Cross-asset conditions, 28 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
Crypto moved more than anything else. Bitcoin beta to the S&P went from +1.14 to +1.72, its biggest move since May 6. Bitcoin-ETF realized vol moved from +20.0% to +23.8%. A second straight session at the top.
- Cross-asset linkageBitcoin beta to the S&P went from +1.14 to +1.72, its biggest move since May 6. Bitcoin-S&P co-movement went from +0.34 to +0.43.
- Crypto volatilityBitcoin-ETF realized vol moved from +20.0% to +23.8%. Bitcoin realized vol moved from +20.0% to +22.3%.
- Market structureStablecoin supply growth deepened to -2.0% on the month (from -0.9%), its biggest move since June 17. Stablecoin supply went from 304 to 302.
- PerformanceBitcoin moved from $84,012 to $81,094, its biggest move since October 12.
- Network activityNo fresh reading in this group. Bitcoin hashrate growth moved from +8.7% to +14.6%.
Commodities moved on several fronts. Oil futures roll drag went from +8.2pt to +2.5pt, its biggest move since September 24. Wheat deepened to -13.5% on the month (from -12.4%).
- Roll yield & carryOil futures roll drag went from +8.2pt to +2.5pt, its biggest move since September 24. Natgas futures roll drag went from -2.3pt to -8.8pt.
- AgricultureWheat deepened to -13.5% on the month (from -12.4%), its biggest move since September 10. That is its lowest level in about six months.
- ETF flowsCrude (USO) extended to +16.2% on the month (from +10.9%), its biggest move since September 25. The gold ETF moved from -5.3% to -2.4%.
- MetalsCopper realized vol moved from +14.8% to +18.2%, 3.4 times its normal pace. Silver moved from -12.9% to -10.9%.
- Broad commoditiesThe broad commodity ETF realized vol moved from +14.4% to +12.2%. The broad commodity ETF moved from +3.3% to +5.6%.
- EnergyCrude extended to +13.7% on the month (from +2.7%), its biggest move since September 24. Nat gas moved from $2.8 to $3.0.
- Commodity volatilityGold vol moved from 21 to 23. Oil vol moved from 53 to 59.
The change in volatility is in how things move together. Vol complex co-movement went from +0.23 to +0.33, its biggest move since October 7.
- Stress concentrationVol complex co-movement went from +0.23 to +0.33, its biggest move since October 7. The OVX/VIX ratio went from 3.19 to 3.46.
- Vol risk premiumThe gold vol premium moved from +4.2% to +8.0%, its biggest move since October 5. Rate realized vol moved from +85.1% to +84.9%.
- Implied vol complexGold vol moved from 21 to 23. VIX moved from -63.0% to -61.0%.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index went from -1.89 to -1.57.
A busy day in equities. Quality factor swung from +1.4% to -1.1% on the month, its biggest move since July 9.
- Factor returnsQuality factor swung from +1.4% to -1.1% on the month, its biggest move since July 9. Momentum factor moved from -5.7% to -5.2%.
- Sector rotationSector leadership persistence went from 0.30 to 0.08, its biggest move since December 2025. Sector rotation velocity went from 4.01 to 5.10.
- Market breadthThe advance-decline line extended to +32.0% on the month (from +15.0%), its biggest move since October 2. RSP vs S&P, 200-day went from -0.02 to -0.01.
- ValuationsShiller CAPE held at 40.89 at the latest reading. The Fed-model spread sits at -0.03.
- Equity volatilityS&P realized vol moved from +8.9% to +9.6%. VIX moved from -63.0% to -61.0%.
- Forward earningsForward EPS revisions went from 0.05 to 0.04. The forward equity risk premium sits at -0.01.
- Index performanceThe Stoxx deepened to -2.4% on the month (from -1.9%). Hang Seng 1-month return moved from -3.0% to -6.9%.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.42 to +0.52.
Rates had a single story. ETF flows went from 0.47 to 1.80, 3.8 times its normal pace.
- Flows & positioningETF flows went from 0.47 to 1.80, 3.8 times its normal pace. HYG ETF flows went from 1.47 to 0.27.
- 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 realized vol moved from +5.9% to +5.2%. The 1-3y Treasury ETF moved from -0.0% to +0.4%.
- Rates volatilityThe MOVE/VIX ratio went from 5.75 to 5.59. Rate realized vol moved from +85.1% to +84.9%.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -3.0% to -1.0%.
- Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from 0.86% to 0.77%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from 2.55% to 2.37%.
- Inflation expectationsNo fresh reading in this group. 5y inflation forwards moved from 2.31% to 2.25%.
- Policy pathNo fresh reading in this group.
Only one thing moved in FX. Dollar-real realized vol moved from +17.7% to +33.9%, 12.2 times its normal pace.
- Emerging marketsDollar-real realized vol moved from +17.7% to +33.9%, 12.2 times its normal pace. USD/MXN moved from +7.0% to +3.6%.
- FX volatilitySterling-dollar realized vol moved from +5.3% to +4.6%, its biggest move since September 29. Dollar-yen realized vol moved from +4.5% to +4.8%.
- Major pairsEUR/USD eased to -1.9% on the month (from -2.1%). USD/CAD moved from +0.2% to -1.3%.
- CarryNZD/USD deepened to -0.7% on the month (from -0.6%).
- DollarAussie-S&P co-movement went from -0.11 to -0.13. The dollar moved from +0.1% to -0.2%.
Little happened in credit.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexLQD ETF flows went from -0.03 to 0.65. CCC credit went from +2.5pt to +1.8pt.
- Total returnsNo fresh reading in this group.
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.
- Liquidity & financial conditionsThe dollar moved from +0.1% to -0.2%. Adjusted financial conditions went from -0.51 to -0.50.
- 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.