MGLens

Cross-asset conditions, 16 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

#1Commodities

Most of the day's movement came from commodities. Copper realized vol moved from +16.1% to +25.9%, its biggest move since September 2025. The broad commodity ETF eased to +9.7% on the month (from +9.8%). Crude (USO) extended to +21.6% on the month (from +19.1%). Oil futures roll drag went from +2.2pt to -1.1pt. Two of its eight groups moved at once. A 7th straight session at the top.

  • MetalsCopper realized vol moved from +16.1% to +25.9%, its biggest move since September 2025. Copper moved from $6.8 to $6.5.
  • Broad commoditiesThe broad commodity ETF eased to +9.7% on the month (from +9.8%), 3.4 times its normal pace.
  • ETF flowsCrude (USO) extended to +21.6% on the month (from +19.1%), 3.9 times its normal pace.
  • Roll yield & carryOil futures roll drag went from +2.2pt to -1.1pt, 4.6 times its normal pace. Copper futures roll drag went from -1.0pt to -1.6pt.
  • EnergyCrude extended to +22.7% on the month (from +16.9%), 4.0 times its normal pace.
  • Commodity volatilityOil vol moved from 50 to 59.
  • AgricultureWheat eased to +8.6% on the month (from +11.0%).
  • Futures positioningNo fresh reading in this group.

#2FX

A busy day in FX. NZD/USD deepened to -2.5% on the month (from -0.5%), its biggest move since August 28. Aussie-dollar realized vol moved from +4.8% to +5.8%.

  • CarryNZD/USD deepened to -2.5% on the month (from -0.5%), its biggest move since August 28.
  • FX volatilityAussie-dollar realized vol moved from +4.8% to +5.8%, 3.0 times its normal pace. Dollar-yen realized vol moved from +9.7% to +10.8%.
  • Emerging marketsDollar-peso realized vol moved from +3.8% to +5.1%, 3.7 times its normal pace. Dollar-real realized vol moved from +9.0% to +8.1%.
  • Major pairsUSD/JPY eased to -2.5% on the month (from -3.6%). AUD/USD moved from +2.3% to +0.3%.
  • DollarAussie-S&P co-movement went from -0.05 to -0.10. The dollar moved from -0.0% to +0.1%.
  • Futures positioningNo fresh reading in this group.

#3Rates

Rates had a single story. The 1-3y Treasury ETF deepened to -0.7% on the month (from -0.3%), 3.4 times its normal pace.

  • Term premium & durationThe 1-3y Treasury ETF deepened to -0.7% on the month (from -0.3%), 3.4 times its normal pace. The 7-10y Treasury ETF moved from -0.9% to -1.9%.
  • 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 -0.78.
  • Yield curveNo fresh reading in this group. 2-year Treasury yield moved from 4.37% to 4.65%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from -5.0% to -18.0%.
  • Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.17% to 2.4%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +2.0% to +1.0%.
  • Rates volatilityNo fresh reading in this group. MOVE moved from 76 to 84.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 91.40 to 94.73.

#4Equities

Equities had a single story. Momentum factor swung from +2.0% to -4.5% on the month, its biggest move since August 27.

  • Factor returnsMomentum factor swung from +2.0% to -4.5% on the month, its biggest move since August 27. Value factor moved from +4.7% to -0.9%.
  • Index performanceS&P drawdown from the 1-year peak held at -0.02 at the latest reading. Nikkei 1-month return moved from -2.7% to -5.2%.
  • Forward earningsForward EPS revisions went from 0.03 to 0.01. The forward equity risk premium sits at -0.01.
  • Market breadthSectors above 200dMA went from 0.64 to 0.73. RSP vs S&P, 200-day sits at -0.02.
  • ValuationsShiller CAPE held at 40.71 at the latest reading. The Fed-model spread went from -0.02 to -0.03.
  • Sector rotationSector breadth (50dMA) went from 0.45 to 0.36. Sector dispersion went from 0.04 to 0.03.
  • Equity volatilityS&P realized vol moved from +8.3% to +8.8%. VVIX went from 94.50 to 94.46.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.28 to +0.45.

#5Credit

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 -0.82. Credit curve slope moved from 9.01% to 9.24%.
  • Total returnsNo fresh reading in this group.

#6Crypto

No news in crypto. The nearest mover was Bitcoin, from +23.1% to +16.9%.

  • PerformanceBitcoin eased to +16.9% on the month (from +23.1%). The Bitcoin ETF moved from +22.2% to +17.5%.
  • Crypto volatilityThe Ethereum ETF realized vol moved from +55.0% to +59.7%, its biggest move since August 26.
  • Cross-asset linkageBitcoin-gold co-movement went from +0.65 to +0.63. Bitcoin-Nasdaq co-movement went from +0.25 to +0.24.
  • Market structureThe ETH/BTC ratio (1-month change) extended to +6.9% on the month (from +6.5%).
  • Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +17.5% to +38.7%.
  • Futures positioningNo fresh reading in this group.

#7Macro

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.
  • 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 conditionsThe dollar moved from -0.0% to +0.1%.

#8Volatility

Volatility stayed in range all session. The nearest mover was the vol complex gauge, from 61.61 to 77.12.

  • Implied vol complexThe vol complex gauge went from 61.61 to 77.12, 2.6 times its normal pace. 7-10y implied vol (VXIEF) went from 6.28 to 7.63.
  • Stress concentrationThe OVX/VIX ratio went from 3.03 to 3.52. The GVZ/VIX ratio went from 1.69 to 1.61.
  • Vol risk premiumS&P realized vol moved from +8.3% to +8.8%. The oil vol premium moved from +19.2% to +20.0%.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.69 to -0.08.

Descriptive research, not investment advice · the live lens · all days