MGLens

Cross-asset conditions, 17 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 0.50× the norm

#1Crypto

Crypto moved more than anything else. Ethereum realized vol moved from +69.7% to +44.3%, its biggest move since August 25. Bitcoin-dollar co-movement went from -0.49 to -0.41. The Bitcoin ETF eased to +18.4% on the month (from +21.5%).

  • Crypto volatilityEthereum realized vol moved from +69.7% to +44.3%, its biggest move since August 25. The Ethereum ETF realized vol moved from +55.1% to +59.6%.
  • Cross-asset linkageBitcoin-dollar co-movement went from -0.49 to -0.41, its biggest move since August 19. Bitcoin-Nasdaq co-movement sits at +0.21.
  • PerformanceThe Bitcoin ETF eased to +18.4% on the month (from +21.5%). Bitcoin moved from +20.8% to +10.5%.
  • Market structureStablecoin supply went from 310 to 309. The ETH/BTC ratio sits at 0.03.
  • Network activityNo fresh reading in this group. Bitcoin miner-revenue growth moved from +10.2% to +8.5%.
  • Futures positioningNo fresh reading in this group.

#2Commodities

Commodities moved on several fronts. The broad commodity ETF eased to +8.2% on the month (from +12.2%), 2.9 times its normal pace. Crude (USO) eased to +17.9% on the month (from +24.1%).

  • Broad commoditiesThe broad commodity ETF eased to +8.2% on the month (from +12.2%), 2.9 times its normal pace.
  • ETF flowsCrude (USO) eased to +17.9% on the month (from +24.1%), 3.3 times its normal pace.
  • EnergyCrude eased to +18.7% on the month (from +23.2%), 3.3 times its normal pace.
  • AgricultureWheat eased to +8.8% on the month (from +14.8%).
  • Roll yield & carryOil futures roll drag went from +0.9pt to -0.8pt, 2.5 times its normal pace. Copper futures roll drag went from -0.7pt to -0.8pt.
  • Commodity volatilityGold vol moved from 28 to 26, its biggest move since September 1. Oil vol moved from 61 to 56.
  • MetalsCopper realized vol moved from +23.6% to +26.7%. Copper moved from $6.5 to $6.6.
  • Futures positioningNo fresh reading in this group.

#3Rates

Rates had a single story. The 1-3y Treasury ETF deepened to -0.8% on the month (from -0.5%), 3.8 times its normal pace.

  • Term premium & durationThe 1-3y Treasury ETF deepened to -0.8% on the month (from -0.5%), 3.8 times its normal pace. The 7-10y Treasury ETF moved from -1.8% 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 -0.47 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 4.39% to 4.67%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from -7.0% to -26.0%.
  • Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.17% to 2.42%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +0.0% to -5.0%.
  • Rates volatilityNo fresh reading in this group. MOVE moved from 77 to 81.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 92.49 to 95.88.

#4FX

FX had a single story. NZD/USD deepened to -2.2% on the month (from -0.6%).

  • CarryNZD/USD deepened to -2.2% on the month (from -0.6%).
  • FX volatilityAussie-dollar realized vol moved from +4.8% to +5.7%, 2.6 times its normal pace. Sterling-dollar realized vol moved from +3.7% to +4.4%.
  • Major pairsUSD/CHF swung from -0.1% to +1.4% on the month, its biggest move since August 27. USD/JPY moved from -3.6% to -2.6%.
  • DollarAussie-S&P co-movement went from -0.09 to -0.12. The dollar moved from +0.2% to -0.2%.
  • Emerging marketsUSD/TRY extended to +1.6% on the month (from +1.5%). Dollar-peso realized vol moved from +3.8% to +5.1%.
  • Futures positioningNo fresh reading in this group.

#5Equities

Only one thing moved in equities. VIX moved from +138.0% to -190.0%, 2.7 times its normal pace.

  • Equity volatilityVIX moved from +138.0% to -190.0%, 2.7 times its normal pace. VVIX went from 103 to 91.17.
  • Index performanceS&P drawdown from the 1-year peak went from -0.03 to -0.02. S&P daily return moved from -0.6% to +0.9%.
  • Market breadthThe advance-decline line deepened to -27.0% on the month (from -23.0%). Sectors above 200dMA sits at 0.45.
  • Factor returnsValue factor swung from +3.2% to -0.3% on the month. Momentum factor moved from -0.0% to -0.8%.
  • ValuationsShiller CAPE held at 40.52 at the latest reading. The Fed-model spread went from -0.02 to -0.03.
  • Forward earningsForward EPS revisions went from 0.04 to 0.03. The forward equity risk premium sits at -0.01.
  • Sector rotationLeading-sector count went from 3.00 to 2.00. Sector breadth (50dMA) went from 0.27 to 0.36.
  • 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.

#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 -0.75 to -0.82. Credit curve slope moved from 9.01% to 9.24%.
  • Total returnsNo fresh reading in this group.

#7Macro

Little happened 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 1.3m 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 -0.2%.
  • 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. Initial claims moved from -8.0% to -10.4%.

#8Volatility

No news in volatility. The nearest mover was VIX, from +138.0% to -190.0%.

  • Implied vol complexVIX moved from +138.0% to -190.0%, 2.7 times its normal pace. The vol complex gauge went from 70.30 to 69.44.
  • Vol risk premiumThe oil vol premium moved from +24.1% to +14.4%. Implied minus realized vol went from 9.44 to 6.70.
  • Stress concentrationVol complex co-movement went from +0.34 to +0.37. The OVX/VIX ratio went from 3.41 to 3.53.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.35 to -0.10.

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