Cross-asset conditions, 15 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 0.46× the norm
Commodities moved more than anything else. Copper realized vol moved from +15.9% to +25.4%, its biggest move since September 2025. Oil futures roll drag went from +4.8pt to -0.7pt. The broad commodity ETF eased to +9.6% on the month (from +12.1%). Crude (USO) eased to +21.9% on the month (from +23.8%). Three of its eight groups moved at once. A 6th straight session at the top.
- MetalsCopper realized vol moved from +15.9% to +25.4%, its biggest move since September 2025. Copper moved from $6.7 to $6.4.
- Roll yield & carryOil futures roll drag went from +4.8pt to -0.7pt, its biggest move since May 18. Copper futures roll drag went from -0.9pt to -1.4pt.
- Broad commoditiesThe broad commodity ETF eased to +9.6% on the month (from +12.1%), 3.4 times its normal pace.
- ETF flowsCrude (USO) eased to +21.9% on the month (from +23.8%), 4.0 times its normal pace.
- EnergyCrude extended to +22.6% on the month (from +19.0%), 4.0 times its normal pace.
- Commodity volatilityOil vol moved from 49 to 60, 2.7 times its normal pace.
- AgricultureWheat eased to +6.1% on the month (from +14.1%).
- Futures positioningNo fresh reading in this group.
A relationship is shifting in FX. Aussie-S&P co-movement went from -0.03 to -0.10, its biggest move since July 16. NZD/USD deepened to -2.4% on the month (from -0.1%).
- DollarAussie-S&P co-movement went from -0.03 to -0.10, its biggest move since July 16. The dollar moved from -0.3% to +0.1%.
- CarryNZD/USD deepened to -2.4% on the month (from -0.1%), its biggest move since August 28.
- Emerging marketsDollar-peso realized vol moved from +3.8% to +5.2%, its biggest move since February 2026. Dollar-real realized vol moved from +9.0% to +8.0%.
- FX volatilityAussie-dollar realized vol moved from +4.8% to +5.8%, 2.8 times its normal pace. Dollar-yen realized vol moved from +10.3% to +10.9%.
- Major pairsUSD/JPY deepened to -2.8% on the month (from -2.6%). AUD/USD moved from +2.2% to +0.4%.
- Futures positioningNo fresh reading in this group.
Rates had a single story. The 1-3y Treasury ETF deepened to -0.8% on the month (from -0.3%), 3.7 times its normal pace.
- Term premium & durationThe 1-3y Treasury ETF deepened to -0.8% on the month (from -0.3%), 3.7 times its normal pace. The 7-10y Treasury ETF moved from -1.1% to -2.2%.
- 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 -0.73. TLT ETF flows went from -1.25 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 -3.0% to -16.0%.
- 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 +0.0% to +1.0%.
- Rates volatilityNo fresh reading in this group. MOVE moved from 73 to 84.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 82.26 to 93.57.
Only one thing moved in equities. Momentum factor swung from +0.7% to -5.1% on the month, 4.3 times its normal pace.
- Factor returnsMomentum factor swung from +0.7% to -5.1% on the month, 4.3 times its normal pace. Value factor moved from +4.3% to -0.2%.
- Index performanceS&P drawdown from the 1-year peak held at -0.02 at the latest reading. Nikkei 1-month return moved from -0.5% to -5.9%.
- Market breadthThe advance-decline line deepened to -26.0% on the month (from -6.0%), its biggest move since April 28. Sectors above 200dMA went from 0.73 to 0.64.
- Forward earningsForward EPS revisions went from 0.04 to 0.01. The forward equity risk premium sits at -0.01.
- Sector rotationSector breadth (50dMA) went from 0.55 to 0.36. Sector rotation velocity went from 2.86 to 2.21.
- Equity volatilityVVIX went from 88.69 to 95.64. VIX moved from 16 to 17.
- ValuationsForward P/E held at 25.22 at the latest reading. The Fed-model spread went from -0.02 to -0.03.
- 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.
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 -0.75 to -0.82. Credit curve slope moved from 8.99% to 9.26%.
- Total returnsNo fresh reading in this group.
Little happened in crypto. The nearest mover was Bitcoin, from +22.7% to +17.9%.
- PerformanceBitcoin eased to +17.9% on the month (from +22.7%). The Bitcoin ETF moved from +20.6% to +18.5%.
- Market structureThe ETH/BTC ratio (1-month change) held at +8.2% at the latest reading.
- Crypto volatilityThe Ethereum ETF realized vol moved from +55.9% to +58.1%. Bitcoin-ETF realized vol moved from +45.1% to +46.9%.
- Cross-asset linkageBitcoin-S&P co-movement went from +0.29 to +0.27. Bitcoin-Nasdaq co-movement went from +0.25 to +0.23.
- Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from +12.3% to +10.2%.
- Futures positioningNo fresh reading in this group.
Macro was quiet. Nothing moved beyond its normal range.
- 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 -0.3% 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.
No news in volatility. The nearest mover was the vol complex gauge, from 57.94 to 78.09.
- Implied vol complexThe vol complex gauge went from 57.94 to 78.09, 3.4 times its normal pace. 7-10y implied vol (VXIEF) went from 6.12 to 7.59.
- Stress concentrationVol complex co-movement went from +0.31 to +0.35, its biggest move since August 5. The GVZ/VIX ratio went from 1.73 to 1.62.
- Vol risk premiumThe oil vol premium moved from +15.6% to +23.4%. The equity vol premium moved from +181.1% to +213.7%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.59 to -0.28.