Prime Spreads Report, Preview edition, readings through Wednesday 7 October 2026
Myriad Labs Market Research · Weekly
Prime Spreads Report
Preview edition, readings through Wednesday 7 October 2026 Readings through Wednesday, October 7, 2026 Published Sunday evening, New York time, from the week’s closes and Friday’s CFTC release
This week
The curve steepened from both ends this week. The 2-year yield fell 11 basis points to 4.77% while the 30-year rose 3 to 5.67%, so 2s10s widened to 0.51 pp and 10s30s to 0.39 pp, in a week in which leveraged funds sold 10-year futures and bought the bond. In equities the concentration readings all sit at or near their year highs: the cap-weighted S&P 500 against the equal-weighted index and the US against developed markets both printed year highs on Wednesday, the seven largest technology companies gained 2.7% against 1.2% for the average member, and small caps against large caps sit in the bottom tenth of their year. Gold fell 1.3% with the real yield a basis point lower, which moved every ratio that has gold in it from the gold side. At the weak end of credit, CCC bonds widened half a point against Treasuries while the broad high-yield index tightened, the widest gap between the two of the past year.
Curve2s10s +0.10 pp to 0.51 pp, driven by the 2-year falling. 10s30s +0.04 pp to 0.39 pp, driven by the 30-year rising. The 10-year itself moved one basis point. Both ends of the curve moved away from the middle.
ConcentrationSPY against RSP at 1.050 and SPY against EFA at 1.064 are both the highest readings of the past year. Mega-cap seven against the equal-weighted index is in the top tenth of its year after a 1.5% week.
Small capsIWM against SPY fell 1.9% to 0.979, in the bottom tenth of its year. The Russell 2000 was flat on the week while the S&P 500 rose 1.9%.
GoldGold −1.3% with the 10-year real yield a basis point lower at 2.92%. Copper against gold reached the 99th percentile of its year because the gold leg fell, not because copper rose. Miners fell twice as far as the metal.
FundingSOFR 3.88% against 3.90% paid on reserves: −2 bps, after printing level with the reserve rate a week earlier and −15 bps at its May low. Secured overnight lending is no longer trading well below the rate banks earn at the central bank, as it did through the spring.
CreditHigh yield minus investment grade narrowed 1 bp to 2.27 pp with both legs tightening, and HYG against LQD sits at a year high. CCC minus high yield widened 0.53 pp to 9.20 pp, the widest of the past year: the weakest tier repriced while the rest of high yield was bought.
Where the yield curve and the plumbing beneath it sit against their own year.
2s10s curve
The 2-year follows the path the market expects for the policy rate. The 10-year adds growth, inflation and the premium investors demand to hold duration. The spread moves when those two sets of expectations part.
2s10s curve, percentage pointsOct 6 to Oct 7
This week
0.51 pp
Oct 7
Week change
+0.10 pp
from 0.41 pp
Year low
0.20 pp
Sep 21
Year high
0.74 pp
Jan 30
Sits in the middle of its year: higher than 50% of its readings over the window.
Leg
Last
Week
As of
10-year yield
5.28
−0.01
Oct 7
2-year yield
4.77
−0.11
Oct 7
Positioning CFTC week to Oct 6: ZN: leveraged funds −103k, asset managers +52k contracts net, open interest +1.2%.
This week Widened 0.10 pp to 0.51 pp. The 2-year fell from 4.88% to 4.77% while the 10-year slipped one basis point to 5.28%, so this was a steepening from the front end: the policy-expectations leg moved and the duration leg did not. The spread sits in the middle of its year, between a low of 0.20 pp on 21 September and a high of 0.74 pp in January. In the CFTC week to 6 October, leveraged funds sold about 103,000 contracts of 10-year futures net while asset managers added about 52,000.
10s30s curve
The long bond prices Treasury supply against demand for duration from pensions and insurers. When issuance runs ahead of that demand, the 30-year cheapens against the 10-year.
10s30s curve, percentage pointsOct 6 to Oct 7
This week
0.39 pp
Oct 7
Week change
+0.04 pp
from 0.35 pp
Year low
0.29 pp
Sep 23
Year high
0.68 pp
Jan 6
Sits in the bottom tenth of its year: higher than 8% of its readings over the window.
Leg
Last
Week
As of
30-year yield
5.67
+0.03
Oct 7
10-year yield
5.28
−0.01
Oct 7
Positioning CFTC week to Oct 6: ZB: leveraged funds +62k, asset managers −31k contracts net, open interest +1.0%; ZN: leveraged funds −103k, asset managers +52k contracts net, open interest +1.2%.
This week Widened 0.04 pp to 0.39 pp, the 30-year rising from 5.64% to 5.67% against a flat 10-year. This is the supply side of the mechanism: the longest maturity cheapened on its own. The spread remains in the bottom tenth of its year, which ran from 0.29 pp on 23 September to 0.68 pp in January, so the long end is still flatter against the 10-year than for most of the past year. In the CFTC week to 6 October, leveraged funds added about 62,000 contracts of net length in the bond future while asset managers cut about 31,000.
10-year breakeven inflation
A nominal Treasury pays in dollars. An inflation-protected one pays in purchasing power. The gap between their yields is the inflation the market is paid to expect, and it moves on inflation prints, oil and confidence in policy.
10-year breakeven inflation, percentOct 6 to Oct 7
This week
2.36%
Oct 7
Week change
+0.00 pp
from 2.36%
Year low
2.18%
Jun 24
Year high
2.50%
May 4
Sits in the upper quarter of its year: higher than 82% of its readings over the window.
Leg
Last
Week
As of
10-year breakeven
2.36
+0.00
Oct 7
10-year real yield
2.92
−0.01
Oct 7
This week Unchanged at 2.36%, with the real yield a basis point lower at 2.92%. The 10-year nominal yield of 5.28% is therefore 2.92 points of real return and 2.36 points of expected inflation, and neither part moved much this week. The breakeven sits in the upper quarter of a narrow year, between 2.18% in June and 2.50% in May. Inflation expectations were not the source of this week’s curve move.
2-year vs policy rate
The 2-year yield is roughly the average policy rate the market expects over the next two years. Its gap to the current rate is the path that is priced: cuts when negative, hikes when positive.
2-year vs policy rate, percentage pointsOct 6 to Oct 7
This week
0.89 pp
Oct 7
Week change
−0.11 pp
from 1.00 pp
Year low
-0.70 pp
Oct 16
Year high
1.11 pp
Sep 16
Sits in the top tenth of its year: higher than 94% of its readings over the window.
Leg
Last
Week
As of
2-year yield
4.77
−0.11
Oct 7
Effective fed funds
3.88
+0.00
Oct 7
This week Narrowed 0.11 pp to 0.89 pp as the 2-year fell and the effective funds rate held at 3.88%. The 2-year still yields 89 basis points more than the policy rate, which means the market is paid for a higher average policy rate over the next two years than the one in force now. A year ago the same spread was −0.70 pp, with cuts priced. The reading is in the top tenth of its year, down from the 1.11 pp high on 16 September.
Mortgage rate vs 10-year
Mortgages are priced off the 10-year plus a spread for prepayment risk, lender margin and the demand for mortgage bonds. The spread widens when rate volatility rises or when the usual buyers of mortgage bonds step back.
Mortgage rate vs 10-year, percentage pointsJun 12 to Oct 1
This week
2.04 pp
Oct 1
Week change
+0.19 pp
from 1.85 pp
Year low
1.81 pp
Sep 10
Year high
2.51 pp
Jun 26
Sits in the middle of its year: higher than 52% of its readings over the window.
Leg
Last
Week
As of
30-year mortgage rate weekly
7.28
+0.25
Oct 1
10-year yield
5.28
−0.01
Oct 7
This week The weekly survey rate rose to 7.28% in the week to 1 October from 7.03%, while the 10-year rose about 6 basis points over the same days, so the spread widened to 2.04 pp from 1.85 pp. That is a week in which mortgage pricing moved by more than the Treasury yield it is built on, which the mechanism attributes to rate volatility and the appetite of mortgage-bond buyers rather than to the level of yields. The spread sits mid-range for the year, between 1.81 pp in September and 2.51 pp in June 2025.
SOFR vs interest on reserves
Banks can earn the reserve rate risk-free at the central bank, so overnight secured lending normally trades below it. When reserves are scarce or Treasury collateral is abundant, repo rates are bid above the reserve rate and the spread turns positive.
SOFR vs interest on reserves, basis pointsOct 3 to Oct 7
This week
-2 bps
Oct 7
Week change
−2 bps
from 0 bps
Year low
-15 bps
May 20
Year high
32 bps
Oct 31
Sits in the middle of its year: higher than 35% of its readings over the window.
Leg
Last
Week
As of
SOFR
3.88
−0.02
Oct 7
Interest on reserve balances
3.90
+0.00
Oct 7
This week −2 bps. SOFR printed 3.88% on 7 October against the 3.90% paid on reserve balances, after sitting level with it a week earlier. The year’s range runs from −15 bps on 20 May to +32 bps on 31 October 2025. Since June the spread has printed at zero or a few basis points above it on about two dozen days, so a reading this close to the reserve rate is the current state rather than a new one; the drift from −15 to around zero between May and June is the measurement to carry.
10-year Treasury vs Bund
Two central banks on two paths produce two long-term yields. The gap between them pulls capital toward the higher yield and is the main driver of the euro-dollar exchange rate over months.
10-year Treasury vs Bund, percentage pointsOct 6 to Oct 7
This week
2.10 pp
Oct 7
Week change
−0.01 pp
from 2.11 pp
Year low
1.14 pp
Mar 2
Year high
2.13 pp
Oct 5
Sits in the top tenth of its year: higher than 99% of its readings over the window.
Leg
Last
Week
As of
10-year Treasury yield
5.28
−0.01
Oct 7
10-year Bund yield, monthly average monthly
3.18
+0.11
Aug 1
This week 2.10 pp, a basis point narrower, in the top percentile of its year and just below the 2.13 pp high of 5 October. The German leg is the August monthly average, 3.18%, up from 3.07% in July; the US leg is the daily 10-year at 5.28%. The gap has widened from 1.14 pp in March almost entirely on the US leg, which is the rate differential the dollar has been carrying against the euro. The September German average will replace the August figure when it is published.
Cash-futures basis positioning
Leveraged funds short Treasury futures against cash bonds they own, financed in repo, to earn the small gap between the two. The trade grows when that gap is wide and unwinds fast when repo funding tightens or margins rise, because it is financed many times over.
Cash-futures basis positioning, share of open interest, %Sep 22 to Oct 6
History from Sep 22; this reading has been stored for 3 weeks. The year range fills in as weeks accumulate.
This week
26.6%
Oct 6
Week change
−0.4 pp
from 27.0%
Year low
26.6%
Oct 6
Year high
27.0%
Sep 29
Leg
Last
Week
As of
Basis-trade share of Treasury futures open interest weekly
26.60
−0.39
Oct 6
This week 26.6% of Treasury futures open interest, in 10-year equivalents, is estimated to be leveraged-fund net shorts against cash bonds as of the CFTC week to 6 October, down from 27.0% the week before. This reading has been stored for three weeks, so it has no year range yet. The weights that convert each contract to 10-year equivalents are modelled, not taken from exchange figures, and are labelled as such in the source.
Credit
What the bond market charges for default risk, and whether equities agree.
High yield vs investment grade
Investment-grade spreads price liquidity and rate volatility. High-yield spreads price default. The gap between them widens when lenders start charging the weakest borrowers for the risk of not being paid back, which is how a credit cycle turns before the economy shows it.
High yield vs investment grade, percentage pointsOct 23 to Oct 7
This week
2.27 pp
Oct 7
Week change
−0.01 pp
from 2.28 pp
Year low
1.81 pp
Aug 28
Year high
2.53 pp
Mar 30
Sits in the upper quarter of its year: higher than 88% of its readings over the window.
Leg
Last
Week
As of
High-yield option-adjusted spread
3.09
−0.03
Oct 7
Investment-grade option-adjusted spread
0.82
−0.02
Oct 7
This week Narrowed 0.01 pp to 2.27 pp. The high-yield spread fell from 3.12% to 3.09% and investment grade from 0.84% to 0.82%, so both legs tightened a little and the gap barely moved. It is in the upper quarter of its year, between 1.81 pp on 28 August and 2.53 pp on 30 March. Read with the CCC spread below: the broad high-yield market tightened in a week when its weakest tier widened.
CCC vs high yield
CCC-rated companies carry the most floating-rate debt and the nearest refinancing dates, so their spread reprices first when lenders grow less willing to roll the weakest balance sheets. Collateralised loan obligations can hold only a limited share of CCC-rated loans, commonly about 7.5 per cent, so downgrades into CCC force sales into the same market. The gap measures what the weakest borrowers pay over the rest of high yield.
CCC vs high yield, percentage pointsOct 23 to Oct 7
This week
9.20 pp
Oct 7
Week change
+0.53 pp
from 8.67 pp
Year low
5.46 pp
Oct 29
Year high
9.20 pp
Oct 7
Sits in the top tenth of its year: higher than 100% of its readings over the window.
Leg
Last
Week
As of
CCC and lower option-adjusted spread
12.29
+0.50
Oct 7
High-yield option-adjusted spread
3.09
−0.03
Oct 7
This week 9.20 pp: CCC-and-lower bonds pay 12.29% over Treasuries against 3.09% for the whole high-yield index, and the gap is the widest reading of the past year, up from 8.67 pp a week earlier. The move came entirely from the CCC leg, which widened half a point while the broad index tightened three basis points. That is the first state the mechanism describes: default risk being repriced at the weak end on its own, not a market-wide event. This spread was added to the report on 12 October; the week-earlier figure is the reading the series carried on 30 September.
Credit spreads vs equity volatility
Credit and equity volatility price the same balance sheets from two sides: a bondholder’s loss is a shareholder’s wipe-out. They normally move together. When one moves and the other does not, one market is carrying information the other has not absorbed, and the gap closes.
Credit spreads vs equity volatility, correlationOct 16 to Oct 7
This week
0.36
Oct 7
Week change
+0.09
from 0.27
Year low
-0.11
Jul 14
Year high
0.89
Feb 17
Sits in the middle of its year: higher than 27% of its readings over the window.
Leg
Last
Week
As of
High-yield option-adjusted spread
3.09
−0.03
Oct 7
VIX
15.08
−1.26
Oct 7
This week The 20-session correlation between daily changes in the high-yield spread and the VIX rose to 0.36 from 0.27. Both legs eased over the week, the VIX from 16.3 to 15.1 and the spread from 3.12% to 3.09%, but over the past month they have not moved together day to day. The correlation sits in the lower quarter of its year, far from the 0.89 of February when the two markets repriced in step. For now, credit and equity volatility are moving on different days.
HYG vs LQD
Investment-grade bonds carry more duration, so they rally when yields fall. High-yield bonds carry more credit risk, so they rally when the economy holds. The ratio rises when credit risk is rewarded over rate risk and falls when the reverse is paid.
HYG vs LQD, ratio, start of window = 1Oct 7 to Oct 7
This week
1.043
Oct 7
Week change
+0.0%
from 1.042
Year low
0.988
Oct 22
Year high
1.044
Sep 28
Sits in the top tenth of its year: higher than 99% of its readings over the window.
Leg
Last
Week
As of
High-yield bond ETF
77.18
−0.0%
Oct 7
Investment-grade bond ETF
102.10
−0.1%
Oct 7
This week 1.043, flat on the week and within a tenth of a percent of its year high of 28 September. HYG slipped 0.0% and LQD 0.1%. The ratio has risen from 0.988 in October 2025, which is a year in which investors were paid for credit risk over duration risk and which the rise in the 10-year yield over the same period explains from the LQD side. The spread reading above says the same thing from the index side.
Equity structure
Which parts of the stock market are carrying it, and which are being left behind.
Cap-weighted vs equal-weighted S&P 500
The cap-weighted index is driven by its largest companies. The equal-weighted index is driven by the average company. The ratio rises when gains concentrate in a few names and falls when they broaden out, so it measures how narrow the market is.
Cap-weighted vs equal-weighted S&P 500, ratio, start of window = 1Oct 7 to Oct 7
This week
1.050
Oct 7
Week change
+0.7%
from 1.043
Year low
0.952
Feb 27
Year high
1.050
Oct 7
Sits in the top tenth of its year: higher than 100% of its readings over the window.
Leg
Last
Week
As of
S&P 500, cap-weighted
777.22
+1.9%
Oct 7
S&P 500, equal-weighted
210.60
+1.2%
Oct 7
Positioning CFTC week to Oct 6: ES: leveraged funds −43k, asset managers +3k contracts net, open interest +1.9%.
This week 1.050 on Wednesday, the highest reading of the past year, up 0.7% on the week. SPY rose 1.9% against 1.2% for the equal-weighted index, so the average member participated but the largest members participated more. The ratio has risen from 0.952 at the end of February, with setbacks along the way. In S&P futures, asset managers cut about 30,000 contracts of net length in the latest CFTC week while leveraged funds were little changed.
Mega-cap seven vs equal-weighted S&P 500
Seven companies account for roughly a third of the S&P 500 and most of its earnings growth. Passive flows buy them in proportion to their weight, so money entering the index lifts them more than the rest. The ratio shows whether that concentration is still building or unwinding.
Mega-cap seven vs equal-weighted S&P 500, ratio, start of window = 1Oct 7 to Oct 7
This week
1.046
Oct 7
Week change
+1.5%
from 1.030
Year low
0.880
Jun 25
Year high
1.080
Oct 29
Sits in the top tenth of its year: higher than 95% of its readings over the window.
Leg
Last
Week
As of
Seven largest technology companies, equal-weighted
1.144
+2.8%
Oct 7
S&P 500, equal-weighted
210.60
+1.2%
Oct 7
Positioning CFTC week to Oct 6: NQ: leveraged funds +6k, asset managers +4k contracts net, open interest +4.8%.
This week 1.044, up 1.5% on the week and in the top tenth of its year. The equal-weighted basket of the seven largest technology companies rose 2.7% against 1.2% for the equal-weighted S&P 500. The ratio fell to 0.88 on 25 June and has recovered most of the way to its 1.08 high of October 2025 since. Open interest in Nasdaq futures fell 5.5% in the latest CFTC week with little change in the net positions of either leveraged funds or asset managers.
Small caps vs large caps
Small companies borrow more, borrow shorter and borrow at floating rates, and earn more of their revenue at home. They are the first to feel higher rates and a slower domestic economy, and the first to be bought when both ease.
Small caps vs large caps, ratio, start of window = 1Oct 7 to Oct 7
This week
0.979
Oct 7
Week change
−1.9%
from 0.999
Year low
0.958
Nov 17
Year high
1.127
Jun 26
Sits in the bottom tenth of its year: higher than 4% of its readings over the window.
Leg
Last
Week
As of
Russell 2000
277.70
−0.1%
Oct 7
S&P 500
777.22
+1.9%
Oct 7
Positioning CFTC week to Oct 6: ES: leveraged funds −43k, asset managers +3k contracts net, open interest +1.9%.
This week 0.979, down 1.9% on the week and in the bottom tenth of its year. The Russell 2000 was flat at 277.70 while the S&P 500 gained 1.9%. The mechanism names financing costs and the domestic economy as the two channels: the 2-year fell 10 basis points this week, which is the financing channel easing, and small caps did not respond to it. The ratio's year high of 1.127 was on 26 June; it has fallen 13% since.
Growth vs value
Growth stocks earn most of their cash far in the future, so their value falls more when the rate used to discount it rises. Value stocks earn now and are weighted to banks, energy and industry, which gain from higher rates and a stronger cycle. The ratio moves with real yields and with where investors think growth is scarce.
Growth vs value, ratio, start of window = 1Oct 7 to Oct 7
This week
0.893
Oct 7
Week change
+1.6%
from 0.879
Year low
0.795
Jul 29
Year high
1.045
Oct 29
Sits in the middle of its year: higher than 51% of its readings over the window.
Leg
Last
Week
As of
Russell 1000 Growth
128.76
+2.8%
Oct 7
Russell 1000 Value
250.78
+1.1%
Oct 7
This week 0.893, up 1.6% on the week, in the middle of its year. Growth rose 2.8% and value 1.1% in a week when real yields were unchanged, so this move did not come through the discount-rate channel. It came from the same names that moved the concentration readings above. The ratio has recovered from 0.795 at the end of July but remains well below the 1.045 of October 2025.
High beta vs quality
High-beta stocks are the ones most leveraged to the market and most owned by investors who are themselves leveraged. Quality stocks have the steadiest earnings and the strongest balance sheets. Investors buy high beta when they want more exposure and sell it first when they are forced to reduce.
High beta vs quality, ratio, start of window = 1Oct 7 to Oct 7
This week
1.207
Oct 7
Week change
+1.3%
from 1.191
Year low
0.969
Nov 20
Year high
1.275
Jun 22
Sits in the top tenth of its year: higher than 91% of its readings over the window.
Leg
Last
Week
As of
S&P 500 high beta
155.25
+3.0%
Oct 7
Quality factor
225.90
+1.6%
Oct 7
This week 1.207, up 1.3% on the week, in the top tenth of its year. The high-beta basket rose 3.0% and quality 1.6%. Investors added exposure to the most market-sensitive stocks over the steadiest, reversing a small decline the week before. The ratio peaked at 1.275 on 22 June and fell as far as 0.969 in November 2025, so the current reading is close to the top of what the past year has shown.
Fragile vs robust
Positions held with leverage are fragile: a loss forces a sale, which deepens the loss. Minimum-volatility stocks are held by investors who do not have to sell. When fragile names run ahead of robust ones, more of the market’s gains are sitting in hands that can be forced out.
Fragile vs robust, ratio, start of window = 1Oct 7 to Oct 7
This week
1.333
Oct 7
Week change
+0.9%
from 1.321
Year low
0.964
Nov 20
Year high
1.420
Jun 22
Sits in the top tenth of its year: higher than 93% of its readings over the window.
Leg
Last
Week
As of
S&P 500 high beta
155.25
+3.0%
Oct 7
Minimum volatility
99.49
+2.1%
Oct 7
This week 1.333, up 0.9% on the week, in the top tenth of its year. High beta rose 3.0% against 2.1% for minimum volatility. Read with the previous spread: both say that this week's gains went disproportionately to the stocks held by the most leveraged holders, which is what the mechanism measures. It says how much is being carried that way, not when it would be reduced. The year's high was 1.420 on 22 June.
Regional banks vs financials
Regional banks lend to local businesses and commercial property and fund themselves with deposits that can leave. The large financials earn fees, trade and insure. The ratio falls when deposit costs, loan losses or property values turn against the smaller lenders, and it did so months before the 2023 bank failures.
Regional banks vs financials, ratio, start of window = 1Oct 7 to Oct 7
This week
1.083
Oct 7
Week change
−1.4%
from 1.099
Year low
0.949
Oct 16
Year high
1.186
Jun 26
Sits in the middle of its year: higher than 33% of its readings over the window.
Leg
Last
Week
As of
Regional banks
68.89
−0.8%
Oct 7
Financials sector
53.75
+0.7%
Oct 7
This week 1.083, down 1.5% on the week, in the lower-middle of its year. Regional banks fell 0.8% while the financial sector rose 0.7%. The 2s10s curve steepened this week, which would normally widen what banks earn on lending, and regional banks did not benefit from it. The ratio is 9% below its 26 June high of 1.186 and 14% above its October 2025 low.
Semiconductors vs Nasdaq 100
Semiconductors sit at the front of every technology capital-spending cycle and are the most cyclical part of technology. When the ratio rises, the market is paying for the build-out itself. When it falls, the market is rotating from the suppliers of capacity toward the companies that use it.
Semiconductors vs Nasdaq 100, ratio, start of window = 1Oct 7 to Oct 7
This week
1.479
Oct 7
Week change
+0.2%
from 1.476
Year low
0.990
Oct 10
Year high
1.626
Jun 22
Sits in the upper quarter of its year: higher than 88% of its readings over the window.
Leg
Last
Week
As of
Semiconductors
625.03
+2.6%
Oct 7
Nasdaq 100
757.73
+2.4%
Oct 7
Positioning CFTC week to Oct 6: NQ: leveraged funds +6k, asset managers +4k contracts net, open interest +4.8%.
This week 1.479, up 0.2% on the week, in the upper quarter of its year. Semiconductors rose 2.6% and the Nasdaq 100 rose 2.4%, so chip makers kept pace with the index rather than leading it this week. The ratio has fallen from 1.626 on 22 June; that decline, from 63% ahead of the index over the window to 48% ahead, is the market rotating within technology rather than out of it, since the Nasdaq 100 has risen 2.7% over the same period.
Cross-asset
Relationships that run between markets: metals, energy, the dollar, bonds and volatility.
Gold vs real yields
Gold pays nothing, so its cost is the real return given up elsewhere. When real yields rise, gold normally falls. When gold rises with real yields, a buyer who does not care about yield is in the market, which since 2022 has been central banks and investors moving away from dollar reserves.
Gold vs real yields, correlationNov 3 to Oct 7
This week
-0.50
Oct 7
Week change
−0.04
from -0.46
Year low
-0.70
May 20
Year high
0.35
Nov 18
Sits in the lower quarter of its year: higher than 17% of its readings over the window.
Leg
Last
Week
As of
Gold
375.88
−1.3%
Oct 7
10-year real yield
2.92
−0.01
Oct 7
Positioning CFTC week to Oct 6: GC: managed money −10k, producers and merchants +2k contracts net, open interest −2.6%.
This week The 20-session correlation between daily changes in gold and the 10-year real yield fell to −0.50 from −0.46. Gold fell 1.3% over the week to 375.88 while the real yield eased a basis point to 2.92%. A more negative correlation is gold behaving as the mechanism’s default case, an interest-rate asset, after a year in which the reading was positive as recently as November 2025, when gold rose with real yields. In the CFTC week to 6 October, managed money cut about 9,600 contracts of net gold length and open interest fell 2.7%.
Copper vs gold
Copper is bought to build things and gold is bought to hold value. The ratio rises when industrial demand outruns the demand for safety and falls when the reverse holds. It has tracked the 10-year yield for decades because both price the same growth expectations.
Copper vs gold, ratio, start of window = 1Oct 7 to Oct 7
This week
1.239
Oct 7
Week change
+1.4%
from 1.222
Year low
0.868
Feb 23
Year high
1.255
Aug 4
Sits in the top tenth of its year: higher than 99% of its readings over the window.
Leg
Last
Week
As of
Copper
39.81
+0.1%
Oct 7
Gold
375.88
−1.3%
Oct 7
Positioning CFTC week to Oct 6: GC: managed money −10k, producers and merchants +2k contracts net, open interest −2.6%.
This week 1.239, up 1.4% on the week, in the 99th percentile of its year. Copper rose 0.1% and gold fell 1.3%, so the ratio reached this level on the gold leg: the demand-for-safety side fell, the industrial-demand side did not rise. The ratio has risen from 0.868 in February to within 2% of its 4 August high. The 10-year yield rose over the same period, which is the direction the mechanism expects the two to share.
Gold miners vs gold
A miner’s profit is the gold price minus a cost that moves slowly, so miners are a leveraged claim on gold. They outperform when investors believe a gold move will last long enough to reach earnings, and lag when a move is being treated as temporary or as a hedge rather than a position.
Gold miners vs gold, ratio, start of window = 1Oct 7 to Oct 7
This week
1.082
Oct 7
Week change
−1.4%
from 1.097
Year low
0.897
Nov 4
Year high
1.177
Sep 3
Sits in the upper quarter of its year: higher than 80% of its readings over the window.
Leg
Last
Week
As of
Gold miners
85.46
−2.7%
Oct 7
Gold
375.88
−1.3%
Oct 7
Positioning CFTC week to Oct 6: GC: managed money −10k, producers and merchants +2k contracts net, open interest −2.6%.
This week 1.082, down 1.4% on the week, in the upper quarter of its year. Gold miners fell 2.7% against 1.3% for gold, which is the leverage in the mechanism working downward: a 1.3% fall in the metal took about twice that from the miners. The ratio peaked at 1.177 on 3 September and has given back 8% since, while gold itself is 8% lower over the same period.
Oil vs the dollar
Oil is priced in dollars, so a stronger dollar makes it dearer everywhere else and weighs on demand. The two normally move against each other. When both rise together, the market is pricing a supply shock or a US-specific boom. When both fall, it is pricing weak global demand.
Oil vs the dollar, ratio, start of window = 1Oct 7 to Oct 7
This week
1.881
Oct 7
Week change
−2.1%
from 1.921
Year low
0.900
Dec 16
Year high
2.177
Sep 15
Sits in the upper quarter of its year: higher than 83% of its readings over the window.
Leg
Last
Week
As of
Crude oil
143.91
−1.2%
Oct 7
US dollar index
29.04
+0.9%
Oct 7
Positioning CFTC week to Oct 6: CL: managed money −1k, producers and merchants +12k contracts net, open interest +1.9%; DXY: leveraged funds +1k, asset managers +1k contracts net, open interest +5.7%.
This week 1.881, down 2.1% on the week, in the upper quarter of its year. The oil fund fell 1.2% and the dollar fund rose 0.9%: the two legs moved in the directions the mechanism treats as the ordinary inverse relationship, so this week carried no supply-shock or demand-collapse signature. The ratio is 14% below its 15 September high. In dollar-index futures, leveraged funds added about 4,900 contracts net in the latest CFTC week and open interest rose 4.4%.
US vs developed markets
Capital flows to where returns on capital are highest and the currency is expected to hold. The US has drawn that capital for fifteen years on earnings growth and the dollar. The ratio falls when either weakens, or when the gap in valuations gets wide enough that investors accept lower growth for a lower price.
US vs developed markets, ratio, start of window = 1Oct 7 to Oct 7
This week
1.064
Oct 7
Week change
+2.7%
from 1.036
Year low
0.919
Feb 27
Year high
1.064
Oct 7
Sits in the top tenth of its year: higher than 100% of its readings over the window.
Leg
Last
Week
As of
S&P 500
777.22
+1.9%
Oct 7
Developed markets outside North America
103.10
−0.8%
Oct 7
Positioning CFTC week to Oct 6: DXY: leveraged funds +1k, asset managers +1k contracts net, open interest +5.7%.
This week 1.064 on Wednesday, the highest reading of the past year, up 2.7% on the week. The S&P 500 rose 1.9% while the developed-markets fund fell 0.8% in dollars, and the dollar itself rose 0.9%, which accounts for about a third of the gap. The ratio has risen from 0.919 at the end of February. The Treasury-Bund spread above, also at a year high, is the rate differential behind the currency part of this move.
US vs emerging markets
Emerging markets borrow in dollars and sell commodities for them. A strong dollar tightens their financing and a weak one eases it, so the ratio moves with the dollar and with US real yields more than with anything happening in those countries.
US vs emerging markets, ratio, start of window = 1Oct 7 to Oct 7
This week
0.932
Oct 7
Week change
+1.0%
from 0.923
Year low
0.845
Jun 22
Year high
1.035
Dec 16
Sits in the middle of its year: higher than 53% of its readings over the window.
Leg
Last
Week
As of
S&P 500
777.22
+1.9%
Oct 7
Emerging markets
67.37
+0.9%
Oct 7
Positioning CFTC week to Oct 6: DXY: leveraged funds +1k, asset managers +1k contracts net, open interest +5.7%.
This week 0.932, up 1.0% on the week, in the middle of its year. The S&P 500 rose 1.9% and emerging markets rose 0.9% in dollars despite the dollar gaining 0.9%, so emerging markets held up better against the US than developed markets did this week. The ratio is 10% below its December 2025 high of 1.035 and 10% above its June low.
Stock-bond correlation
When growth is the worry, bonds rally as stocks fall and a portfolio of both is protected. When inflation is the worry, both fall together and the protection vanishes. The sign of this correlation decides whether Treasuries are a hedge or a second source of the same loss.
Stock-bond correlation, correlationNov 3 to Oct 7
This week
0.68
Oct 7
Week change
+0.01
from 0.67
Year low
-0.53
Feb 27
Year high
0.87
May 29
Sits in the upper quarter of its year: higher than 88% of its readings over the window.
Leg
Last
Week
As of
S&P 500
777.22
+1.9%
Oct 7
Long Treasuries
77.14
−0.8%
Oct 7
Positioning CFTC week to Oct 6: ES: leveraged funds −43k, asset managers +3k contracts net, open interest +1.9%; ZB: leveraged funds +62k, asset managers −31k contracts net, open interest +1.0%.
This week 0.68, up 0.01, in the upper quarter of its year. Over the past 20 sessions SPY and TLT have moved in the same direction most days, which is the inflation-and-rates state of the mechanism: bonds have not been hedging stocks. This week itself ran the other way, SPY +1.9% and TLT −0.8%, but one week does not move a 20-session reading far. The correlation was −0.53 at the end of February, when the growth-worry state held, and has been positive since mid-March apart from a single day in July.
Implied vs realised volatility
The VIX is what buyers pay for a month of protection. Realised volatility is what the market then delivers. The gap is the premium charged for insurance. It is normally positive, it narrows when sellers of options grow confident, and it turns negative only when the market moves more than anyone had paid for.
Implied vs realised volatility, volatility pointsNov 3 to Oct 7
This week
4.8 pts
Oct 7
Week change
−0.8 pts
from 5.5 pts
Year low
-2.6 pts
Jul 6
Year high
16.2 pts
Mar 6
Sits in the middle of its year: higher than 39% of its readings over the window.
Leg
Last
Week
As of
VIX, implied 30-day volatility
15.08
−1.26
Oct 7
S&P 500, realised 20-session volatility
10.33
−4.4%
Oct 7
Positioning CFTC week to Oct 6: ES: leveraged funds −43k, asset managers +3k contracts net, open interest +1.9%.
This week 4.8 points: the VIX at 15.1 against realised S&P 500 volatility of 10.3 over the past 20 sessions, down from a 5.5-point gap a week earlier as the VIX fell more than a point and realised fell half a point. Protection is priced above what the market has delivered, which is the normal state, and the gap sits in the lower-middle of its year. The range ran from −2.6 points on 6 July, when the market moved more than had been paid for, to 16.2 points on 6 March.
Implied vs realised correlation
Index options price how much stocks are expected to move together; single-stock options price each on its own. Comparing the two gives the correlation the market is paying for. When implied correlation sits far below realised, index hedges are cheap relative to the risk, and a sell-off that makes stocks move together reprices them all at once.
Implied vs realised correlation, correlationOct 7 to Oct 7
History from Oct 7; this reading has been stored for 1 week. The year range fills in as weeks accumulate.
This week
0.15
Oct 7
Week change
no prior week
Year low
0.15
Oct 7
Year high
0.15
Oct 7
Leg
Last
Week
As of
S&P 500 implied correlation, one-factor, from index and constituent options weekly
0.15
Oct 7
Realised correlation, past month
0.15
Oct 7
This week Implied correlation among S&P 500 constituents measured 0.15 on 7 October against realised correlation of 0.16 over the past month. The options market is pricing stocks to move on their own stories about as much as they recently have, so index protection is neither cheap nor dear against single-stock protection by this measure. This is the first week the reading is stored; the year range fills in from here.
This was one week. There is a new edition every Sunday.
The Prime Spreads Report is published every Sunday evening: where each relationship sits against its own year, which leg moved, and the mechanism that explains it. It is sold on its own or with the morning brief in Prime All Access, and the first editions are open to every Prime Market Brief subscriber.