Cross-asset conditions, 21 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 0.46× the norm
A relationship is shifting in FX. Aussie-S&P co-movement went from -0.20 to -0.11, its biggest move since July 9. USD/MXN extended to +8.1% on the month (from +7.3%). Aussie-dollar realized vol moved from +6.0% to +7.3%.
- DollarAussie-S&P co-movement went from -0.20 to -0.11, its biggest move since July 9. The broad dollar index moved from +3.6% to +248.4%.
- Emerging marketsUSD/MXN extended to +8.1% on the month (from +7.3%), 5.2 times its normal pace. The EM dollar index moved from +3.3% to +275.9%.
- FX volatilityAussie-dollar realized vol moved from +6.0% to +7.3%, its biggest move since September 17. Dollar-yen realized vol moved from +4.9% to +4.6%.
- Major pairsEUR/USD eased to -2.0% on the month (from -3.0%). USD/CAD moved from +2.3% to +0.3%.
- CarryNZD/USD swung from -2.8% to -0.3% on the month.
- Futures positioningNo fresh reading in this group.
Credit had a single story. HYG ETF flows went from 0.47 to 1.47, 2.7 times its normal pace.
- Spread complexHYG ETF flows went from 0.47 to 1.47, 2.7 times its normal pace. CCC credit went from +1.8pt to +2.3pt.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Total returnsNo fresh reading in this group.
Commodities moved on several fronts. Wheat moved from $673.2 to $621.8, its biggest move since September 1. Oil futures roll drag went from +5.0pt to +7.6pt.
- AgricultureWheat moved from $673.2 to $621.8, its biggest move since September 1.
- Roll yield & carryOil futures roll drag went from +5.0pt to +7.6pt, 3.4 times its normal pace. Wheat futures roll drag went from +0.3pt to +1.5pt.
- EnergyNat gas moved from $3.2 to $2.8, its biggest move since September 24. Crude moved from $95.1 to $97.1.
- ETF flowsCrude (USO) swung from -5.1% to +10.3% on the month, its biggest move since September 29. The gold ETF moved from -4.6% to -5.3%.
- MetalsCopper realized vol moved from +17.2% to +14.8%. Silver moved from -12.2% to -12.5%.
- Commodity volatilityOil vol moved from 49 to 52, its biggest move since October 6.
- Broad commoditiesThe broad commodity ETF swung from -1.1% to +2.9% on the month. The broad commodity ETF realized vol moved from +15.4% to +14.5%.
- Futures positioningNo fresh reading in this group.
A busy day in equities. Momentum factor swung from +0.2% to -6.0% on the month, 4.0 times its normal pace.
- Factor returnsMomentum factor swung from +0.2% to -6.0% on the month, 4.0 times its normal pace. Low-vol factor moved from -0.1% to +3.8%.
- Market breadthRSP vs S&P, 200-day went from -0.03 to -0.02, 2.6 times its normal pace. Equal-weight vs cap-weight S&P sits at 0.28.
- Sector rotationSector rotation velocity went from 2.07 to 4.11, 2.7 times its normal pace. Leading-sector count went from 2.00 to 3.00.
- Forward earningsForward EPS revisions went from 0.02 to 0.04, its biggest move since October 6. The forward equity risk premium sits at -0.01.
- Equity volatilityS&P realized vol moved from +10.0% to +8.7%, its biggest move since September 23. VVIX went from 94.45 to 96.17.
- Index performanceHang Seng 1-month return deepened to -4.4% on the month (from -1.9%). S&P daily return moved from -1.1% to +0.3%.
- ValuationsShiller CAPE held at 40.86 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 +0.43.
Only one thing moved in crypto. Bitcoin-ETF realized vol moved from +35.5% to +19.0%, 6.2 times its normal pace.
- Crypto volatilityBitcoin-ETF realized vol moved from +35.5% to +19.0%, 6.2 times its normal pace. Bitcoin realized vol moved from +36.5% to +19.8%.
- Market structureStablecoin supply went from 306 to 303, its biggest move since September 28. The ETH/BTC ratio (1-month change) moved from -6.6% to -7.6%.
- Cross-asset linkageBitcoin-Nasdaq co-movement went from +0.37 to +0.34.
- PerformanceBitcoin moved from $81,562 to $83,848.
- Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from +8.0% to +15.8%.
- Futures positioningNo fresh reading in this group.
Only one thing moved in rates. HYG ETF flows went from 0.47 to 1.47, 2.7 times its normal pace.
- Flows & positioningHYG ETF flows went from 0.47 to 1.47, 2.7 times its normal pace. ETF flows went from 1.97 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 7-10y Treasury ETF eased to -0.8% on the month (from -1.2%). 10-year term premium (zero-coupon) moved from 1.07% to 0.99%.
- Rates volatilityThe MOVE/VIX ratio went from 5.87 to 5.75. Rate realized vol moved from +80.4% to +86.8%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +2.0% to +6.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.42% to 0.33%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from 2.91% to 2.8%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens sits at +0.0%.
- Policy pathNo fresh reading in this group.
Macro stayed in range all session.
- 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.
- 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.
- Liquidity & financial conditionsThe dollar moved from +0.3% to +0.0%. Adjusted financial conditions sits at -0.52.
Volatility was quiet. Nothing moved beyond its normal range. The nearest mover was the VIX term-structure slope, from -0.01 to 0.03.
- Implied vol complexThe VIX term-structure slope went from -0.01 to 0.03. 9-day implied vol (VIX9D) went from 14.59 to 16.11.
- Stress concentrationVol complex co-movement went from +0.26 to +0.24. The MOVE/VIX ratio went from 5.87 to 5.75.
- Vol risk premiumS&P realized vol moved from +10.0% to +8.7%, its biggest move since September 23. The equity vol premium moved from +184.8% to +210.9%.
- Stress gauges & regimeNo fresh reading in this group. The financial-conditions composite went from -0.58 to -0.51.