Cross-asset conditions, 18 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 0.54× the norm
Most of the day's movement came from FX. NZD/USD deepened to -3.5% on the month (from -0.9%), its biggest move since August 26. Dollar-franc realized vol moved from +7.7% to +5.2%. USD/CHF extended to +3.0% on the month (from +0.0%). Two of its six groups moved at once.
- CarryNZD/USD deepened to -3.5% on the month (from -0.9%), its biggest move since August 26.
- FX volatilityDollar-franc realized vol moved from +7.7% to +5.2%, its biggest move since August 26. Aussie-dollar realized vol sits at +5.9%.
- Major pairsUSD/CHF extended to +3.0% on the month (from +0.0%), its biggest move since June 29. USD/JPY moved from -3.0% to -0.9%.
- DollarAussie-S&P co-movement went from -0.13 to -0.16. The dollar moved from +0.1% to +0.0%.
- Emerging marketsDollar-peso realized vol moved from +4.2% to +4.8%. Dollar-rand realized vol moved from +7.2% to +8.3%.
- Futures positioningNo fresh reading in this group.
Crypto moved on several fronts. Ethereum realized vol moved from +69.8% to +49.3%, 4.1 times its normal pace. Bitcoin-dollar co-movement went from -0.49 to -0.38.
- Crypto volatilityEthereum realized vol moved from +69.8% to +49.3%, 4.1 times its normal pace. The Ethereum ETF realized vol moved from +55.2% to +56.1%.
- Cross-asset linkageBitcoin-dollar co-movement went from -0.49 to -0.38, its biggest move since August 19. Bitcoin-gold co-movement went from +0.64 to +0.59.
- PerformanceThe Bitcoin ETF eased to +18.7% on the month (from +22.0%). Bitcoin moved from +21.7% to +10.9%.
- Market structureStablecoin supply went from 310 to 309.
- Network activityNo fresh reading in this group. Bitcoin active-address growth moved from -4.9% to +19.7%.
- Futures positioningNo fresh reading in this group.
Commodities moved on several fronts. Oil futures roll drag went from +1.5pt to +6.2pt, 6.7 times its normal pace. The broad commodity ETF eased to +7.1% on the month (from +10.1%).
- Roll yield & carryOil futures roll drag went from +1.5pt to +6.2pt, 6.7 times its normal pace. Wheat futures roll drag went from -0.6pt to -2.8pt.
- Broad commoditiesThe broad commodity ETF eased to +7.1% on the month (from +10.1%).
- ETF flowsCrude (USO) eased to +17.5% on the month (from +21.7%), 3.2 times its normal pace.
- EnergyOil realized vol moved from +38.3% to +47.6%, 2.7 times its normal pace. Crude moved from +20.2% to +11.3%.
- Commodity volatilityOil vol moved from 59 to 50. Gold vol moved from 26 to 23.
- AgricultureWheat eased to +4.9% on the month (from +8.3%).
- MetalsCopper moved from $6.5 to $6.7. Copper realized vol moved from +23.6% to +26.4%.
- Futures positioningNo fresh reading in this group.
Rates had a single story. The 1-3y Treasury ETF deepened to -1.0% on the month (from -0.7%), its biggest move since April 2023.
- Term premium & durationThe 1-3y Treasury ETF deepened to -1.0% on the month (from -0.7%), its biggest move since April 2023. The 7-10y Treasury ETF moved from -2.1% to -2.8%.
- Fiscal & stock-bond contextNet interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.
- Rates volatilityMOVE moved from 82 to 76. Rate realized vol moved from +68.7% to +68.2%.
- Flows & positioningETF flows went from -0.75 to 0.83, its biggest move since September 3.
- Yield curveNo fresh reading in this group. 2-year Treasury yield moved from 4.56% to 4.67%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from -9.0% to -25.0%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.29% to 2.46%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +3.0% to +0.0%.
- Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 96.53 to 93.08.
Only one thing moved in equities. Sectors above 200dMA went from 0.64 to 0.36, 3.0 times its normal pace.
- Market breadthSectors above 200dMA went from 0.64 to 0.36, 3.0 times its normal pace. The advance-decline line moved from -21.0% to -27.0%.
- Factor returnsMomentum factor swung from -1.4% to +2.2% on the month, 2.5 times its normal pace. Value factor moved from +2.4% to -1.5%.
- Index performanceS&P drawdown from the 1-year peak held at -0.02 at the latest reading. S&P daily return moved from +0.9% to +0.2%.
- Forward earningsForward EPS revisions went from 0.04 to 0.02. The forward equity risk premium sits at -0.01.
- Equity volatilityThe VIX/VIX3M term ratio went from 0.85 to 0.81. VIX moved from -200.0% to -63.0%.
- ValuationsShiller CAPE held at 40.99 at the latest reading. The Fed-model spread sits at -0.03.
- Sector rotationSector breadth (50dMA) went from 0.36 to 0.27.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.25 to +0.40.
Credit stayed in range all session.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexHYG ETF flows went from -0.54 to 0.40. Credit curve slope moved from 9.15% to 9.2%.
- Total returnsNo fresh reading in this group.
A calm day in macro. Every group stayed inside its usual pace.
- 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.
- 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 +0.1% to +0.0%. Net liquidity sits at $5.86tn.
Little happened in volatility. The nearest mover was the oil vol premium, from +20.6% to +283.3%.
- Vol risk premiumThe oil vol premium moved from +20.6% to +283.3%, its biggest move since August 5. Implied minus realized vol went from 6.92 to 5.40.
- Stress concentrationVol complex co-movement went from +0.33 to +0.39, its biggest move since July 31. The OVX/VIX ratio went from 3.72 to 3.40.
- Implied vol complexThe vol complex gauge went from 61.18 to 50.76. 7-10y implied vol (VXIEF) went from 8.11 to 6.72.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) sits at -0.23.