MGLens

Cross-asset conditions, 16 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 0.57× the norm

#1Volatility

Volatility moved more than anything else. 9-day implied vol (VIX9D) went from 11.26 to 20.12, its biggest move since June 10. The MOVE/VIX ratio went from 6.53 to 5.06. Two of its four groups moved at once.

  • Implied vol complex9-day implied vol (VIX9D) went from 11.26 to 20.12, its biggest move since June 10. VVIX went from 84.88 to 110.
  • Stress concentrationThe MOVE/VIX ratio went from 6.53 to 5.06, its biggest move since September 24. The GVZ/VIX ratio went from 1.47 to 1.36.
  • Vol risk premiumThe equity vol premium moved from +124.1% to +300.4%, its biggest move since August 5. Implied minus realized vol went from 5.03 to 10.03.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from 0.04 to -0.24.

#2Equities

A busy day in equities. RSP vs S&P, 200-day went from -0.04 to -0.02, its biggest move since September 22. Momentum factor swung from +2.7% to -4.3% on the month.

  • Market breadthRSP vs S&P, 200-day went from -0.04 to -0.02, its biggest move since September 22. Equal-weight vs cap-weight S&P went from 0.27 to 0.28.
  • Factor returnsMomentum factor swung from +2.7% to -4.3% on the month, its biggest move since September 23. Quality factor moved from +1.2% to +2.6%.
  • Equity volatilityVVIX went from 84.88 to 110, its biggest move since October 2025. VIX moved from -57.0% to +3.5%.
  • Forward earningsForward EPS went from 310 to 304, its biggest move since September 23. The forward equity risk premium sits at -0.01.
  • Index performanceS&P daily return moved from +0.6% to -1.1%. S&P drawdown from the 1-year peak went from -0.00 to -0.02.
  • Sector rotationLeading-sector count went from 1.00 to 3.00. Sector breadth (50dMA) went from 0.27 to 0.36.
  • ValuationsShiller CAPE held at 41.01 at the latest reading. The Fed-model spread sits at -0.03.
  • Positioning & sentimentNo fresh reading in this group.
  • Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement sits at +0.38.

#3Credit

Credit had a single story. HYG ETF flows went from 0.47 to 1.46, 2.7 times its normal pace.

  • Spread complexHYG ETF flows went from 0.47 to 1.46, 2.7 times its normal pace. CCC credit went from +1.9pt to +2.0pt.
  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Total returnsNo fresh reading in this group.

#4Rates

Only one thing moved in rates. The MOVE/VIX ratio went from 6.53 to 5.06, its biggest move since September 24.

  • Rates volatilityThe MOVE/VIX ratio went from 6.53 to 5.06, its biggest move since September 24.
  • Flows & positioningHYG ETF flows went from 0.47 to 1.46, 2.7 times its normal pace. ETF flows went from 1.99 to 1.52.
  • Fiscal & stock-bond contextNet interest to GDP held at 3.15% at the latest reading. That is its highest level in about six months.
  • Term premium & durationThe long-Treasury ETF eased to -2.1% on the month (from -3.5%). The 1-3y Treasury ETF realized vol sits at +1.5%.
  • Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +1.0% to -9.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.51% to 0.33%.
  • Real yieldsNo fresh reading in this group. 30-year real yield moved from 3.36% to 3.18%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +0.0% to -3.0%.
  • Policy pathNo fresh reading in this group.

#5FX

FX had a single story. Dollar-yen realized vol moved from +6.0% to +4.5%, 3.8 times its normal pace.

  • FX volatilityDollar-yen realized vol moved from +6.0% to +4.5%, 3.8 times its normal pace. Euro-dollar realized vol moved from +4.0% to +4.5%.
  • Emerging marketsUSD/MXN eased to +7.3% on the month (from +7.7%), 4.6 times its normal pace. Dollar-real realized vol moved from +16.9% to +17.3%.
  • Major pairsEUR/USD eased to -2.0% on the month (from -3.6%). USD/CAD moved from +3.0% to +1.1%.
  • CarryNZD/USD swung from -4.1% to -1.2% on the month.
  • DollarAussie-S&P co-movement went from -0.14 to -0.18. The dollar moved from +0.1% to -0.3%.
  • Futures positioningNo fresh reading in this group.

#6Commodities

Only one thing moved in commodities. Oil futures roll drag went from +3.9pt to +7.0pt, its biggest move since October 1.

  • Roll yield & carryOil futures roll drag went from +3.9pt to +7.0pt, its biggest move since October 1. Copper futures roll drag went from +0.5pt to -0.1pt.
  • AgricultureWheat deepened to -9.3% on the month (from -7.2%), its biggest move since October 2. Wheat realized vol moved from +24.0% to +20.4%.
  • EnergyCrude moved from $91.8 to $99.0, its biggest move since September 25. Oil realized vol moved from +37.7% to +35.0%.
  • Broad commoditiesThe broad commodity ETF moved from $33.0 to $33.7. The broad commodity ETF realized vol moved from +16.3% to +15.0%.
  • MetalsCopper realized vol moved from +18.4% to +16.1%. Silver moved from $60.7 to $57.1.
  • ETF flowsThe gold ETF deepened to -4.1% on the month (from -3.0%).
  • Commodity volatilityNo fresh reading in this group.
  • Futures positioningNo fresh reading in this group.

#7Crypto

No news in crypto.

  • Crypto volatilityThe Ethereum ETF realized vol moved from +46.0% to +43.0%. Ethereum realized vol moved from +44.8% to +43.0%.
  • Market structureThe ETH/BTC ratio (1-month change) deepened to -7.6% on the month (from -5.4%).
  • PerformanceBitcoin eased to +6.8% on the month (from +7.8%). Ethereum moved from $2,486 to $2,414.
  • Cross-asset linkageBitcoin-dollar co-movement went from -0.29 to -0.31. Bitcoin-gold co-movement went from +0.48 to +0.49.
  • Network activityNo fresh reading in this group. Bitcoin active-address growth moved from +9.5% to +16.6%.
  • Futures positioningNo fresh reading in this group.

#8Macro

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.
  • 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.
  • Liquidity & financial conditionsThe dollar moved from +0.1% to -0.3%. Net liquidity moved from $5.86tn to $5.87tn.
  • 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.

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