futures positioningNo fresh reading in this group.
FX moved on several fronts. Dollar-peso realized vol moved from +3.6% to +5.1%, its biggest move since February 2026. NZD/USD swung from +0.2% to -2.2% on the month.
- Emerging marketsDollar-peso realized vol moved from +3.6% to +5.1%, its biggest move since February 2026. Dollar-rand realized vol moved from +8.0% to +7.9%.
- Major pairsUSD/JPY deepened to -3.1% on the month (from -1.4%). AUD/USD moved from +2.5% to +0.5%.
- CarryNZD/USD swung from +0.2% to -2.2% on the month, its biggest move since August 28.
- FX volatilityAussie-dollar realized vol moved from +4.9% to +5.8%. Dollar-yen realized vol moved from +9.1% to +10.0%.
- DollarThe dollar moved from +0.2% to +0.4%. Aussie-S&P co-movement went from -0.07 to -0.10.
- Futures positioningNo fresh reading in this group.
Only one thing moved in volatility. The vol complex gauge went from 33.99 to 66.30, its biggest move since April 2025.
- Implied vol complexThe vol complex gauge went from 33.99 to 66.30, its biggest move since April 2025. 7-10y implied vol (VXIEF) went from 6.26 to 7.56.
- Stress concentrationVol complex co-movement went from +0.32 to +0.35. The GVZ/VIX ratio went from 1.83 to 1.55.
- Vol risk premiumNo fresh reading in this group. The oil vol premium moved from +12.1% to +23.0%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.52 to -0.15.
Crypto had a single story. Bitcoin extended to +22.8% on the month (from +21.9%), 3.1 times its normal pace.
- PerformanceBitcoin extended to +22.8% on the month (from +21.9%), 3.1 times its normal pace. The Bitcoin ETF moved from +24.0% to +22.8%.
- 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 +44.9% to +45.4%. Bitcoin-ETF realized vol moved from +44.0% to +44.4%.
- Cross-asset linkageNo fresh reading in this group. Bitcoin-Nasdaq co-movement went from +0.28 to +0.23.
- Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +43.3% to +42.9%.
- Futures positioningNo fresh reading in this group.
Credit was quiet. Nothing moved beyond its normal range.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexJNK ETF flows went from -0.75 to -0.82. Credit curve slope moved from 8.99% to 9.26%.
- Total returnsNo fresh reading in this group.
Little happened in equities. The nearest mover was S&P drawdown from the 1-year peak, from -0.01 to -0.02.
- Index performanceS&P drawdown from the 1-year peak went from -0.01 to -0.02. S&P daily return moved from -0.4% to -0.5%.
- Equity volatilityVIX moved from +77.0% to +126.0%. VVIX went from 84.42 to 94.89.
- ValuationsShiller CAPE held at 41.09 at the latest reading. The Fed-model spread went from -0.02 to -0.03.
- Market breadthThe advance-decline line deepened to -19.0% on the month (from -7.0%). Sectors above 200dMA went from 0.73 to 0.64.
- Sector rotationSector leadership persistence went from 0.08 to 0.17, its biggest move since August 20. Sector breadth (50dMA) went from 0.55 to 0.36.
- Forward earningsThe forward earnings yield held at +4.0% at the latest reading. 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 +0.32 to +0.38.
- Factor returnsNo fresh reading in this group. Momentum factor moved from -1.3% to -5.5%.
No news in macro.
- 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%. 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.