Cross-asset conditions, 5 November 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 0.75× the norm
Commodities moved more than anything else. The broad commodity ETF realized vol moved from +12.0% to +20.1%, its biggest move since February 2026. Gold realized vol moved from +15.0% to +22.9%. Oil realized vol moved from +36.7% to +53.0%. Wheat realized vol moved from +18.8% to +14.0%. Four of its seven groups moved at once.
- Broad commoditiesThe broad commodity ETF realized vol moved from +12.0% to +20.1%, its biggest move since February 2026. The broad commodity ETF moved from $33.7 to $31.5.
- MetalsGold realized vol moved from +15.0% to +22.9%, its biggest move since February 2026. Silver moved from -13.2% to -12.8%.
- EnergyOil realized vol moved from +36.7% to +53.0%, 5.0 times its normal pace. Crude moved from $102.0 to $89.7.
- AgricultureWheat realized vol moved from +18.8% to +14.0%, its biggest move since October 1. Wheat moved from -10.7% to -12.5%.
- Commodity volatilityGold vol moved from 23 to 25. Oil vol moved from 57 to 59.
- Roll yield & carryOil futures roll drag went from +2.7pt to +0.8pt. Natgas futures roll drag went from -9.0pt to -8.2pt.
- ETF flowsCrude (USO) swung from +15.5% to +2.4% on the month. The gold ETF moved from -3.2% to +0.1%.
Equities moved on several fronts. Quality factor swung from +0.2% to -74.3% on the month, the biggest such move in at least four years. RSP vs S&P, 200-day went from 0.00 to 0.03.
- Factor returnsQuality factor swung from +0.2% to -74.3% on the month, the biggest such move in at least four years. Momentum factor moved from -6.8% to -79.2%.
- Market breadthRSP vs S&P, 200-day went from 0.00 to 0.03, 4.4 times its normal pace. Equal-weight vs cap-weight S&P went from 0.29 to 0.30.
- Sector rotationSector rotation velocity went from 6.79 to 9.66, 3.7 times its normal pace. Leading-sector count went from 5.00 to 7.00.
- Forward earningsForward EPS revisions went from 0.03 to -0.03, 2.7 times its normal pace. Forward EPS went from 306 to 299.
- Equity volatilityS&P realized vol moved from +9.7% to +13.5%, its biggest move since September 2. VIX moved from +29.0% to +292.0%.
- Index performanceS&P daily return moved from -0.3% to -1.8%, 3.5 times its normal pace. S&P drawdown from the 1-year peak went from -0.01 to -0.03.
- ValuationsShiller CAPE held at 40.13 at the latest reading. Equity risk premium moved from +85.1% to -30.6%.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.52 to +0.55.
Only one thing moved in crypto. Bitcoin-ETF realized vol moved from +24.0% to +31.1%, 3.9 times its normal pace.
- Crypto volatilityBitcoin-ETF realized vol moved from +24.0% to +31.1%, 3.9 times its normal pace. Ethereum realized vol moved from +33.4% to +40.8%.
- Market structureStablecoin supply went from 300 to 295, 3.3 times its normal pace. Stablecoin supply growth moved from -2.4% to -3.6%.
- Cross-asset linkageBitcoin-S&P co-movement went from +0.44 to +0.49. Bitcoin beta to the S&P went from +1.79 to +1.75.
- PerformanceBitcoin eased to -6.7% on the month (from -6.9%).
- Network activityNo fresh reading in this group.
Rates had a single story. The 1-3y Treasury ETF realized vol moved from +1.4% to +1.8%, 5.2 times its normal pace.
- Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.4% to +1.8%, 5.2 times its normal pace. The 7-10y Treasury ETF moved from +2.2% to +3.0%.
- Flows & positioningETF flows went from 1.80 to 1.64, 3.4 times its normal pace.
- Rates volatilityThe MOVE/VIX ratio went from 5.44 to 4.57, its biggest move since October 16.
- Fiscal & stock-bond contextNet interest to GDP held at 3.94% at the latest reading. That is its highest level in about six months.
- Yield curveNo fresh reading in this group. 10-year Treasury yield moved from -18.0% to -33.0%.
- Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from -9.0% to -40.0%.
- Real yieldsNo fresh reading in this group. 5-year real yield moved from -27.0% to -34.0%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from +3.0% to -4.0%.
- 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 complexHYG ETF flows went from 0.27 to 1.08. HY OAS moved from -12.0% to -3.0%.
- Total returnsNo fresh reading in this group.
A calm day in FX. Every group stayed inside its usual pace. The nearest mover was USD/BRL, from +2.7% to +9.8%.
- Emerging marketsUSD/BRL extended to +9.8% on the month (from +2.7%), its biggest move since July 2024. Dollar-real realized vol moved from +33.9% to +29.9%.
- Major pairsUSD/CAD deepened to -1.6% on the month (from -1.4%). USD/CHF moved from -0.8% to -2.0%.
- FX volatilitySterling-dollar realized vol moved from +4.6% to +4.1%. Euro-dollar realized vol moved from +4.3% to +3.8%.
- DollarThe dollar moved from -0.1% to +0.1%. Aussie-S&P co-movement sits at -0.14.
- CarryNZD/USD swung from -0.2% to -0.1% on the month.
Macro was quiet. Nothing moved beyond its normal range.
- Fiscal positionDebt-to-GDP held at 121% 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.
- Household credit & cash flowDebt service ratio held at 11.11 at the latest reading. That is its lowest level in about six months.
- Liquidity & financial conditionsThe dollar moved from -0.1% to +0.1%.
- GrowthReal GDP held at $24.61tn at the latest reading. It still sits near multi-year highs.
- Labor marketPayrolls held at 159.0m at the latest reading. That is its highest level in about six months.
No news in volatility. The nearest mover was VIX, from +29.0% to +292.0%.
- Implied vol complexVIX moved from +29.0% to +292.0%, 4.2 times its normal pace. The VIX/VIX6M term ratio went from 0.81 to 0.90.
- Vol risk premiumS&P realized vol moved from +9.7% to +13.5%, its biggest move since September 2. The oil vol premium moved from +20.4% to +5.9%.
- Stress concentrationThe MOVE/VIX ratio went from 5.44 to 4.57, its biggest move since October 16. Vol complex co-movement went from +0.35 to +0.37.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from -0.11 to 0.24.