Cross-asset conditions, 23 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 0.49× the norm
Most of the day's movement came from crypto. Bitcoin realized vol moved from +36.7% to +21.6%, 5.5 times its normal pace. Bitcoin beta to the S&P went from +1.14 to +1.40.
- Crypto volatilityBitcoin realized vol moved from +36.7% to +21.6%, 5.5 times its normal pace. Bitcoin-ETF realized vol moved from +35.7% to +22.7%.
- Cross-asset linkageBitcoin beta to the S&P went from +1.14 to +1.40, its biggest move since September 25. Bitcoin-S&P co-movement went from +0.34 to +0.39.
- Market structureStablecoin supply went from 305 to 303. The ETH/BTC ratio (1-month change) moved from -7.3% to -7.5%.
- PerformanceThe Ethereum ETF deepened to -11.3% on the month (from -1.6%).
- Network activityNo fresh reading in this group. Bitcoin active-address growth moved from -0.3% to +0.5%.
A busy day in commodities. Wheat deepened to -11.6% on the month (from -9.1%), 2.6 times its normal pace. Oil futures roll drag went from +4.6pt to +1.6pt.
- AgricultureWheat deepened to -11.6% on the month (from -9.1%), 2.6 times its normal pace.
- Roll yield & carryOil futures roll drag went from +4.6pt to +1.6pt, 3.9 times its normal pace. Natgas futures roll drag went from -4.2pt to -9.7pt.
- Commodity volatilityOil vol moved from 51 to 60, its biggest move since September 15. Gold vol moved from 23 to 24.
- ETF flowsCrude (USO) extended to +10.7% on the month (from +4.2%). The gold ETF moved from -4.1% to -6.4%.
- MetalsCopper realized vol moved from +15.9% to +18.5%. Silver moved from -12.9% to -14.9%.
- Broad commoditiesThe broad commodity ETF extended to +2.8% on the month (from +2.1%). The broad commodity ETF realized vol moved from +15.0% to +14.4%.
- EnergyCrude swung from -0.5% to +9.1% on the month.
Equities moved on several fronts. Sector rotation velocity went from 3.28 to 6.25, 3.8 times its normal pace. Size factor swung from -5.4% to -1.2% on the month.
- Sector rotationSector rotation velocity went from 3.28 to 6.25, 3.8 times its normal pace. Sector dispersion went from 0.03 to 0.06.
- Factor returnsSize factor swung from -5.4% to -1.2% on the month, its biggest move since June 12. Momentum factor moved from -4.5% to -8.0%.
- Market breadthRSP vs S&P, 200-day went from -0.02 to -0.01. Equal-weight vs cap-weight S&P sits at 0.28.
- Index performanceS&P drawdown from the 1-year peak held at -0.02 at the latest reading. Hang Seng 1-month return moved from -2.4% to -8.4%.
- ValuationsShiller CAPE held at 40.58 at the latest reading. The Fed-model spread went from -0.03 to -0.02.
- Forward earningsForward EPS went from 304 to 302. The forward equity risk premium sits at -0.01.
- Equity volatilityThe VIX/VIX3M term ratio went from 0.98 to 0.95. VVIX sits at 110.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.38 to +0.48.
The change in volatility is in how things move together. Vol complex co-movement went from +0.22 to +0.30, its biggest move since October 8.
- Stress concentrationVol complex co-movement went from +0.22 to +0.30, its biggest move since October 8. The GVZ/VIX ratio went from 1.13 to 1.25.
- Implied vol complexOil vol moved from 51 to 60, its biggest move since September 15. VVIX sits at 110.
- Vol risk premiumThe oil vol premium moved from +13.9% to +22.1%. Rate realized vol moved from +88.8% to +102.4%.
- Stress gauges & regimeNo fresh reading in this group. Euro-area systemic stress went from 0.01 to 0.02.
Rates had a single story. ETF flows went from 0.47 to 1.57, its biggest move since August 13.
- Flows & positioningETF flows went from 0.47 to 1.57, its biggest move since August 13. HYG ETF flows went from 1.48 to 0.19.
- Term premium & durationThe 1-3y Treasury ETF extended to +0.5% on the month (from +0.0%), its biggest move since October 8. The 7-10y Treasury ETF moved from -0.9% to +1.5%.
- 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 5.06 to 5.31. Rate realized vol moved from +88.8% to +102.4%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -9.0% to -17.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from 0.33% to 0.31%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.58% to 2.33%.
- Inflation expectationsNo fresh reading in this group. 5y inflation forwards moved from 2.31% to 2.19%.
- Policy pathNo fresh reading in this group.
Little happened in credit.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexLQD ETF flows went from -0.02 to 0.65, its biggest move since October 8. CCC credit went from +2.0pt to +2.5pt.
- Total returnsNo fresh reading in this group.
A calm day in FX. Every group stayed inside its usual pace. The nearest mover was USD/MXN, from +7.0% to +6.3%.
- Emerging marketsUSD/MXN eased to +6.3% on the month (from +7.0%), 4.0 times its normal pace. USD/BRL moved from -1.1% to -3.6%.
- FX volatilityDollar-yen realized vol moved from +4.5% to +5.0%. Aussie-dollar realized vol moved from +6.3% to +6.1%.
- Major pairsEUR/USD eased to -1.6% on the month (from -2.2%). AUD/USD moved from -2.4% to +0.1%.
- CarryNZD/USD swung from -1.7% to +0.5% on the month.
- DollarThe dollar moved from -0.3% to +0.2%. Aussie-S&P co-movement sits at -0.14.
No news in macro.
- 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 -0.3% to +0.2%. Net liquidity moved from $5.87tn to $5.80tn.
- 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.