Cross-asset conditions, 27 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 0.51× the norm
Most of the day's movement came from crypto. Bitcoin beta to the S&P went from +1.14 to +1.53, its biggest move since September 25. Bitcoin-ETF realized vol moved from +18.0% to +23.5%. Two of its five groups moved at once.
- Cross-asset linkageBitcoin beta to the S&P went from +1.14 to +1.53, its biggest move since September 25. Bitcoin-S&P co-movement went from +0.34 to +0.41.
- Crypto volatilityBitcoin-ETF realized vol moved from +18.0% to +23.5%, 4.1 times its normal pace. Bitcoin realized vol moved from +19.4% to +22.1%.
- Market structureStablecoin supply growth deepened to -2.0% on the month (from -0.9%), its biggest move since June 18. Stablecoin supply went from 304 to 302.
- PerformanceEthereum deepened to -13.0% on the month (from -11.9%).
- Network activityNo fresh reading in this group. Bitcoin transaction count went from 640,289 to 822,379.
Commodities moved on several fronts. Natural-gas realized vol moved from +52.3% to +75.2%, its biggest move since September 30. Natgas futures roll drag went from -2.1pt to -13.1pt.
- EnergyNatural-gas realized vol moved from +52.3% to +75.2%, its biggest move since September 30. Nat gas moved from $3.0 to $3.1.
- Roll yield & carryNatgas futures roll drag went from -2.1pt to -13.1pt, its biggest move since March 2026. Oil futures roll drag went from +2.1pt to +1.2pt.
- AgricultureWheat eased to -11.3% on the month (from -11.5%), 2.5 times its normal pace.
- MetalsCopper realized vol moved from +15.4% to +18.7%, 3.2 times its normal pace. Silver moved from -12.3% to -11.0%.
- ETF flowsCrude (USO) extended to +9.2% on the month (from +8.4%). The gold ETF moved from -5.2% to -1.5%.
- Broad commoditiesThe broad commodity ETF extended to +3.4% on the month (from +3.0%). The broad commodity ETF realized vol moved from +14.4% to +13.5%.
- Commodity volatilityOil vol moved from 52 to 55. Gold vol moved from 22 to 23.
FX moved on several fronts. Dollar-real realized vol moved from +17.7% to +32.7%, its biggest move since October 12. Aussie-S&P co-movement went from -0.12 to -0.21.
- Emerging marketsDollar-real realized vol moved from +17.7% to +32.7%, its biggest move since October 12. USD/MXN moved from +6.9% to +5.2%.
- DollarAussie-S&P co-movement went from -0.12 to -0.21, its biggest move since July 9. The broad dollar index moved from +248.4% to +120.3%.
- FX volatilityDollar-yen realized vol moved from +4.5% to +5.2%. Aussie-dollar realized vol moved from +6.9% to +6.0%.
- Major pairsEUR/USD eased to -2.2% on the month (from -2.3%).
- CarryNZD/USD swung from -1.0% to +0.6% on the month.
The change in volatility is in how things move together. Vol complex co-movement went from +0.23 to +0.32, its biggest move since October 7.
- Stress concentrationVol complex co-movement went from +0.23 to +0.32, its biggest move since October 7. The OVX/VIX ratio went from 3.01 to 3.16.
- Vol risk premiumThe gold vol premium moved from +4.7% to +7.6%, its biggest move since October 7. Rate realized vol moved from +86.8% to +84.9%.
- Implied vol complex6-month implied vol (VIX6M) went from 20.74 to 21.42. VIX moved from -113.0% to -87.0%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index went from -1.87 to -1.32.
Rates had a single story. ETF flows went from 0.47 to 1.79, 3.8 times its normal pace.
- Flows & positioningETF flows went from 0.47 to 1.79, 3.8 times its normal pace. HYG ETF flows went from 1.48 to 0.27.
- Term premium & durationThe 7-10y Treasury ETF realized vol moved from +5.9% to +5.1%, its biggest move since September 29. The 1-3y Treasury ETF moved from +0.0% to +0.4%.
- 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 5.88 to 5.59. Rate realized vol moved from +86.8% to +84.9%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from +6.0% to +0.0%.
- Curve slopeNo fresh reading in this group. The 10s-2s curve moved from +11.0% to +1.0%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.56% to 2.37%.
- Inflation expectationsNo fresh reading in this group. 5y inflation forwards moved from 2.32% to 2.21%.
- Policy pathNo fresh reading in this group.
Only one thing moved in equities. Quality factor swung from +1.8% to -0.4% on the month, its biggest move since July 13.
- Factor returnsQuality factor swung from +1.8% to -0.4% on the month, its biggest move since July 13. Momentum factor moved from -5.9% to -5.6%.
- Sector rotationSector leadership persistence went from 0.33 to 0.11, its biggest move since December 2025. Sector rotation velocity went from 4.46 to 4.87.
- Forward earningsForward EPS revisions went from 0.03 to 0.06, its biggest move since October 2. The forward equity risk premium sits at -0.01.
- Market breadthThe advance-decline line extended to +28.0% on the month (from +13.0%), its biggest move since October 7. RSP vs S&P, 200-day went from -0.02 to -0.01.
- Equity volatilityS&P realized vol moved from +8.7% to +9.6%, its biggest move since September 25. VIX moved from -113.0% to -87.0%.
- ValuationsShiller CAPE held at 40.66 at the latest reading. The Fed-model spread sits at -0.03.
- Index performanceS&P daily return moved from +0.3% to +0.6%. Hang Seng 1-month return moved from -2.1% to -6.5%.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.43 to +0.50.
Credit stayed in range all session.
- 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. CCC credit went from +2.3pt to +2.2pt.
- Total returnsNo fresh reading in this group.
Little happened 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 +0.4%. 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.