MGLens

Cross-asset conditions, 21 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 0.78× the norm

#1Crypto

The change in crypto is in how things move together. Bitcoin-Nasdaq co-movement went from +0.19 to +0.32, its biggest move since June 11. Ethereum realized vol moved from +69.8% to +45.1%. Bitcoin moved from $78,163 to $87,030. Three of its six groups moved at once.

  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.19 to +0.32, its biggest move since June 11. Bitcoin beta to the S&P went from +0.73 to +1.15.
  • Crypto volatilityEthereum realized vol moved from +69.8% to +45.1%, 4.9 times its normal pace. The Ethereum ETF realized vol moved from +55.3% to +45.6%.
  • PerformanceBitcoin moved from $78,163 to $87,030, its biggest move since August 26. The Bitcoin ETF moved from +24.7% to +9.8%.
  • Market structureThe ETH/BTC ratio (1-month change) eased to +3.2% on the month (from +7.7%).
  • Network activityNo fresh reading in this group. Bitcoin miner revenue went from 35,764,129 to 41,873,221.
  • Futures positioningNo fresh reading in this group.

#2FX

A busy day in FX. NZD/USD deepened to -4.2% on the month (from -0.7%), its biggest move since July 2. Dollar-franc realized vol moved from +7.8% to +5.3%.

  • CarryNZD/USD deepened to -4.2% on the month (from -0.7%), its biggest move since July 2.
  • FX volatilityDollar-franc realized vol moved from +7.8% to +5.3%, 4.4 times its normal pace. Aussie-dollar realized vol moved from +5.9% to +5.1%.
  • Major pairsUSD/CHF extended to +2.4% on the month (from +0.3%). USD/JPY moved from -3.8% to -1.1%.
  • Emerging marketsDollar-peso realized vol moved from +4.2% to +5.1%. The EM dollar index went from 126 to 128.
  • DollarThe dollar moved from +0.4% to +0.3%. The broad dollar index went from 118 to 120.
  • Futures positioningNo fresh reading in this group.

#3Volatility

Only one thing moved in volatility. The oil vol premium moved from +23.0% to -23.0%, its biggest move since August 5.

  • Vol risk premiumThe oil vol premium moved from +23.0% to -23.0%, its biggest move since August 5. Implied minus realized vol went from 8.44 to 4.76.
  • Stress concentrationVol complex co-movement went from +0.33 to +0.40, its biggest move since July 15. The OVX/VIX ratio went from 3.48 to 3.38.
  • Implied vol complexThe vol complex gauge went from 66.83 to 52.78. 7-10y implied vol (VXIEF) went from 7.56 to 7.05.
  • Stress gauges & regimeNo fresh reading in this group. Euro-area systemic stress sits at 0.03.

#4Equities

Equities moved on several fronts. RSP vs S&P, 200-day went from -0.02 to -0.04, its biggest move since August 5.

  • Market breadthRSP vs S&P, 200-day went from -0.02 to -0.04, its biggest move since August 5. Equal-weight vs cap-weight S&P went from 0.28 to 0.27.
  • Factor returnsMomentum factor swung from -3.0% to +3.6% on the month, 4.9 times its normal pace. Low-vol factor moved from +1.1% to -4.0%.
  • Sector rotationLeading-sector count went from 4.00 to 1.00, its biggest move since August 5. Sector rotation velocity went from 2.73 to 4.26.
  • Index performanceS&P daily return moved from -0.5% to +1.5%, its biggest move since August 4. S&P drawdown from the 1-year peak went from -0.02 to -0.00.
  • Forward earningsForward EPS went from 302 to 308. The forward equity risk premium sits at -0.01.
  • Equity volatilityImplied minus realized vol went from 8.44 to 4.76, its biggest move since September 2. VIX moved from +126.0% to +6.0%.
  • ValuationsShiller CAPE held at 40.94 at the latest reading. The Fed-model spread sits at -0.03.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.38 to +0.40.

#5Rates

Only one thing moved in rates. The 1-3y Treasury ETF deepened to -0.9% on the month (from -0.8%), 4.0 times its normal pace.

  • Term premium & durationThe 1-3y Treasury ETF deepened to -0.9% on the month (from -0.8%), 4.0 times its normal pace. The 7-10y Treasury ETF moved from -2.5% to -2.0%.
  • 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 volatilityThe MOVE/VIX ratio went from 4.91 to 5.42. MOVE moved from 84 to 81.
  • Flows & positioningETF flows went from -0.75 to 0.84.
  • Yield curveNo fresh reading in this group. 2-year Treasury yield moved from 4.63% to 4.76%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from -15.0% to -21.0%.
  • Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.38% to 2.55%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -4.0% to +0.0%.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 93.57 to 94.51.

#6Commodities

Commodities had a single story. Oil futures roll drag went from +0.5pt to +4.0pt, 5.0 times its normal pace.

  • Roll yield & carryOil futures roll drag went from +0.5pt to +4.0pt, 5.0 times its normal pace. Wheat futures roll drag went from -0.7pt to -3.2pt.
  • EnergyOil realized vol moved from +36.4% to +50.5%, its biggest move since July 14. Crude moved from +24.8% to +8.1%.
  • Commodity volatilityGold vol moved from 27 to 23. Oil vol moved from 59 to 50.
  • MetalsCopper moved from $6.3 to $6.8, its biggest move since June 24. Copper realized vol moved from +24.6% to +26.2%.
  • Broad commoditiesThe broad commodity ETF eased to +5.3% on the month (from +11.3%).
  • ETF flowsCrude (USO) eased to +12.1% on the month (from +25.3%). The gold ETF moved from -1.5% to -6.6%.
  • AgricultureWheat eased to +6.5% on the month (from +8.3%).
  • Futures positioningNo fresh reading in this group.

#7Credit

Credit was quiet. Nothing moved beyond its normal range.

  • 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 9.26% to 9.28%.
  • Total returnsNo fresh reading in this group.

#8Macro

Macro stayed in range all session.

  • 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 +0.4% to +0.3%. Net liquidity sits at $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.

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