Cross-asset conditions, 15 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 0.44× the norm
Most of the day's movement came from commodities. Copper realized vol moved from +24.2% to +17.4%, 4.2 times its normal pace. Oil futures roll drag went from +3.2pt to +6.4pt. The broad commodity ETF realized vol moved from +18.3% to +14.7%. Oil realized vol moved from +44.8% to +32.8%.
- MetalsCopper realized vol moved from +24.2% to +17.4%, 4.2 times its normal pace. Silver moved from $59.1 to $56.9.
- Roll yield & carryOil futures roll drag went from +3.2pt to +6.4pt, its biggest move since September 29. Copper futures roll drag went from +0.3pt to -0.2pt.
- Broad commoditiesThe broad commodity ETF realized vol moved from +18.3% to +14.7%, its biggest move since August 28. The broad commodity ETF moved from $32.9 to $33.0.
- EnergyOil realized vol moved from +44.8% to +32.8%, its biggest move since September 16. Crude moved from $91.5 to $94.4.
- AgricultureWheat realized vol moved from +24.4% to +20.4%. Wheat moved from $683.2 to $677.8.
- ETF flowsThe gold ETF eased to -2.8% on the month (from -6.1%).
- Commodity volatilityNo fresh reading in this group.
- Futures positioningNo fresh reading in this group.
A busy day in FX. USD/MXN extended to +8.3% on the month (from +6.3%), 5.3 times its normal pace. AUD/USD eased to -3.2% on the month (from -3.6%).
- Emerging marketsUSD/MXN extended to +8.3% on the month (from +6.3%), 5.3 times its normal pace. Dollar-real realized vol moved from +17.0% to +17.3%.
- Major pairsAUD/USD eased to -3.2% on the month (from -3.6%). USD/CAD moved from +3.0% to +2.3%.
- CarryNZD/USD eased to -2.5% on the month (from -4.4%).
- FX volatilityAussie-dollar realized vol moved from +5.9% to +7.1%, its biggest move since September 17. Dollar-yen realized vol moved from +6.1% to +4.9%.
- DollarThe dollar moved from -0.2% to -0.5%, its biggest move since October 1. The broad dollar index moved from +285.5% to +3.5%.
- Futures positioningNo fresh reading in this group.
A busy day in equities. RSP vs S&P, 200-day went from -0.04 to -0.02, its biggest move since September 25. Momentum factor swung from +1.1% to -3.0% on the month.
- Market breadthRSP vs S&P, 200-day went from -0.04 to -0.02, its biggest move since September 25. Equal-weight vs cap-weight S&P went from 0.27 to 0.28.
- Factor returnsMomentum factor swung from +1.1% to -3.0% on the month, 2.7 times its normal pace. Quality factor moved from +1.5% to +2.5%.
- Equity volatilityVVIX went from 87.66 to 97.53. SKEW went from 142 to 157.
- Sector rotationLeading-sector count went from 1.00 to 3.00, its biggest move since September 23. Sector breadth (50dMA) went from 0.27 to 0.36.
- Forward earningsForward EPS went from 308 to 304.
- ValuationsShiller CAPE held at 41.38 at the latest reading. Equity risk premium went from 19.55 to 18.39.
- Index performanceS&P drawdown from the 1-year peak went from -0.01 to -0.02, its biggest move since September 30. S&P daily return moved from -0.5% to -0.6%.
- Positioning & sentimentNo fresh reading in this group.
- Financial conditions & risk appetiteNo fresh reading in this group. The financial-conditions composite went from -0.49 to -0.61.
Only one thing moved in rates. ETF flows went from 3.31 to 1.97, 3.2 times its normal pace.
- Flows & positioningETF flows went from 3.31 to 1.97, 3.2 times its normal pace.
- Term premium & durationLong-Treasury ETF realized vol moved from +10.6% to +12.6%, its biggest move since August 25. The 7-10y Treasury ETF moved from -2.7% to -0.1%.
- 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 volatilityThe MOVE/VIX ratio went from 6.80 to 5.89. MOVE sits at 103.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +54.0% to +25.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.48% to 0.37%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from +53.0% to +28.0%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +0.0% to +2.0%.
- Policy pathNo fresh reading in this group.
Credit stayed in range all session.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexHYG ETF flows went from 4.59 to 0.47. Credit curve slope moved from 10% to 11%.
- Total returnsNo fresh reading in this group.
No news in crypto.
- Market structureThe ETH/BTC ratio held at 0.03 at the latest reading.
- Crypto volatilityBitcoin-ETF realized vol moved from +38.2% to +36.3%. The Ethereum ETF realized vol moved from +46.0% to +44.7%.
- PerformanceEthereum moved from $2,472 to $2,339. Bitcoin moved from $81,676 to $80,164.
- Cross-asset linkageBitcoin beta to the S&P went from +1.12 to +1.20. Bitcoin-Nasdaq co-movement went from +0.36 to +0.37.
- Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from +22.1% to +11.8%.
- Futures positioningNo fresh reading in this group.
Little happened in macro. The nearest mover was the dollar, from -0.2% to -0.5%.
- Liquidity & financial conditionsThe dollar moved from -0.2% to -0.5%, its biggest move since October 1.
- Fiscal positionDebt-to-GDP held at 123% at the latest reading. That is its highest level in about six months.
- 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.
- InflationHeadline CPI held at 336 at the latest reading. That is its highest 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 159.0m at the latest reading. Initial claims moved from -8.3% to -8.8%.
A calm day in volatility. Every group stayed inside its usual pace. The nearest mover was the MOVE/VIX ratio, from 6.80 to 5.89.
- Stress concentrationThe MOVE/VIX ratio went from 6.80 to 5.89. Vol complex co-movement went from +0.25 to +0.24.
- Implied vol complex9-day implied vol (VIX9D) went from 12.21 to 15.59, its biggest move since September 22. SKEW went from 142 to 157.
- Vol risk premiumThe equity vol premium moved from +138.3% to +201.7%, its biggest move since September 23. The oil vol premium moved from +4.2% to +14.4%.
- Stress gauges & regimeNo fresh reading in this group. The financial-conditions composite went from -0.49 to -0.61.