Cross-asset conditions, 28 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 0.67× the norm
Most of the day's movement came from rates. The 1-3y Treasury ETF moved hard, 4.2 times its normal pace. ETF flows went from 0.84 to 1.59. A 9th straight session at the top.
- Term premium & durationThe 1-3y Treasury ETF held at -0.9% at the latest reading. The 7-10y Treasury ETF moved from -2.0% to -3.3%.
- Flows & positioningETF flows went from 0.84 to 1.59, 2.6 times its normal pace. HYG ETF flows went from 0.40 to 1.30.
- Fiscal & stock-bond contextNet interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.
- Yield curveNo fresh reading in this group. 2-year Treasury yield moved from +48.0% to +70.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from -21.0% to -11.0%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from +20.0% to +53.0%.
- Inflation expectationsNo fresh reading in this group. 5y inflation forwards moved from 2.35% to 2.34%.
- Rates volatilityNo fresh reading in this group. MOVE moved from 81 to 96.
- Policy pathNo fresh reading in this group.
FX moved on several fronts. NZD/USD deepened to -4.3% on the month (from -3.9%), 2.5 times its normal pace. Dollar-lira realized vol moved from +2.3% to +1.2%.
- CarryNZD/USD deepened to -4.3% on the month (from -3.9%), 2.5 times its normal pace.
- Emerging marketsDollar-lira realized vol moved from +2.3% to +1.2%, its biggest move since September 3. Dollar-rupee realized vol moved from +11.8% to +5.6%.
- Major pairsUSD/CAD extended to +2.3% on the month (from +1.5%), its biggest move since August 21. GBP/USD moved from -1.9% to -2.1%.
- FX volatilitySterling-dollar realized vol moved from +3.8% to +4.5%, its biggest move since September 3. Dollar-franc realized vol sits at +5.0%.
- DollarThe dollar moved from +0.3% to +0.2%. Aussie-S&P co-movement went from -0.16 to -0.14.
- Futures positioningNo fresh reading in this group.
Only one thing moved in credit. HYG ETF flows went from 0.40 to 1.30.
- Spread complexHYG ETF flows went from 0.40 to 1.30. Credit curve slope moved from 9.2% to 9.48%.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Total returnsNo fresh reading in this group.
Commodities moved on several fronts. Natural-gas realized vol moved from +26.0% to +43.2%, its biggest move since March 2026.
- EnergyNatural-gas realized vol moved from +26.0% to +43.2%, its biggest move since March 2026. Crude moved from $95.8 to $94.2.
- AgricultureWheat realized vol moved from +35.8% to +25.2%, its biggest move since July 21. Wheat moved from $726.8 to $692.2.
- Roll yield & carryOil futures roll drag went from +1.1pt to +3.0pt, 2.7 times its normal pace. Natgas futures roll drag went from -1.3pt to -4.8pt.
- ETF flowsCrude (USO) extended to +12.9% on the month (from +10.1%). The gold ETF moved from -4.1% to -6.7%.
- Broad commoditiesThe broad commodity ETF eased to +4.2% on the month (from +4.7%).
- Commodity volatilityGold vol moved from 23 to 25. Oil vol moved from 50 to 55.
- MetalsGold moved from $4,384 to $4,188, its biggest move since September 2. Copper moved from $6.7 to $6.6.
- Futures positioningNo fresh reading in this group.
A relationship is shifting in crypto. Bitcoin-Nasdaq co-movement went from +0.30 to +0.39, 4.1 times its normal pace.
- Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.30 to +0.39, 4.1 times its normal pace. Bitcoin-S&P co-movement went from +0.31 to +0.36.
- Crypto volatilityBitcoin-ETF realized vol moved from +47.9% to +42.7%, its biggest move since September 9. Ethereum realized vol moved from +45.1% to +42.7%.
- Market structureStablecoin supply went from 309 to 311, its biggest move since July 31.
- PerformanceBitcoin eased to +8.0% on the month (from +10.6%).
- Network activityNo fresh reading in this group. Bitcoin active-address growth moved from +34.0% to -3.3%.
- Futures positioningNo fresh reading in this group.
Only one thing moved in equities. Quality factor swung from -1.4% to -0.1% on the month, its biggest move since August 27.
- Factor returnsQuality factor swung from -1.4% to -0.1% on the month, its biggest move since August 27. Momentum factor moved from +1.9% to +4.7%.
- Sector rotationSector leadership persistence went from 0.19 to 0.37, its biggest move since March 2026. Leading-sector count sits at 1.00.
- Market breadthThe advance-decline line eased to -29.0% on the month (from -30.0%). RSP vs S&P, 200-day went from -0.04 to -0.05.
- ValuationsShiller CAPE held at 41.48 at the latest reading. The Fed-model spread went from -0.02 to -0.03.
- Equity volatilityVIX moved from +6.0% to +118.0%. The VIX/VIX3M term ratio went from 0.82 to 0.88.
- Forward earningsForward EPS went from 308 to 306. The forward equity risk premium sits at -0.01.
- Index performanceS&P drawdown from the 1-year peak went from -0.00 to -0.01. S&P daily return moved from +1.5% to -0.4%.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +68.2% to +76.9%.
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 11.11 at the latest reading. That is its lowest level in about six months.
- Liquidity & financial conditionsThe dollar moved from +0.3% to +0.2%. 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.
No news in volatility. The nearest mover was the vol complex gauge, from 52.91 to 69.40.
- Implied vol complexThe vol complex gauge went from 52.91 to 69.40, 2.8 times its normal pace. MOVE moved from 81 to 96.
- Stress concentrationVol complex co-movement went from +0.38 to +0.35. The MOVE/VIX ratio went from 5.44 to 6.46.
- Vol risk premiumThe gold vol premium moved from +254.0% to +6.0%. Rate realized vol moved from +68.2% to +76.9%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.41 to -0.25.