RoboMacro Research
FX Daily
G10 and EM · 28 Jul 2026
New York 08:00 ET · daily closes
spot28 Julrates27 Julpolicy18 MarCOT21 Julforwards01 Maycomposite28 Julfactors7/7 live
The dollar was broadly firmer overnight, gaining against 5 of the 9 developed-market currencies we track (crosses such as EURJPY are excluded from that count). The largest move was in USDSEK, -0.29%, leaving the SEK stronger against the dollar. Realised volatility remains subdued by its own standards: median 20-day realised vol across the majors sits in the bottom quartile of the past year, at the 25th percentile. The next scheduled risk is AUD CPI m/m at Wed 01:30 UTC, with 5 other high-impact releases scheduled.
- EURJPY +0.20%, 0.8σ of its 20D RV — the session's largest risk-adjusted move.
- The Δ2Y differential explains part of the cross-section (R² 0.54, n 8, against the textbook sign, 24 Jul–27 Jul). AUDUSD is the widest residual at 0.28pp.
- 3 books beyond 2σ: EUR -2.83, CAD -2.53, NZD -2.08; EUR extended its short by 0.12σ on the week.
- Jul-2026 (29 Jul) priced 66% hold / 34% hike, implied 3.715%.
The overnight and the dollarlive rates and vol →
VIX +3.41% and Gold -1.27% bracket the session; US 5Y -10bp.
DM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile | FV gap | Resid z | 2Y diff |
|---|---|---|---|---|---|---|---|---|
| EURUSD | 1.1390 | +0.18% | +0.74σ | 3.81 | 14 | -2.5% | -1.22 | -1.55 |
| GBPUSD | 1.3286 | -0.03% | -0.07σ | 6.32 | 47 | +1.2% | +0.57 | +0.05 |
| USDJPY | 163.86 | +0.06% | +0.21σ | 4.21 | 17 | +3.1% | +0.54 | +2.83 |
| USDCHF | 0.8195 | +0.03% | +0.08σ | 5.79 | 18 | +0.1% | -0.64 | +4.20 |
| AUDUSD | 0.6977 | -0.15% | -0.44σ | 5.33 | 8 | +0.7% | +1.07 | +0.35 |
| NZDUSD | 0.5783 | +0.21% | +0.48σ | 6.97 | 25 | -0.1% | +0.18 | -0.61 |
| USDCAD | 1.4107 | -0.12% | -0.56σ | 3.49 | 29 | -0.9% | -1.58 | +1.46 |
| USDNOK | 9.6818 | +0.23% | +0.50σ | 7.18 | 34 | — | — | — |
| USDSEK | 9.6918 | -0.29% | -0.65σ | 7.19 | 27 | — | — | — |
| EURJPY | 186.57 | +0.20% | +0.81σ | 3.99 | 9 | +1.1% | +0.10 | +1.28 |
Overnight headlinesthe live macro news feed →
| UTC | Headline | Touches |
|---|---|---|
| 21:05 | investingLive Americas FX news wrap 28 Jul: Markets Await Fed and Big Tech Results | USD |
| 20:52 | It's a great day already in Australia and New Zealand, what's coming up on the economic calendar | AUD NZD |
| 18:26 | Netanyahu: Confirmed to Trump that additional strikes on rehabilitated Iranian nuclear facilities are unavoidable | |
| 17:15 | Trump-Netanyahu meeting reinforces Iran focus | |
| 17:05 | US treasury sells $44B of 7-year notes at a high yield of 4.473% | USD |
| 15:47 | Middle East mediators see U.S.–Iran deal within reach | |
| 14:19 | Conference Board Consumer Confidence for July 90.8 versus 92.3 estimate | |
| 14:02 | Richmond Fed manufacturing index for July 5 vs 10 estimate | USD |
Policy and rateslive curves and fair value →
+51bp priced between now and 17 Mar.
Developed markets
| Ccy | Policy rate | Set on | Last move | Central bank |
|---|---|---|---|---|
| USD | 3.75% | 11 Dec 25 | -25bp | Federal Reserve |
| EUR | 2.25% | 17 Jun 26 | +25bp | ECB |
| GBP | 3.75% | 18 Dec 25 | -25bp | Bank of England |
| JPY | 1.25% | 17 Jun 26 | +25bp | BoJ |
| CHF | 0.00% | 20 Jun 25 | -25bp | SNB |
| AUD | 4.35% | 06 May 26 | +25bp | RBA |
| NZD | 2.50% | 09 Jul 26 | +25bp | RBNZ |
| CAD | 2.25% | 30 Oct 25 | -25bp | Bank of Canada |
| NOK | 4.25% | 08 May 26 | +25bp | Norges Bank |
| SEK | 1.75% | 01 Oct 25 | -25bp | Riksbank |
Emerging markets
| Ccy | Policy rate | Set on | Last move | Central bank |
|---|---|---|---|---|
| CNY | 3.00% | 20 May 25 | -10bp | PBoC |
| BRL | 14.25% | 18 Jun 26 | -25bp | BCB (Brazil) |
| MXN | 6.50% | 08 May 26 | -25bp | Banxico |
| ZAR | 7.00% | 29 May 26 | +25bp | SARB |
| TRY | 37.00% | 23 Jan 26 | -100bp | CBRT (Turkey) |
| INR | 5.25% | 05 Dec 25 | -25bp | RBI (India) |
| IDR | 5.75% | 18 Jun 26 | +25bp | BI (Indonesia) |
| PLN | 3.75% | 05 Mar 26 | -25bp | NBP (Poland) |
| HUF | 6.00% | 01 Jul 26 | -25bp | NBH (Hungary) |
| CZK | 3.75% | 19 Jun 26 | +25bp | CNB (Czech) |
"Set on" is the date the current rate took effect, not the date we last read the series — several of these have stood unchanged for months. USD is the target-range upper bound.
What the front end is pricing · effective 3.63%
| Meeting | Date | Implied | Cum bp | Hikes | This mtg | Cut | Hold | Hike |
|---|---|---|---|---|---|---|---|---|
| Jul-2026 | 29 Jul | 3.715% | +8bp | 0.32 | +8.5bp | 0% | 66% | 34% |
| Sep-2026 | 16 Sep | 3.890% | +26bp | 1.04 | +17.5bp | 0% | 30% | 70% |
| Oct-2026 | 28 Oct | 3.965% | +34bp | 1.36 | +7.5bp | 0% | 70% | 30% |
| Dec-2026 | 09 Dec | 4.060% | +43bp | 1.72 | +9.5bp | 0% | 62% | 38% |
| Jan-2027 | 27 Jan | 4.090% | +46bp | 1.84 | +3.0bp | 0% | 88% | 12% |
| Mar-2027 | 17 Mar | 4.145% | +51bp | 2.04 | +5.5bp | 0% | 78% | 22% |
3M hedging cost, cheapest first
| Pair | Spot | 3M forward | Points | Cost p.a. | Legs as of |
|---|---|---|---|---|---|
| USDCHF | 0.8195 | 0.8117 | -78.4 | -3.828% | 01 Jun |
| USDJPY | 163.86 | 162.83 | -103.3 | -2.522% | 01 May |
| USDSEK | 9.6918 | 9.6470 | -447.9 | -1.849% | 01 Jun |
| USDCAD | 1.4107 | 1.4053 | -54.1 | -1.535% | 01 Jun |
| AUDUSD | 0.6977 | 0.6966 | -11.0 | -0.633% | 01 Jun |
| GBPUSD* | 1.3286 | 1.3289 | +2.9 | +0.088% | 24 Jul |
| USDNOK | 9.6818 | 9.6998 | +179.8 | +0.743% | 01 Jun |
| NZDUSD | 0.5783 | 0.5799 | +16.4 | +1.132% | 01 Jun |
| EURUSD* | 1.1390 | 1.1436 | +46.3 | +1.626% | 27 Jul |
Volatility, positioning and EMlive vol and positioning →
CFTC as of 21 Jul 2026.
| Ccy | Net spec | z | Δz 1w | Side |
|---|---|---|---|---|
| EUR | -56,671 | -2.83σ | -0.12 | short |
| CAD | -98,377 | -2.53σ | -0.32 | short |
| NZD | -31,086 | -2.08σ | -0.21 | short |
| JPY | -96,185 | -1.55σ | -0.26 | short |
| CHF | -8,897 | -1.47σ | +0.15 | short |
| BRL | 786 | -0.81σ | -0.13 | long |
| ZAR | 2,654 | -0.07σ | -0.00 | long |
| AUD | 24,788 | -0.03σ | -0.08 | long |
| MXN | 54,463 | +0.50σ | +0.04 | long |
| GBP | 33,236 | +0.62σ | +0.42 | long |
EM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile |
|---|---|---|---|---|---|
| USDMXN | 17.4350 | -0.04% | -0.09σ | 6.90 | 49 |
| USDBRL | 5.1230 | +0.80% | +1.34σ | 9.46 | 31 |
| USDZAR | 16.7060 | -0.43% | -0.56σ | 12.30 | 69 |
| USDTRY | 47.38 | +0.06% | — | 0.94 | 8 |
| USDPLN | 3.7971 | -0.06% | -0.17σ | 5.68 | 21 |
| USDINR | 95.85 | +0.08% | +0.20σ | 6.40 | 64 |
| USDIDR | 18,055.00 | +0.01% | +0.02σ | 8.03 | 77 |
| USDCNY | 6.7614 | -0.06% | — | 1.46 | 14 |
| USDHUF | 316.35 | +0.00% | +0.00σ | 8.97 | 36 |
| USDCZK | 21.22 | -0.05% | -0.16σ | 5.22 | 23 |
Directional bias — the quantamental modelthe live directional model →
The model is most constructive on NOK (+2.52) and least on CHF (-1.32), scored across 7 of 7 factors. This is a medium-term directional bias, not a trade recommendation and not a target.
7/7 factors live · minimum 2 for a score · 10-currency universe · 7 currencies scored on a partial factor set
The day ahead
| When | Ccy | Release | Cons. | Prev. | Impact |
|---|---|---|---|---|---|
| Wed 01:30 | AUD | CPI m/m | 0.2% | -0.7% | HIGH |
| Wed 01:30 | AUD | CPI y/y | 4.0% | 4.0% | HIGH |
| Wed 01:30 | AUD | Trimmed Mean CPI m/m | 0.3% | 0.4% | HIGH |
| Wed 18:00 | USD | Federal Funds Rate | 3.75% | 3.75% | HIGH |
| Wed 18:00 | USD | FOMC Statement | — | — | HIGH |
| Wed 18:30 | USD | FOMC Press Conference | — | — | HIGH |
Expected session range from 20-day realised vol, ±1σ
| Pair | Spot | Low | High |
|---|---|---|---|
| EURUSD | 1.1390 | 1.1362 | 1.1417 |
| GBPUSD | 1.3286 | 1.3233 | 1.3339 |
| USDJPY | 163.86 | 163.43 | 164.30 |
| USDCHF | 0.8195 | 0.8165 | 0.8225 |
| AUDUSD | 0.6977 | 0.6953 | 0.7000 |
| NZDUSD | 0.5783 | 0.5757 | 0.5808 |
| USDCAD | 1.4107 | 1.4076 | 1.4138 |
| USDNOK | 9.6818 | 9.6380 | 9.7256 |
| USDSEK | 9.6918 | 9.6479 | 9.7357 |
| EURJPY | 186.57 | 186.10 | 187.04 |
Nothing omitted. Every block in this issue resolved against live data.
Every weekday, New York 08:00
G10 and EM levels, the priced policy path, positioning and the day's scheduled risk. Free.
SubscribeOne-click unsubscribe in every email.