Cross-asset brief

2026-10-02 · sources ok

cross-check: WTI front-month 7.05%

Levels

Equities

S&P 500 7,722.72 +56.27 (+0.73%) 1d +56.12 (+0.73%) 1m 6,343.72–7,798.99
Nasdaq Composite 27,190.86 +319.26 (+1.19%) 1d +973.03 (+3.71%) 1m 20,794.64–27,244.28
VIX 16.39 +0.05 (+0.3%) 1d +0.05 (+0.3%) 1m 13.47–31.05

Treasury curve

1m 4.06 +4bp 1d +21bp 1m 3.65–4.24
3m 4.17 -3bp 1d +25bp 1m 3.62–4.28
6m 4.27 -6bp 1d +27bp 1m 3.56–4.41
1y 4.44 -10bp 1d +26bp 1m 3.40–4.59
2y 4.78 -10bp 1d +39bp 1m 3.38–4.92
3y 4.91 -9bp 1d +45bp 1m 3.39–5.01
5y 5.01 -8bp 1d +46bp 1m 3.51–5.09
7y 5.12 -7bp 1d +46bp 1m 3.72–5.19
10y 5.24 -5bp 1d +45bp 1m 3.97–5.29
20y 5.64 -4bp 1d +37bp 1m 4.52–5.68
30y 5.61 -3bp 1d +34bp 1m 4.54–5.64
2s10s 46bp +5bp 1d +6bp 1m 20–74bp
3m10y 107bp -2bp 1d +20bp 1m -3 to 109bp

Real and inflation

10y real 2.88 -5bp 1d +44bp 1m 1.68–2.93
10y breakeven 2.36 +0bp 1d +2bp 1m 2.18–2.50

Funding

SOFR 3.87 -3bp 1d +21bp 1m 3.50–4.31
EFFR 3.88 +0bp 1d +25bp 1m 3.62–4.12
IORB 3.90 +0bp 1d +25bp 1m 3.65–4.15
SOFR−IORB -3bp -3bp 1d -4bp 1m -15 to 32bp

Credit

HY OAS 324bp +12bp 1d +59bp 1m 260–346bp
IG OAS 86bp +2bp 1d +5bp 1m 73–94bp
Baa over 10y 149bp +2bp 1d -9bp 1m 139–185bp

FX

EURUSD 1.1257 +0.07% 1d -2.83% 1m 1.1250–1.2018
USDJPY 157.83 -0.06% 1d -0.69% 1m 149.61–163.86
Broad dollar 120.33 -0.22 (-0.18%) 1d +1.88 (+1.59%) 1m 117.44–121.92

Commodities

WTI front-month 91.26 -1.61 (-1.73%) 1d +0.25 (+0.27%) 1m 55.27–112.95
Gold 4,172.10 -30.20 (-0.72%) 1d -242.50 (-5.49%) 1m 3,908.90–5,318.40

What's unusual today

  1. Mean pairwise correlation 0.40 — assets are trading as one macro factor, so diversification is not working today. (94th pct since 2025)
  2. Nasdaq and 10y yields are moving inversely (-0.47) — a rate-driven tape, and bonds are hedging equities. (16th pct since 2025)
  3. Equity vol is 26 percentile points more stressed than credit — the two markets disagree, and one of them is wrong. (22nd pct since 1994)
  4. 10y Treasury note: leveraged funds net short 2,036,432 contracts, 29th percentile of 3 years.
  5. WTI crude: managed money net long 79,592 contracts, 29th percentile of 3 years.

Setup

Positioning-price divergence

-24 pctile pts

Leveraged funds sit 24 percentile points shorter than price alone would suggest — 60th percentile of this relationship's own history.

as of 2026-09-29 · CFTC, YAHOO

why this is here

Where leveraged funds positioning in E-mini S&P 500 futures sits in its three-year range, minus where the index price sits in its three-month range.

Positive means funds are long into weak price — a rally without sponsorship, vulnerable to liquidation if it breaks. Negative means short into strong price, which is how squeezes start. Near zero means positioning and price agree and there is no tension to trade.

Metrics

Nasdaq vs 10y regime

-0.47

16th percentile since 2025

Nasdaq and 10y yields are moving inversely (-0.47) — a rate-driven tape, and bonds are hedging equities.

as of 2026-10-01 · FRED, YAHOO

why this is here

Whether equities and long-term yields have been moving together or in opposite directions over the last 60 trading days.

Negative means bonds are hedging equities: a selloff in stocks is cushioned by a rally in Treasuries. Positive means the two fall together, which is what happens when inflation or policy is the driver — and it is the regime in which a 60/40 portfolio stops working.

Credit vs vol divergence

-26 pctile pts

22nd percentile since 1994

Equity vol is 26 percentile points more stressed than credit — the two markets disagree, and one of them is wrong.

as of 2026-10-01 · FRED

why this is here

Where credit spreads sit in their own five-year range, minus where equity volatility sits in its. Both are stress gauges; this is the gap between what they are saying.

A large positive reading means credit is pricing more stress than the equity market is. The two usually agree, so a wide gap means one is early and the other complacent — the useful question is which, because the gap closes one way or the other.

Cross-asset co-movement

+0.40

94th percentile since 2025

Mean pairwise correlation 0.40 — assets are trading as one macro factor, so diversification is not working today.

as of 2026-09-25 · FRED, YAHOO

why this is here

The average strength of the relationship between every pair in the basket — equities, 10y yields, the dollar, credit, crude and volatility — over 60 days, ignoring direction.

High means one macro factor is driving everything at once, so diversification is not working and sizing matters more than selection. Low means assets are responding to their own stories, which is the environment relative-value needs.

Positioning — E-mini S&P 500 (leveraged funds)

-372,489 contracts

33rd percentile of the last 3 years

E-mini S&P 500: leveraged funds net short 372,489 contracts, 33rd percentile of 3 years.

as of 2026-09-29 · CFTC

why this is here

How large speculative leveraged funds positioning is in E-mini S&P 500 futures, against the last three years of its own history. Published weekly by the CFTC, as of the prior Tuesday.

A crowded position is fuel rather than a signal on its own — it says who would be forced to sell if the move went against them. Extremes matter most when price stops confirming the position.

Positioning — 10y Treasury note (leveraged funds)

-2,036,432 contracts

29th percentile of the last 3 years

10y Treasury note: leveraged funds net short 2,036,432 contracts, 29th percentile of 3 years.

as of 2026-09-29 · CFTC

why this is here

How large speculative leveraged funds positioning is in 10y Treasury note futures, against the last three years of its own history. Published weekly by the CFTC, as of the prior Tuesday.

A crowded position is fuel rather than a signal on its own — it says who would be forced to sell if the move went against them. Extremes matter most when price stops confirming the position.

Positioning — US Dollar Index (leveraged funds)

+361 contracts

59th percentile of the last 3 years

US Dollar Index: leveraged funds net long 361 contracts, 59th percentile of 3 years.

as of 2026-09-29 · CFTC

why this is here

How large speculative leveraged funds positioning is in US Dollar Index futures, against the last three years of its own history. Published weekly by the CFTC, as of the prior Tuesday.

A crowded position is fuel rather than a signal on its own — it says who would be forced to sell if the move went against them. Extremes matter most when price stops confirming the position.

Positioning — Gold (managed money)

+120,318 contracts

38th percentile of the last 3 years

Gold: managed money net long 120,318 contracts, 38th percentile of 3 years.

as of 2026-09-29 · CFTC

why this is here

How large speculative managed money positioning is in Gold futures, against the last three years of its own history. Published weekly by the CFTC, as of the prior Tuesday.

A crowded position is fuel rather than a signal on its own — it says who would be forced to sell if the move went against them. Extremes matter most when price stops confirming the position.

Positioning — WTI crude (managed money)

+79,592 contracts

29th percentile of the last 3 years

WTI crude: managed money net long 79,592 contracts, 29th percentile of 3 years.

as of 2026-09-29 · CFTC

why this is here

How large speculative managed money positioning is in WTI crude futures, against the last three years of its own history. Published weekly by the CFTC, as of the prior Tuesday.

A crowded position is fuel rather than a signal on its own — it says who would be forced to sell if the move went against them. Extremes matter most when price stops confirming the position.