Cross-asset conditions, 12 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 0.92× the norm
Volatility moved more than anything else. The equity vol premium moved from +433.9% to -109.7%, its biggest move since May 2025. VVIX went from 135 to 91.97. The GVZ/VIX ratio went from 0.92 to 1.42. Three of its four groups moved at once.
- Vol risk premiumThe equity vol premium moved from +433.9% to -109.7%, its biggest move since May 2025. S&P realized vol moved from +19.0% to +21.1%.
- Implied vol complexVVIX went from 135 to 91.97, 6.0 times its normal pace. VIX moved from +11.6% to +87.0%.
- Stress concentrationThe GVZ/VIX ratio went from 0.92 to 1.42, its biggest move since February 2026. The MOVE/VIX ratio went from 3.47 to 5.12.
- Stress gauges & regimeNo fresh reading in this group. The OFR stress index (vol leg) went from 0.24 to 0.02.
Equities moved on several fronts. Momentum factor eased to -8.4% on the month (from -17.7%), 6.0 times its normal pace. The equity vol premium moved from +433.9% to -109.7%.
- Factor returnsMomentum factor eased to -8.4% on the month (from -17.7%), 6.0 times its normal pace. Quality factor moved from +2.9% to +1.1%.
- Equity volatilityThe equity vol premium moved from +433.9% to -109.7%, its biggest move since May 2025. S&P realized vol moved from +19.0% to +21.1%.
- Sector rotationSector rotation velocity went from 10.16 to 6.07, 5.1 times its normal pace. Sector dispersion went from 0.09 to 0.06.
- Forward earningsForward EPS went from 292 to 301, 3.3 times its normal pace. Forward EPS revisions went from -0.05 to -0.02.
- Index performanceNikkei 1-month return eased to -10.3% on the month (from -12.7%). S&P daily return moved from -4.4% to -0.3%.
- Market breadthRSP vs S&P, 200-day went from 0.03 to 0.02. Equal-weight vs cap-weight S&P went from 0.30 to 0.29.
- ValuationsShiller CAPE held at 40.24 at the latest reading. Equity risk premium went from 18.98 to 17.26.
- Financial conditions & risk appetiteNo fresh reading in this group. Credit-vol co-movement went from +0.55 to +0.60.
A busy day in FX. Sterling-dollar realized vol moved from +4.2% to +6.2%, its biggest move since January 2026. Aussie-S&P co-movement went from -0.21 to -0.29.
- FX volatilitySterling-dollar realized vol moved from +4.2% to +6.2%, its biggest move since January 2026. Aussie-dollar realized vol moved from +6.2% to +8.5%.
- DollarAussie-S&P co-movement went from -0.21 to -0.29, 3.0 times its normal pace. The dollar sits at +0.1%.
- Emerging marketsUSD/BRL extended to +11.8% on the month (from +9.6%), 5.9 times its normal pace. USD/INR moved from -1.9% to -1.3%.
- Major pairsAUD/USD swung from +0.3% to -2.4% on the month, its biggest move since October 13. USD/CAD moved from -1.7% to +0.3%.
- CarryNZD/USD swung from +0.0% to -1.1% on the month, its biggest move since October 19.
A busy day in rates. The MOVE/VIX ratio went from 3.47 to 5.12, 5.0 times its normal pace.
- Rates volatilityThe MOVE/VIX ratio went from 3.47 to 5.12, 5.0 times its normal pace. MOVE moved from 98 to 94.
- Flows & positioningETF flows went from 1.78 to 2.50, 4.0 times its normal pace. LQD ETF flows went from 0.76 to 1.19.
- Term premium & durationThe 1-3y Treasury ETF realized vol moved from +1.9% to +2.3%, 3.9 times its normal pace. 10-year term premium (zero-coupon) moved from -16.8% to -21.3%.
- 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 -33.0% to -34.0%.
- Curve slopeNo fresh reading in this group. The 10s-3mo curve moved from -35.0% to -31.0%.
- Real yieldsNo fresh reading in this group. 10-year real yield moved from -26.0% to -21.0%.
- Inflation expectationsNo fresh reading in this group. 10-year breakevens moved from 2.3% to 2.2%.
- Policy pathNo fresh reading in this group.
Commodities was quiet. Nothing moved beyond its normal range. The nearest mover was wheat, from -12.7% to -11.5%.
- AgricultureWheat eased to -11.5% on the month (from -12.7%), 2.5 times its normal pace. Wheat realized vol moved from +13.8% to +14.7%.
- Broad commoditiesThe broad commodity ETF deepened to -7.8% on the month (from -3.2%), 2.5 times its normal pace. The broad commodity ETF realized vol moved from +20.1% to +19.5%.
- Commodity volatilityOil vol moved from 60 to 50, its biggest move since October 26.
- EnergyNat gas moved from $2.9 to $3.3. Oil realized vol sits at +53.4%.
- MetalsGold moved from $4,114 to $3,889, its biggest move since September 1. Gold realized vol moved from +22.8% to +24.8%.
- Roll yield & carryCopper futures roll drag went from -0.9pt to +0.3pt. Natgas futures roll drag went from -8.0pt to -11.0pt.
- ETF flowsCrude (USO) swung from +3.0% to -7.3% on the month.
A calm day in credit. Every group stayed inside its usual pace.
- Default cycle & lendingCorporate charge-off rate held at 0.58% at the latest reading.
- Spread complexLQD ETF flows went from 0.76 to 1.19. Credit curve slope sits at 11%.
- Total returnsNo fresh reading in this group.
Crypto stayed in range all session. The nearest mover was Bitcoin-dollar co-movement, from -0.29 to -0.18.
- Cross-asset linkageBitcoin-dollar co-movement went from -0.29 to -0.18, its biggest move since September 21. Bitcoin-S&P co-movement went from +0.53 to +0.51.
- Market structureStablecoin supply growth deepened to -4.1% on the month (from -3.3%), its biggest move since February 2025. Stablecoin supply went from 293 to 289.
- PerformanceEthereum moved from $2,234 to $2,004. Bitcoin moved from $75,942 to $71,548.
- Crypto volatilityBitcoin-ETF realized vol moved from +33.9% to +35.8%. Ethereum realized vol moved from +46.1% to +46.4%.
- Network activityNo fresh reading in this group. Bitcoin transaction count went from 619,285 to 565,571.
No news in macro.
- Fiscal positionDebt-to-GDP held at 121% at the latest reading. That is its lowest 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.
- InflationHeadline CPI held at 337 at the latest reading. That is its highest level in about six months.
- Liquidity & financial conditionsThe dollar held at +0.1% at the latest reading.
- GrowthReal GDP held at $24.61tn at the latest reading. It still sits near multi-year highs.
- Labor marketPayrolls held at 159.3m at the latest reading. That is its highest level in about six months.