MGLens

Cross-asset conditions, 1 October 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 0.49× the norm

#1FX

FX moved more than anything else. NZD/USD eased to -4.9% on the month (from -5.0%), 2.9 times its normal pace. Dollar-lira realized vol moved from +2.3% to +1.2%. EUR/USD deepened to -3.0% on the month (from -2.5%). The dollar moved from +0.1% to +0.7%. Two of its six groups moved at once.

  • CarryNZD/USD eased to -4.9% on the month (from -5.0%), 2.9 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 +7.0% to +8.9%.
  • Major pairsEUR/USD deepened to -3.0% on the month (from -2.5%), its biggest move since March 19. USD/CAD moved from +1.9% to +2.4%.
  • DollarThe dollar moved from +0.1% to +0.7%, its biggest move since August 19. The broad dollar index sits at 120.
  • FX volatilityEuro-dollar realized vol moved from +3.9% to +4.1%. Aussie-dollar realized vol moved from +6.2% to +6.4%.
  • Futures positioningNo fresh reading in this group.

#2Commodities

Commodities moved on several fronts. Wheat realized vol moved from +36.6% to +26.5%, 3.4 times its normal pace. Oil futures roll drag went from +6.5pt to +3.4pt.

  • AgricultureWheat realized vol moved from +36.6% to +26.5%, 3.4 times its normal pace. Wheat moved from $707.0 to $681.8.
  • Roll yield & carryOil futures roll drag went from +6.5pt to +3.4pt, 4.3 times its normal pace. Natgas futures roll drag went from -6.1pt to -5.6pt.
  • EnergyNatural-gas realized vol moved from +41.8% to +48.8%, 2.7 times its normal pace. Crude moved from $94.6 to $92.9.
  • Broad commoditiesThe broad commodity ETF swung from +9.0% to +2.6% on the month.
  • ETF flowsCrude (USO) swung from +21.4% to +6.4% on the month. The gold ETF moved from -8.5% to -3.5%.
  • Commodity volatilityOil vol moved from 54 to 52.
  • MetalsGold moved from $4,298 to $4,209.
  • Futures positioningNo fresh reading in this group.

#3Equities

Equities moved on several fronts. Quality factor swung from -1.1% to +0.6% on the month, 3.7 times its normal pace. The advance-decline line moved hard.

  • Factor returnsQuality factor swung from -1.1% to +0.6% on the month, 3.7 times its normal pace. Momentum factor moved from +4.5% to +7.6%.
  • Market breadthThe advance-decline line held at -49.0% at the latest reading. RSP vs S&P, 200-day sits at -0.05.
  • Sector rotationSector breadth (50dMA) went from 0.36 to 0.18. Sector rotation velocity went from 4.48 to 4.20.
  • Forward earningsForward EPS revisions went from 0.05 to 0.02. The forward equity risk premium sits at -0.01.
  • Index performanceFTSE 1-month return deepened to -3.1% on the month (from -1.9%), its biggest move since August 11. S&P daily return moved from -0.0% to +0.2%.
  • ValuationsShiller CAPE held at 41.00 at the latest reading. The Fed-model spread sits at -0.03.
  • Equity volatilityThe VIX/VIX3M term ratio went from 0.85 to 0.88. VIX moved from +49.0% to +5.0%.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.40 to +0.35.

#4Rates

Rates had a single story. The 7-10y Treasury ETF eased to -3.0% on the month (from -4.1%), 3.6 times its normal pace.

  • Term premium & durationThe 7-10y Treasury ETF eased to -3.0% on the month (from -4.1%), 3.6 times its normal pace. The 1-3y Treasury ETF moved from -1.2% to -0.6%.
  • 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 105 to 108. The MOVE/VIX ratio went from 6.67 to 6.60.
  • Yield curveNo fresh reading in this group. 2-year Treasury yield moved from +61.0% to +54.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.26% to 0.41%.
  • Real yieldsNo fresh reading in this group. 20-year real yield moved from 2.99% to 3.18%.
  • Inflation expectationsNo fresh reading in this group.
  • Policy pathNo fresh reading in this group.

#5Macro

Only one thing moved in macro. The dollar moved from +0.1% to +0.7%, its biggest move since August 19.

  • Liquidity & financial conditionsThe dollar moved from +0.1% to +0.7%, its biggest move since August 19. Adjusted financial conditions went from -0.58 to -0.57.
  • 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.
  • 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. Initial claims moved from -12.8% to -8.3%.

#6Credit

Credit was quiet. Nothing moved beyond its normal range. The nearest mover was HYG ETF flows, from 0.40 to 1.30.

  • Spread complexHYG ETF flows went from 0.40 to 1.30. CCC credit moved from 11% to 12%.
  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Total returnsNo fresh reading in this group.

#7Crypto

Crypto stayed in range all session. The nearest mover was stablecoin supply, from 307 to 311.

  • Market structureStablecoin supply went from 307 to 311, its biggest move since June 10.
  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.36 to +0.40. Bitcoin-S&P co-movement went from +0.37 to +0.36.
  • PerformanceBitcoin extended to +9.6% on the month (from +6.8%). The Bitcoin ETF moved from +6.9% to +9.6%.
  • Crypto volatilityBitcoin-ETF realized vol moved from +44.8% to +42.1%. The Ethereum ETF realized vol moved from +46.9% to +44.5%.
  • Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from +3.3% to -2.1%.
  • Futures positioningNo fresh reading in this group.

#8Volatility

No news in volatility. The nearest mover was the VIX term-structure slope, from 0.04 to -0.01.

  • Implied vol complexThe VIX term-structure slope went from 0.04 to -0.01, its biggest move since September 9. Long-bond implied vol (VXTLT) went from 13.61 to 18.30.
  • Stress concentrationVol complex co-movement went from +0.37 to +0.34. The MOVE/VIX ratio went from 6.67 to 6.60.
  • Vol risk premiumThe oil vol premium moved from +10.4% to +7.9%. Rate realized vol moved from +80.4% to +78.3%.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.61 to -0.18.

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