Cross-asset conditions, 22 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 0.79× the norm
Most of the day's movement came from equities. Sector rotation velocity went from 1.74 to 6.12, its biggest move since August 5. RSP vs S&P, 200-day went from -0.02 to 0.00. Momentum factor deepened to -8.5% on the month (from -1.7%). VIX moved from -41.0% to +235.0%. Three of its eight groups moved at once.
- Sector rotationSector rotation velocity went from 1.74 to 6.12, its biggest move since August 5. Sector dispersion went from 0.02 to 0.05.
- Market breadthRSP vs S&P, 200-day went from -0.02 to 0.00, 3.4 times its normal pace. Equal-weight vs cap-weight S&P went from 0.28 to 0.29.
- Factor returnsMomentum factor deepened to -8.5% on the month (from -1.7%), 4.3 times its normal pace. Low-vol factor moved from +0.8% to +5.5%.
- Equity volatilityVIX moved from -41.0% to +235.0%, 3.4 times its normal pace. VVIX went from 92.57 to 108.
- Index performanceS&P daily return moved from +0.3% to -1.2%, its biggest move since September 21. S&P drawdown from the 1-year peak went from -0.01 to -0.02.
- Forward earningsForward EPS went from 307 to 304. The forward equity risk premium sits at -0.01.
- ValuationsShiller CAPE held at 41.08 at the latest reading. The Fed-model spread sits at -0.03.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement sits at +0.42.
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 +2.0pt to +2.3pt.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Total returnsNo fresh reading in this group.
A busy day in commodities. Wheat moved from $670.0 to $624.8, its biggest move since September 4. Copper futures roll drag went from +1.0pt to -1.2pt.
- AgricultureWheat moved from $670.0 to $624.8, its biggest move since September 4.
- Roll yield & carryCopper futures roll drag went from +1.0pt to -1.2pt, its biggest move since June 24. Oil futures roll drag went from +5.0pt to +4.3pt.
- EnergyNat gas moved from $3.2 to $2.8, its biggest move since February 2026. Crude moved from $95.1 to $99.2.
- Commodity volatilityOil vol moved from 49 to 56, its biggest move since September 22. Gold vol moved from 22 to 24.
- ETF flowsCrude (USO) extended to +9.2% on the month (from +0.7%). The gold ETF moved from -2.3% to -6.1%.
- MetalsSilver deepened to -15.2% on the month (from -11.6%), its biggest move since August 31. Copper realized vol moved from +17.9% to +15.9%.
- Broad commoditiesThe broad commodity ETF extended to +2.1% on the month (from +0.4%).
Crypto had a single story. Bitcoin realized vol moved from +36.5% to +21.8%, 5.4 times its normal pace.
- Crypto volatilityBitcoin realized vol moved from +36.5% to +21.8%, 5.4 times its normal pace. Bitcoin-ETF realized vol moved from +35.5% to +22.7%.
- Cross-asset linkageBitcoin beta to the S&P went from +1.17 to +1.33, its biggest move since September 29. Bitcoin-S&P co-movement went from +0.34 to +0.38.
- Market structureStablecoin supply went from 306 to 304. The ETH/BTC ratio (1-month change) moved from -6.4% to -7.9%.
- PerformanceEthereum swung from +1.0% to -11.4% on the month.
- Network activityNo fresh reading in this group. Bitcoin transaction count went from 838,363 to 709,817.
Rates had a single story. 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.
- Term premium & durationThe 1-3y Treasury ETF extended to +0.5% on the month (from +0.1%), its biggest move since October 8. 10-year term premium (zero-coupon) moved from 1.07% to 0.99%.
- 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 6.23 to 5.61. Rate realized vol moved from +82.5% to +82.8%.
- Yield curveNo fresh reading in this group. 30-year Treasury yield moved from 5.52% to 5.42%.
- Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from 0.91% to 0.88%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from 2.84% to 2.76%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens sits at +2.0%.
- Policy pathNo fresh reading in this group.
FX had a single story. USD/MXN extended to +8.1% on the month (from +7.7%), 5.2 times its normal pace.
- Emerging marketsUSD/MXN extended to +8.1% on the month (from +7.7%), 5.2 times its normal pace. The EM dollar index moved from +3.3% to +275.9%.
- DollarAussie-S&P co-movement went from -0.20 to -0.15. The broad dollar index moved from +3.6% to +248.4%.
- FX volatilityAussie-dollar realized vol moved from +6.0% to +7.1%, 2.6 times its normal pace. Dollar-yen realized vol moved from +4.7% to +5.5%.
- Major pairsEUR/USD eased to -2.0% on the month (from -3.0%). AUD/USD moved from -2.1% to -1.3%.
- CarryNZD/USD swung from -2.5% to -0.7% on the month.
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.
- 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.
- Liquidity & financial conditionsThe dollar moved from -0.4% to -0.1%.
- Labor marketPayrolls held at 159.0m at the latest reading. That is its highest level in about six months.
Little happened in volatility. The nearest mover was vol complex co-movement, from +0.24 to +0.30.
- Stress concentrationVol complex co-movement went from +0.24 to +0.30, 3.1 times its normal pace. The MOVE/VIX ratio went from 6.23 to 5.61.
- Implied vol complexVIX moved from -41.0% to +235.0%, 3.4 times its normal pace. 9-day implied vol (VIX9D) went from 13.97 to 18.86.
- Vol risk premiumThe equity vol premium moved from +174.1% to +272.4%. Implied minus realized vol went from 6.62 to 9.56.
- Stress gauges & regimeNo fresh reading in this group.