MGLens

Cross-asset conditions, 29 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 0.58× the norm

#1FX

FX moved more than anything else. NZD/USD deepened to -4.6% on the month (from -4.4%), 2.7 times its normal pace. Dollar-lira realized vol moved from +2.3% to +1.2%. USD/CAD extended to +2.4% on the month (from +1.7%).

  • CarryNZD/USD deepened to -4.6% on the month (from -4.4%), 2.7 times its normal pace.
  • Emerging marketsDollar-lira realized vol moved from +2.3% to +1.2%, 6.4 times its normal pace. Dollar-rupee realized vol moved from +11.8% to +5.7%.
  • Major pairsUSD/CAD extended to +2.4% on the month (from +1.7%), its biggest move since July 2. USD/CHF moved from +2.5% to +3.2%.
  • FX volatilityAussie-dollar realized vol moved from +5.1% to +5.9%. Dollar-franc realized vol moved from +5.2% to +5.0%.
  • DollarAussie-S&P co-movement went from -0.16 to -0.13. The broad dollar index sits at 120.
  • Futures positioningNo fresh reading in this group.

#2Credit

Credit had a single story. HYG ETF flows went from 0.40 to 1.30.

  • Spread complexHYG ETF flows went from 0.40 to 1.30. HY OAS moved from -2.0% to +13.0%.
  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Total returnsNo fresh reading in this group.

#3Commodities

A busy day in commodities. Natural-gas realized vol moved from +29.6% to +48.3%, 10.1 times its normal pace. Wheat realized vol moved from +36.2% to +25.6%.

  • EnergyNatural-gas realized vol moved from +29.6% to +48.3%, 10.1 times its normal pace. Crude moved from $94.6 to $91.1.
  • AgricultureWheat realized vol moved from +36.2% to +25.6%, its biggest move since July 21. Wheat moved from $717.2 to $690.5.
  • Roll yield & carryOil futures roll drag went from -1.6pt to +2.9pt, 6.4 times its normal pace. Natgas futures roll drag went from +1.8pt to -4.4pt.
  • ETF flowsCrude (USO) extended to +9.1% on the month (from +7.0%). The gold ETF moved from -5.5% to -6.6%.
  • Commodity volatilityOil vol moved from 52 to 56. Gold vol sits at 24.
  • MetalsGold moved from $4,376 to $4,191. Gold realized vol moved from +18.7% to +20.7%.
  • Broad commoditiesThe broad commodity ETF eased to +2.5% on the month (from +3.8%).
  • Futures positioningNo fresh reading in this group.

#4Rates

Only one thing moved in rates. The 1-3y Treasury ETF deepened to -0.9% on the month (from -0.8%), 4.3 times its normal pace.

  • Term premium & durationThe 1-3y Treasury ETF deepened to -0.9% on the month (from -0.8%), 4.3 times its normal pace. The 7-10y Treasury ETF moved from -1.8% to -3.6%.
  • 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 +57.0% to +62.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.2% to 0.32%.
  • Real yieldsNo fresh reading in this group. 10-year real yield moved from +33.0% to +49.0%.
  • Inflation expectationsNo fresh reading in this group. 5y inflation forwards sits at 2.35%.
  • Rates volatilityNo fresh reading in this group. MOVE moved from 81 to 102.
  • Policy pathNo fresh reading in this group.

#5Crypto

The change in crypto is in how things move together. Bitcoin-Nasdaq co-movement went from +0.30 to +0.39, 4.3 times its normal pace.

  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.30 to +0.39, 4.3 times its normal pace. Bitcoin-S&P co-movement went from +0.31 to +0.36.
  • PerformanceBitcoin eased to +9.0% on the month (from +9.1%).
  • Crypto volatilityEthereum realized vol moved from +44.9% to +42.9%. The Ethereum ETF realized vol sits at +46.0%.
  • Market structureStablecoin supply went from 310 to 311.
  • Network activityNo fresh reading in this group. Bitcoin transaction count went from 652,518 to 598,711.
  • Futures positioningNo fresh reading in this group.

#6Equities

Only one thing moved in equities. Quality factor swung from -1.3% to +0.1% on the month, its biggest move since August 27.

  • Factor returnsQuality factor swung from -1.3% to +0.1% on the month, its biggest move since August 27. Momentum factor moved from +2.9% to +5.7%.
  • Market breadthThe advance-decline line eased to -32.0% on the month (from -34.0%). RSP vs S&P, 200-day went from -0.04 to -0.05.
  • Sector rotationSector leadership persistence went from 0.21 to 0.37. Sector rotation velocity went from 4.79 to 3.71.
  • Forward earningsForward EPS revisions went from 0.05 to 0.03. The forward equity risk premium sits at -0.01.
  • Equity volatilityThe VIX/VIX3M term ratio went from 0.81 to 0.88. Implied minus realized vol went from 4.04 to 5.35.
  • ValuationsShiller CAPE held at 41.16 at the latest reading. The Fed-model spread sits at -0.03.
  • Index performanceS&P drawdown from the 1-year peak went from -0.00 to -0.01. S&P daily return sits at -0.0%.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Rate realized vol moved from +66.1% to +77.9%.

#7Macro

Little happened in macro.

  • 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 +0.2%. 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.

#8Volatility

Volatility stayed in range all session. The nearest mover was the vol complex gauge, from 50.63 to 67.72.

  • Implied vol complexThe vol complex gauge went from 50.63 to 67.72, 2.9 times its normal pace. MOVE moved from 81 to 102.
  • Stress concentrationThe GVZ/VIX ratio went from 1.66 to 1.52. The MOVE/VIX ratio went from 5.46 to 6.34.
  • Vol risk premiumThe oil vol premium moved from +6.8% to +11.4%. Rate realized vol moved from +66.1% to +77.9%.
  • Stress gauges & regimeNo fresh reading in this group. Euro-area systemic stress went from 0.03 to 0.02.

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