MGLens

Cross-asset conditions, 20 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 0.67× the norm

#1Volatility

Volatility moved more than anything else. VVIX went from 85.38 to 109, 5.3 times its normal pace. The MOVE/VIX ratio went from 6.62 to 5.40.

  • Implied vol complexVVIX went from 85.38 to 109, 5.3 times its normal pace. 9-day implied vol (VIX9D) went from 11.99 to 18.52.
  • Stress concentrationThe MOVE/VIX ratio went from 6.62 to 5.40, 3.8 times its normal pace. The GVZ/VIX ratio went from 1.48 to 1.21.
  • Vol risk premiumThe equity vol premium moved from +147.2% to +280.5%, 2.5 times its normal pace. Implied minus realized vol went from 6.00 to 10.22.
  • Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.14 to 0.02.

#2Credit

Credit had a single story. HYG ETF flows went from 0.47 to 1.48, 2.8 times its normal pace.

  • Spread complexHYG ETF flows went from 0.47 to 1.48, 2.8 times its normal pace. CCC credit went from +1.8pt to +2.2pt.
  • Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
  • Total returnsNo fresh reading in this group.

#3Equities

Equities moved on several fronts. Momentum factor swung from +2.2% to -7.5% on the month, its biggest move since September 23. RSP vs S&P, 200-day went from -0.04 to -0.02.

  • Factor returnsMomentum factor swung from +2.2% to -7.5% on the month, its biggest move since September 23. Low-vol factor moved from -1.8% to +3.8%.
  • Market breadthRSP vs S&P, 200-day went from -0.04 to -0.02, 3.0 times its normal pace. Equal-weight vs cap-weight S&P went from 0.27 to 0.28.
  • Equity volatilityVVIX went from 85.38 to 109, 5.3 times its normal pace. VIX moved from +6.0% to +39.0%.
  • Sector rotationSector rotation velocity went from 2.39 to 4.41, its biggest move since September 2. Leading-sector count went from 1.00 to 3.00.
  • Forward earningsForward EPS went from 309 to 305. The forward equity risk premium sits at -0.01.
  • Index performanceHang Seng 1-month return deepened to -4.7% on the month (from -1.9%). S&P daily return moved from -0.0% to +0.1%.
  • ValuationsShiller CAPE held at 40.72 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 went from +0.39 to +0.42.

#4Commodities

A busy day in commodities. Wheat realized vol moved from +23.1% to +18.3%, 2.5 times its normal pace.

  • AgricultureWheat realized vol moved from +23.1% to +18.3%, 2.5 times its normal pace. Wheat moved from -5.3% to -8.5%.
  • Roll yield & carryCopper futures roll drag went from +0.2pt to -1.9pt, its biggest move since June 24. Oil futures roll drag went from +4.9pt to +7.5pt.
  • ETF flowsCrude (USO) swung from -2.3% to +11.7% on the month, its biggest move since September 28.
  • Broad commoditiesThe broad commodity ETF realized vol moved from +16.2% to +14.3%. The broad commodity ETF moved from $33.5 to $33.6.
  • EnergyNat gas moved from $3.3 to $3.0, its biggest move since October 1. Crude moved from $94.1 to $98.6.
  • MetalsSilver deepened to -12.5% on the month (from -6.9%). Copper realized vol moved from +16.8% to +15.0%.
  • Commodity volatilityNo fresh reading in this group.
  • Futures positioningNo fresh reading in this group.

#5Crypto

Only one thing moved in crypto. Bitcoin-ETF realized vol moved from +37.3% to +17.7%, 7.1 times its normal pace.

  • Crypto volatilityBitcoin-ETF realized vol moved from +37.3% to +17.7%, 7.1 times its normal pace. Bitcoin realized vol moved from +37.8% to +18.7%.
  • Market structureStablecoin supply went from 306 to 304, its biggest move since September 28. The ETH/BTC ratio sits at 0.03.
  • PerformanceEthereum deepened to -12.5% on the month (from -0.7%).
  • Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.36 to +0.34. Bitcoin-dollar co-movement sits at -0.31.
  • Network activityNo fresh reading in this group.
  • Futures positioningNo fresh reading in this group.

#6Rates

Rates had a single story. The MOVE/VIX ratio went from 6.62 to 5.40, 3.8 times its normal pace.

  • Rates volatilityThe MOVE/VIX ratio went from 6.62 to 5.40, 3.8 times its normal pace. Rate realized vol moved from +88.1% to +88.9%.
  • Flows & positioningHYG ETF flows went from 0.47 to 1.48, 2.8 times its normal pace. ETF flows went from 1.98 to 1.51.
  • 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 -3.2%). The 1-3y Treasury ETF realized vol moved from +1.5% to +1.4%.
  • Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -6.0% to -1.0%.
  • Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.44% to 0.38%.
  • Real yieldsNo fresh reading in this group. 10-year real yield moved from 2.87% to 2.74%.
  • Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -2.0% to +0.0%.
  • Policy pathNo fresh reading in this group.

#7FX

Little happened in FX. The nearest mover was Aussie-dollar realized vol, from +5.7% to +7.0%.

  • FX volatilityAussie-dollar realized vol moved from +5.7% to +7.0%, its biggest move since September 17. Dollar-yen realized vol moved from +5.1% to +4.2%.
  • Emerging marketsUSD/MXN eased to +7.3% on the month (from +7.6%), 4.6 times its normal pace. The EM dollar index moved from +3.3% to +275.9%.
  • Major pairsEUR/USD eased to -2.0% on the month (from -3.7%). USD/CAD moved from +3.0% to +0.1%.
  • DollarThe dollar moved from -0.4% to -0.3%. The broad dollar index moved from +3.6% to +248.4%.
  • CarryNZD/USD swung from -3.9% to -0.4% on the month.
  • Futures positioningNo fresh reading in this group.

#8Macro

A calm day in macro. Every group stayed inside its usual pace.

  • Fiscal positionDebt-to-GDP held at 123% at the latest reading. That is its highest level in about six months.
  • 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.
  • HousingHousing starts held at 1.2m at the latest reading.
  • Liquidity & financial conditionsThe dollar moved from -0.4% to -0.3%.
  • 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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