MGLens

Cross-asset conditions, 22 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 0.75× the norm

#1Crypto

Crypto moved more than anything else. Ethereum realized vol moved from +72.7% to +44.3%, its biggest move since August 25. Bitcoin moved from $75,613 to $86,215. Two of its six groups moved at once. A second straight session at the top.

  • Crypto volatilityEthereum realized vol moved from +72.7% to +44.3%, its biggest move since August 25. The Ethereum ETF realized vol moved from +59.3% to +45.7%.
  • PerformanceBitcoin moved from $75,613 to $86,215, its biggest move since August 25. Ethereum moved from $2,399 to $2,756.
  • Cross-asset linkageBitcoin-dollar co-movement went from -0.45 to -0.34, 3.5 times its normal pace. Bitcoin-Nasdaq co-movement went from +0.24 to +0.31.
  • Market structureStablecoin supply went from 310 to 312.
  • Network activityNo fresh reading in this group. Bitcoin active-address growth moved from +0.9% to +34.0%.
  • Futures positioningNo fresh reading in this group.

#2Equities

A busy day in equities. RSP vs S&P, 200-day went from -0.02 to -0.04, 3.6 times its normal pace. Momentum factor swung from -3.2% to +3.9% on the month.

  • Market breadthRSP vs S&P, 200-day went from -0.02 to -0.04, 3.6 times its normal pace. Equal-weight vs cap-weight S&P sits at 0.28.
  • Factor returnsMomentum factor swung from -3.2% to +3.9% on the month, its biggest move since August 24. Low-vol factor moved from +0.5% to -4.2%.
  • Forward earningsForward EPS went from 301 to 308, its biggest move since August 7. The forward equity risk premium sits at -0.01.
  • Sector rotationLeading-sector count went from 4.00 to 1.00, 3.0 times its normal pace. Sector rotation velocity went from 3.19 to 4.36.
  • ValuationsShiller CAPE held at 41.60 at the latest reading. The Fed-model spread sits at -0.03.
  • Equity volatilityImplied minus realized vol went from 8.46 to 4.59, its biggest move since September 2. VIX moved from +10.0% to -18.0%.
  • Index performanceThe Stoxx eased to -1.8% on the month (from -4.5%). S&P daily return moved from -0.4% to +0.1%.
  • 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.

#3FX

A busy day in FX. NZD/USD deepened to -3.9% on the month (from -1.9%). Dollar-franc realized vol moved from +7.8% to +5.3%.

  • CarryNZD/USD deepened to -3.9% on the month (from -1.9%).
  • 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%.
  • DollarAussie-S&P co-movement went from -0.10 to -0.15. The broad dollar index went from 118 to 120.
  • Major pairsUSD/CHF extended to +2.2% on the month (from +0.5%). USD/JPY moved from -3.0% to -1.2%.
  • Emerging marketsDollar-real realized vol moved from +8.1% to +7.0%. Dollar-peso realized vol sits at +5.1%.
  • Futures positioningNo fresh reading in this group.

#4Rates

Rates had a single story. The 1-3y Treasury ETF moved hard, 3.8 times its normal pace.

  • Term premium & durationThe 1-3y Treasury ETF held at -0.8% at the latest reading. The 7-10y Treasury ETF moved from -2.4% 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.
  • 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 -16.0% to -30.0%.
  • 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 sits at +1.0%.
  • Rates volatilityNo fresh reading in this group. The MOVE/VIX ratio went from 4.91 to 5.46.
  • Policy pathNo fresh reading in this group. Priced odds of a hike next meeting went from 93.57 to 94.51.

#5Commodities

A busy day in commodities. Oil futures roll drag went from -0.6pt to +3.6pt, 6.0 times its normal pace.

  • Roll yield & carryOil futures roll drag went from -0.6pt to +3.6pt, 6.0 times its normal pace. Natgas futures roll drag went from -0.6pt to -5.9pt.
  • EnergyCrude moved from $105.8 to $90.5, its biggest move since July 23.
  • Broad commoditiesThe broad commodity ETF moved from $33.7 to $32.4. It still sits near multi-year highs.
  • MetalsCopper moved from $6.4 to $6.9, its biggest move since May 13. Copper realized vol moved from +24.7% to +26.4%.
  • Commodity volatilityGold vol moved from 27 to 23, its biggest move since August 31. Oil vol moved from 62 to 51.
  • ETF flowsCrude (USO) eased to +10.1% on the month (from +27.9%). The gold ETF moved from -1.8% to -6.9%.
  • AgricultureWheat eased to +5.9% on the month (from +8.0%).
  • Futures positioningNo fresh reading in this group.

#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 complexHYG ETF flows went from -0.54 to 0.40. HY OAS moved from -5.0% to -2.0%.
  • Total returnsNo 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 1.3m 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 -0.1%.
  • 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.

#8Volatility

Little happened in volatility. The nearest mover was the oil vol premium, from +23.6% to +3.2%.

  • Vol risk premiumThe oil vol premium moved from +23.6% to +3.2%, its biggest move since August 5. Implied minus realized vol went from 8.46 to 4.59.
  • Stress concentrationVol complex co-movement went from +0.34 to +0.40, 3.0 times its normal pace. The GVZ/VIX ratio went from 1.56 to 1.59.
  • Implied vol complexGold vol moved from 27 to 23, its biggest move since August 31. VIX moved from +10.0% to -18.0%.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.28 to -0.51.

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