MGLens

Cross-asset conditions, 30 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 0.46× the norm

#1FX

Most of the day's movement came from FX. NZD/USD deepened to -4.6% on the month (from -4.0%), 2.7 times its normal pace. Dollar-lira realized vol moved from +2.3% to +1.2%. USD/CHF extended to +3.2% on the month (from +2.3%). Aussie-dollar realized vol moved from +5.1% to +6.4%. Two of its six groups moved at once.

  • CarryNZD/USD deepened to -4.6% on the month (from -4.0%), 2.7 times its normal pace.
  • Emerging marketsDollar-lira realized vol moved from +2.3% to +1.2%, 6.5 times its normal pace. Dollar-peso realized vol moved from +5.3% to +8.4%.
  • Major pairsUSD/CHF extended to +3.2% on the month (from +2.3%). USD/CAD moved from +1.6% to +2.4%.
  • FX volatilityAussie-dollar realized vol moved from +5.1% to +6.4%, its biggest move since August 5. Dollar-franc realized vol moved from +5.2% to +4.9%.
  • DollarThe dollar moved from +0.6% to -0.2%. The broad dollar index sits at 120.
  • Futures positioningNo fresh reading in this group.

#2Credit

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. CCC credit sits at 11%.
  • 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 +30.1% to +48.2%, 9.6 times its normal pace. Wheat realized vol moved from +36.6% to +25.8%.

  • EnergyNatural-gas realized vol moved from +30.1% to +48.2%, 9.6 times its normal pace. Nat gas sits at $3.0.
  • AgricultureWheat realized vol moved from +36.6% to +25.8%, its biggest move since July 21. Wheat moved from $708.5 to $695.5.
  • Broad commoditiesThe broad commodity ETF eased to +3.9% on the month (from +6.3%).
  • ETF flowsCrude (USO) eased to +9.2% on the month (from +12.6%). The gold ETF moved from -7.9% to -6.2%.
  • Roll yield & carryNatgas futures roll drag went from -1.6pt to -4.9pt. Oil futures roll drag went from +4.2pt to +3.0pt.
  • Commodity volatilityGold vol moved from 23 to 24. Oil vol moved from 53 to 55.
  • MetalsSilver moved from $64.4 to $61.2. Gold moved from -8.1% to -6.1%.
  • Futures positioningNo fresh reading in this group.

#4Crypto

The change in crypto is in how things move together. Bitcoin-Nasdaq co-movement went from +0.32 to +0.39, 3.3 times its normal pace.

  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.32 to +0.39, 3.3 times its normal pace. Bitcoin-S&P co-movement went from +0.33 to +0.36.
  • Market structureStablecoin supply went from 308 to 311, its biggest move since July 3.
  • Crypto volatilityEthereum realized vol moved from +45.5% to +42.8%. The Ethereum ETF realized vol moved from +46.9% to +45.5%.
  • PerformanceBitcoin extended to +9.2% on the month (from +7.4%).
  • Network activityNo fresh reading in this group. Bitcoin active addresses went from 415,087 to 491,198.
  • Futures positioningNo fresh reading in this group.

#5Rates

Only one thing moved in rates. The 7-10y Treasury ETF deepened to -3.4% on the month (from -3.0%), 4.0 times its normal pace.

  • Term premium & durationThe 7-10y Treasury ETF deepened to -3.4% on the month (from -3.0%), 4.0 times its normal pace. The 1-3y Treasury ETF moved from -1.1% to -0.8%.
  • Flows & positioningETF flows went from 0.84 to 1.59, 2.5 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.
  • Rates volatilityMOVE moved from 95 to 105. The MOVE/VIX ratio went from 6.29 to 6.64.
  • Yield curveNo fresh reading in this group. 2-year Treasury yield moved from +57.0% to +72.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.25% to 0.37%.
  • Real yieldsNo fresh reading in this group. 20-year real yield moved from 2.86% to 3.14%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -1.0% to +1.0%.
  • Policy pathNo fresh reading in this group.

#6Equities

Equities had a single story. Quality factor swung from -1.5% to +0.3% on the month, its biggest move since August 27.

  • Factor returnsQuality factor swung from -1.5% to +0.3% on the month, its biggest move since August 27. Momentum factor moved from +4.6% to +5.6%.
  • Market breadthThe advance-decline line eased to -35.0% on the month (from -45.0%). RSP vs S&P, 200-day went from -0.04 to -0.05.
  • Sector rotationSector leadership persistence went from 0.23 to 0.35. Sector rotation velocity went from 4.18 to 4.07.
  • Forward earningsForward EPS revisions went from 0.05 to 0.03. The forward equity risk premium sits at -0.01.
  • ValuationsShiller CAPE held at 41.08 at the latest reading. The Fed-model spread sits at -0.03.
  • Equity volatilityThe VIX/VIX3M term ratio went from 0.84 to 0.88. VIX moved from +97.0% to -28.0%.
  • Index performanceS&P drawdown from the 1-year peak held at -0.01 at the latest reading. S&P daily return moved from -0.8% to +0.4%.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.42 to +0.34.

#7Macro

No news 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 +0.6% to -0.2%.
  • GrowthReal GDP held at $24.41tn 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 MOVE, from 95 to 105.

  • Implied vol complexMOVE moved from 95 to 105. Long-bond implied vol (VXTLT) went from 12.14 to 17.90.
  • Stress concentrationThe MOVE/VIX ratio went from 6.29 to 6.64. The GVZ/VIX ratio sits at 1.50.
  • Vol risk premiumThe gold vol premium moved from +3.9% to +3.3%. The MOVE-to-realized ratio went from 1.17 to 1.29.
  • Stress gauges & regimeNo fresh reading in this group. The financial-conditions composite went from -0.68 to -0.56.

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