MGLens

Cross-asset conditions, 25 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 0.66× the norm

#1Commodities

Commodities moved more than anything else. Natural-gas realized vol moved from +26.3% to +43.3%, its biggest move since March 2026. Oil futures roll drag went from +0.6pt to +4.5pt. The broad commodity ETF extended to +7.5% on the month (from +7.1%). Crude (USO) extended to +17.9% on the month (from +17.5%). Two of its eight groups moved at once.

  • EnergyNatural-gas realized vol moved from +26.3% to +43.3%, its biggest move since March 2026. Crude moved from $100.3 to $93.2.
  • Roll yield & carryOil futures roll drag went from +0.6pt to +4.5pt, 5.5 times its normal pace. Natgas futures roll drag went from +0.5pt to -7.0pt.
  • Broad commoditiesThe broad commodity ETF extended to +7.5% on the month (from +7.1%), 2.6 times its normal pace.
  • ETF flowsCrude (USO) extended to +17.9% on the month (from +17.5%), 3.2 times its normal pace. The gold ETF moved from -3.1% to -6.9%.
  • AgricultureWheat moved from $714.2 to $684.5, its biggest move since September 9. Wheat realized vol moved from +35.5% to +30.5%.
  • Commodity volatilityOil vol moved from 50 to 54. Gold vol moved from 23 to 22.
  • MetalsGold deepened to -7.3% on the month (from -2.6%). Copper moved from $6.6 to $6.8.
  • Futures positioningNo fresh reading in this group.

#2Crypto

A relationship is shifting in crypto. Bitcoin-Nasdaq co-movement went from +0.21 to +0.38, its biggest move since July 2025. The Ethereum ETF realized vol moved from +56.1% to +46.9%.

  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.21 to +0.38, its biggest move since July 2025. Bitcoin-S&P co-movement went from +0.24 to +0.37.
  • Crypto volatilityThe Ethereum ETF realized vol moved from +56.1% to +46.9%. Ethereum realized vol moved from +48.2% to +44.9%.
  • Market structureStablecoin supply went from 310 to 312, its biggest move since August 3.
  • PerformanceBitcoin moved from $80,901 to $83,907. Ethereum moved from $2,611 to $2,694.
  • Network activityNo fresh reading in this group. Bitcoin active addresses went from 496,714 to 489,385.
  • Futures positioningNo fresh reading in this group.

#3FX

FX moved on several fronts. NZD/USD deepened to -4.7% on the month (from -3.5%), 2.8 times its normal pace. Dollar-rupee realized vol moved from +11.8% to +5.4%.

  • CarryNZD/USD deepened to -4.7% on the month (from -3.5%), 2.8 times its normal pace.
  • Emerging marketsDollar-rupee realized vol moved from +11.8% to +5.4%, its biggest move since September 1. Dollar-peso realized vol moved from +5.1% to +7.6%.
  • Major pairsGBP/USD deepened to -2.5% on the month (from -1.8%). USD/CHF moved from +1.6% to +2.9%.
  • DollarAussie-S&P co-movement went from -0.16 to -0.11. The dollar moved from +0.0% to -0.3%.
  • FX volatilityEuro-dollar realized vol moved from +3.6% to +4.0%. Dollar-franc realized vol moved from +8.1% to +5.3%.
  • Futures positioningNo fresh reading in this group.

#4Rates

Rates had a single story. The 1-3y Treasury ETF deepened to -1.1% on the month (from -1.0%), 5.0 times its normal pace.

  • Term premium & durationThe 1-3y Treasury ETF deepened to -1.1% on the month (from -1.0%), 5.0 times its normal pace. The 7-10y Treasury ETF moved from -2.8% to -3.8%.
  • Fiscal & stock-bond contextNet interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.
  • Flows & positioningHYG ETF flows went from 0.40 to 0.49. ETF flows went from 0.84 to 0.50.
  • Yield curveNo fresh reading in this group. 2-year Treasury yield moved from +55.0% to +61.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from -25.0% to -16.0%.
  • Real yieldsNo fresh reading in this group. 10-year real yield moved from +6.0% to +13.0%.
  • Inflation expectationsNo fresh reading in this group. 5y inflation forwards moved from 2.34% to 2.33%.
  • Rates volatilityNo fresh reading in this group. MOVE moved from 76 to 105.
  • Policy pathNo fresh reading in this group.

#5Equities

Equities had a single story. The advance-decline line deepened to -44.0% on the month (from -27.0%).

  • Market breadthThe advance-decline line deepened to -44.0% on the month (from -27.0%). RSP vs S&P, 200-day went from -0.03 to -0.05.
  • Forward earningsForward EPS revisions went from 0.02 to 0.05. Forward EPS went from 303 to 306.
  • Sector rotationSector leadership persistence went from 0.18 to 0.30, its biggest move since June 1. Leading-sector count went from 2.00 to 1.00.
  • ValuationsShiller CAPE held at 41.25 at the latest reading. Equity risk premium went from 16.11 to 18.42.
  • Factor returnsMomentum factor extended to +4.1% on the month (from +1.9%). Low-vol factor moved from -2.2% to -3.9%.
  • Equity volatilityS&P realized vol moved from +9.4% to +10.5%. The VIX/VIX3M term ratio went from 0.81 to 0.83.
  • Index performanceHang Seng 1-month return deepened to -4.1% on the month (from -3.7%), its biggest move since August 12. S&P daily return moved from +0.2% to +0.3%.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +62.4% to +80.4%.

#6Credit

Little happened in credit.

  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Spread complexJNK ETF flows went from -0.41 to -0.81. HY OAS moved from -6.0% to +5.0%.
  • Total returnsNo fresh reading in this group.

#7Macro

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 11.11 at the latest reading. That is its lowest level in about six months.
  • Liquidity & financial conditionsThe dollar moved from +0.0% to -0.3%. Net liquidity moved from $5.86tn to $5.77tn.
  • 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

A calm day in volatility. Every group stayed inside its usual pace.

  • Implied vol complexThe vol complex gauge went from 52.55 to 61.24. MOVE moved from 76 to 105.
  • Vol risk premiumS&P realized vol moved from +9.4% to +10.5%. Rate realized vol moved from +62.4% to +80.4%.
  • Stress concentrationVol complex co-movement went from +0.38 to +0.36. The MOVE/VIX ratio went from 4.94 to 6.67.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.23 to -0.49.

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