Cross-asset conditions, 6 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 0.76× the norm
Rates moved more than anything else. The 1-3y Treasury ETF realized vol moved from +1.3% to +1.9%, its biggest move since February 2026. The MOVE/VIX ratio went from 5.16 to 3.76. Two of its nine groups moved at once.
- Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.3% to +1.9%, its biggest move since February 2026. The 7-10y Treasury ETF moved from +2.8% to +2.6%.
- Rates volatilityThe MOVE/VIX ratio went from 5.16 to 3.76, 4.3 times its normal pace.
- Flows & positioningETF flows went from 1.80 to 1.54.
- 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 -19.0% to -41.0%.
- Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from -21.0% to -39.0%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from -23.0% to -31.0%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from -3.0% to -2.0%.
- Policy pathNo fresh reading in this group.
A relationship is shifting in FX. Aussie-S&P co-movement went from -0.08 to -0.25, its biggest move since July 6. Aussie-dollar realized vol moved from +5.8% to +8.2%.
- DollarAussie-S&P co-movement went from -0.08 to -0.25, its biggest move since July 6. The dollar moved from -0.1% to +0.7%.
- FX volatilityAussie-dollar realized vol moved from +5.8% to +8.2%, its biggest move since February 2026. Dollar-yen realized vol sits at +4.9%.
- Emerging marketsUSD/BRL extended to +9.4% on the month (from +4.0%), 4.7 times its normal pace. Dollar-real realized vol moved from +33.9% to +29.9%.
- CarryNZD/USD deepened to -0.9% on the month (from -0.0%), its biggest move since October 20.
- Major pairsUSD/CHF deepened to -1.5% on the month (from -1.4%). USD/CAD moved from -1.8% to -1.1%.
Volatility had a single story. S&P realized vol moved from +11.5% to +19.4%, 7.8 times its normal pace.
- Vol risk premiumS&P realized vol moved from +11.5% to +19.4%, 7.8 times its normal pace. The equity vol premium moved from +244.7% to +254.8%.
- Stress concentrationThe MOVE/VIX ratio went from 5.16 to 3.76, 4.3 times its normal pace. The OVX/VIX ratio went from 3.01 to 2.38.
- Implied vol complexVIX moved from +222.0% to -3.0%, 4.3 times its normal pace. 9-day implied vol (VIX9D) went from 19.25 to 27.64.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from 0.02 to -0.40.
Commodities moved on several fronts. The broad commodity ETF realized vol moved from +11.4% to +19.5%, its biggest move since February 2026.
- Broad commoditiesThe broad commodity ETF realized vol moved from +11.4% to +19.5%, its biggest move since February 2026. The broad commodity ETF moved from $33.6 to $31.4.
- EnergyOil realized vol moved from +36.3% to +52.0%, 4.9 times its normal pace. Crude moved from $104.1 to $90.6.
- AgricultureWheat deepened to -13.2% on the month (from -11.6%), 2.9 times its normal pace. Wheat realized vol moved from +18.0% to +13.8%.
- MetalsGold realized vol moved from +18.1% to +23.3%, 3.3 times its normal pace. Copper realized vol moved from +19.0% to +22.0%.
- Roll yield & carryOil futures roll drag went from +0.4pt to +1.3pt. Natgas futures roll drag went from -8.3pt to -7.5pt.
- Commodity volatilityOil vol moved from 58 to 60. Gold vol sits at 26.
- ETF flowsThe gold ETF swung from -7.0% to -2.0% on the month. Crude (USO) moved from +12.5% to +0.4%.
Equities moved on several fronts. S&P realized vol moved from +11.5% to +19.4%, 7.8 times its normal pace.
- Equity volatilityS&P realized vol moved from +11.5% to +19.4%, 7.8 times its normal pace. VIX moved from +222.0% to -3.0%.
- Index performanceNikkei 1-month return deepened to -18.7% on the month (from -1.3%), its biggest move since June 18. S&P daily return moved from -1.8% to +1.0%.
- ValuationsShiller CAPE held at 38.79 at the latest reading. The Fed-model spread went from -0.03 to -0.02.
- Forward earningsForward EPS went from 301 to 294. Forward EPS revisions went from -0.00 to -0.04.
- Factor returnsMomentum factor deepened to -14.9% on the month (from -10.5%), 2.8 times its normal pace. Quality factor moved from +0.7% to +1.8%.
- Sector rotationSector leadership persistence went from 0.02 to -0.17. Sector rotation velocity went from 9.09 to 8.65.
- Market breadthRSP vs S&P, 200-day went from 0.01 to 0.02. Equal-weight vs cap-weight S&P sits at 0.29.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.53 to +0.56.
Crypto had a single story. Ethereum realized vol moved from +33.0% to +44.6%, 4.6 times its normal pace.
- Crypto volatilityEthereum realized vol moved from +33.0% to +44.6%, 4.6 times its normal pace. Bitcoin-ETF realized vol moved from +28.7% to +33.5%.
- Cross-asset linkageBitcoin-S&P co-movement went from +0.42 to +0.52, 3.8 times its normal pace. Bitcoin-Nasdaq co-movement went from +0.44 to +0.51.
- Market structureStablecoin supply went from 300 to 294, 3.6 times its normal pace. Stablecoin supply growth moved from -2.3% to -3.8%.
- PerformanceBitcoin eased to -7.7% on the month (from -9.0%).
- Network activityNo fresh reading in this group.
No news in credit.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexLQD ETF flows went from 0.77 to 0.66. Single-B credit moved from 3.18% to 3.51%.
- Total returnsNo fresh reading in this group.
Macro was quiet. Nothing moved beyond its normal range. The nearest mover was the dollar, from -0.1% to +0.7%.
- Liquidity & financial conditionsThe dollar moved from -0.1% to +0.7%, its biggest move since August 19. Net liquidity moved from $5.75tn to $5.79tn.
- 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.
- 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.