MGLens

Cross-asset conditions, 2 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 0.51× the norm

#1Rates

Most of the day's movement came from rates. HYG ETF flows went from 1.30 to 3.84, its biggest move since March 2026. The 7-10y Treasury ETF eased to -2.9% on the month (from -3.6%). Net interest to GDP held at 3.15% at the latest reading. MOVE moved from 96 to 106.

  • Flows & positioningHYG ETF flows went from 1.30 to 3.84, its biggest move since March 2026. ETF flows went from 1.60 to 2.19.
  • Term premium & durationThe 7-10y Treasury ETF eased to -2.9% on the month (from -3.6%), 3.4 times its normal pace. The 1-3y Treasury ETF moved from -1.0% to -0.6%.
  • 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 96 to 106. The MOVE/VIX ratio went from 6.46 to 6.73.
  • 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 0.31% to 0.46%.
  • 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. 5y inflation forwards moved from 2.33% to 2.36%.
  • Policy pathNo fresh reading in this group.

#2Credit

Only one thing moved in credit. HYG ETF flows went from 1.30 to 3.84, its biggest move since March 2026.

  • Spread complexHYG ETF flows went from 1.30 to 3.84, its biggest move since March 2026. 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.

#3FX

FX moved on several fronts. NZD/USD eased to -3.9% on the month (from -4.9%). EUR/USD deepened to -2.8% on the month (from -2.4%).

  • CarryNZD/USD eased to -3.9% on the month (from -4.9%).
  • Major pairsEUR/USD deepened to -2.8% on the month (from -2.4%), its biggest move since April 17. USD/CAD moved from +1.9% to +2.5%.
  • FX volatilityDollar-franc realized vol moved from +5.3% to +5.9%. Aussie-dollar realized vol moved from +6.1% to +6.3%.
  • Emerging marketsUSD/INR extended to +1.9% on the month (from +0.8%). Dollar-peso realized vol moved from +7.0% to +8.3%.
  • DollarThe dollar held at -0.2% at the latest reading. Aussie-S&P co-movement went from -0.12 to -0.13.
  • Futures positioningNo fresh reading in this group.

#4Equities

Equities moved on several fronts. Quality factor swung from -1.0% to +0.6% on the month, 3.7 times its normal pace.

  • Factor returnsQuality factor swung from -1.0% to +0.6% on the month, 3.7 times its normal pace. Momentum factor moved from +3.8% to +7.7%.
  • Market breadthThe advance-decline line deepened to -47.0% on the month (from -35.0%). Sectors above 200dMA went from 0.36 to 0.27.
  • Forward earningsForward EPS revisions went from 0.05 to 0.02. The forward equity risk premium sits at -0.01.
  • Sector rotationSector breadth (50dMA) went from 0.36 to 0.18. Sector rotation velocity went from 3.35 to 4.10.
  • Index performanceFTSE 1-month return deepened to -3.3% on the month (from -1.7%), its biggest move since August 11. S&P daily return moved from +0.5% to +0.7%.
  • ValuationsShiller CAPE held at 41.07 at the latest reading. The Fed-model spread sits at -0.03.
  • Equity volatilityVIX moved from -80.0% to -67.0%. The VIX/VIX3M term ratio went from 0.83 to 0.86.
  • 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.

#5Commodities

Only one thing moved in commodities. Wheat deepened to -9.1% on the month (from -3.7%).

  • AgricultureWheat deepened to -9.1% on the month (from -3.7%). Wheat realized vol moved from +28.7% to +26.7%.
  • Roll yield & carryCopper futures roll drag went from -0.2pt to -1.4pt. Oil futures roll drag went from +4.1pt to +4.4pt.
  • EnergyNatural-gas realized vol moved from +43.3% to +48.1%. Nat gas moved from $3.2 to $3.0.
  • Commodity volatilityGold vol moved from 22 to 23. Oil vol moved from 55 to 52.
  • ETF flowsThe gold ETF eased to -4.8% on the month (from -6.6%). Crude (USO) moved from +16.5% to +2.9%.
  • Broad commoditiesThe broad commodity ETF moved from $32.6 to $32.3. It still sits near multi-year highs.
  • MetalsGold moved from $4,321 to $4,218.
  • Futures positioningNo fresh reading in this group.

#6Crypto

Little happened in crypto. The nearest mover was Ethereum realized vol, from +44.9% to +39.8%.

  • Crypto volatilityEthereum realized vol moved from +44.9% to +39.8%. Bitcoin realized vol moved from +42.4% to +37.5%.
  • Market structureStablecoin supply went from 309 to 311.
  • PerformanceThe Bitcoin ETF extended to +12.0% on the month (from +7.0%). Bitcoin moved from +4.7% to +6.6%.
  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.38 to +0.40. Bitcoin-S&P co-movement went from +0.37 to +0.36.
  • Network activityNo fresh reading in this group. Bitcoin active-address growth moved from -0.4% to +5.5%.
  • Futures positioningNo fresh reading in this group.

#7Macro

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 held at -0.2% at the latest reading. Net liquidity moved from $5.77tn to $5.78tn.
  • GrowthReal GDP held at $24.41tn at the latest reading. That is its highest level in about six months.
  • Labor marketPayrolls held at 159.0m at the latest reading. That is its highest level in about six months.

#8Volatility

No news in volatility. The nearest mover was the OVX/VIX ratio, from 3.70 to 3.29.

  • Stress concentrationThe OVX/VIX ratio went from 3.70 to 3.29, its biggest move since September 15. The MOVE/VIX ratio went from 6.46 to 6.73.
  • Implied vol complexThe VIX term-structure slope went from 0.03 to -0.01. Long-bond implied vol (VXTLT) went from 16.07 to 17.91.
  • Vol risk premiumThe oil vol premium moved from +9.9% to +6.4%. The MOVE-to-realized ratio went from 1.19 to 1.41.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.49 to -0.33.

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