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G10 and EM · 31 Jul 2026

Built 31 Jul 12:05 UTC · daily closes to 31 Jul · day ahead runs from 31 Jul 12:30 UTC

spot close31 Julrates read29 Julpolicy read18 MarCOT report21 Julforwards read01 Maycomposite built31 Julfactors7/7 live

The dollar lost ground to 8 of the 9 developed-market currencies we track (crosses such as EURJPY carry no dollar leg and are excluded). The largest move was in USDJPY, -1.91%, leaving the JPY stronger against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 44th percentile of their past year, and half above. The next scheduled risk is CAD GDP m/m at Fri 12:30 UTC.

USDJPY -1.91%, 3.8σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains little of the cross-section (R² 0.05, n 8, 28 Jul–29 Jul). AUDUSD is the widest Δ-model residual at 0.21pp — a different quantity from the fair-value residual z in the levels table.
3 books beyond 2σ: EUR -2.83, CAD -2.53, NZD -2.08; EUR extended its short by 0.12σ on the week.
Sep-2026 (16 Sep) priced 30% hold / 70% hike, implied 3.805%.

The overnight and the dollarlive rates and vol →

Over the last 24h, S&P 500 fut +1.86% and VIX -15.27% bracket the tape; US 3M -14bp.

Δspot vs Δ2Y differential · 28 Jul–29 Jul — not this session · 28 Jul–29 Jul; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 31 Jul.

Cross-asset returns, rolling 24h · Rolling 24h off hourly bars — not the close-to-close window of the levels table below.

US Treasury yields, rolling 24h

DM levels and risk

Move / σ = session move over the pair's own 20D RV, de-annualised. FV gap and FV residual z are the fair-value model's, on the level of the 2Y differential — not the Δ-model residual named in the bullets above, which is a different quantity and ranks different pairs. Crosses are derived from their USD legs, so the triangle closes.
Pair	Spot	1d %	Move / σ	20D RV	RV %ile	FV gap	FV resid z	2Y diff
EURUSD	1.1488	+0.18%	+0.67σ	4.23	27	-2.4%	-1.17	-1.42
GBPUSD	1.3420	+0.40%	+0.96σ	6.59	54	+0.6%	+0.24	+0.24
USDJPY	160.19	-1.91%	-3.83σ	7.90	63	+1.8%	+0.19	+2.74
USDCHF	0.8101	-0.40%	-1.02σ	6.26	36	-0.0%	-0.73	+4.09
AUDUSD	0.7020	+0.88%	+2.34σ	5.97	23	+1.5%	+1.42	+0.33
NZDUSD	0.5864	+1.05%	+2.16σ	7.74	39	+1.0%	+0.73	-0.59
USDCAD	1.4037	+0.01%	+0.02σ	3.80	44	-0.7%	-1.31	+1.36
USDNOK	9.5205	-0.76%	-1.53σ	7.87	48	—	—	—
USDSEK	9.5648	-0.79%	-1.61σ	7.78	34	—	—	—
EURJPY	184.02	-1.73%	-3.64σ	7.55	83	-1.0%	-0.56	+1.32

Overnight headlinesthe live macro news feed →

25 items scanned; times UTC. Currency tags are the legs each headline names.
UTC	Headline	Touches
11:23	investingLive European markets wrap: Eurozone inflation ticks up in July; USD/JPY intervention again?	USD EUR JPY
10:56	How have interest rate expectations changed after this week's events?
09:11	Italy July preliminary CPI +2.8% vs +2.8% y/y expected	EUR
09:11	Euro area inflation nudges up in July, keeps the pressure on the ECB	EUR
08:03	German unemployment rises by slightly more than anticipated in July	EUR
07:03	French inflation accelerates in July, reaffirming the broader trend in the region	EUR
06:38	What are the main events for today?
06:08	UK annual house price growth slows in July - Nationwide	GBP

Policy and rateslive curves and fair value →

+50bp priced between now and 28 Apr.

Fed funds, implied path

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%

Fed funds futures. Cum bp and hikes are cumulative versus the current effective rate; this-mtg and the three probabilities are per-meeting, conditional on reaching it. * = no traded contract that month; rate carried forward.
Meeting	Date	Implied	Cum bp	Hikes	This mtg	Cut	Hold	Hike
Sep-2026	16 Sep	3.805%	+18bp	0.70	+17.5bp	0%	30%	70%
Oct-2026	28 Oct	3.870%	+24bp	0.96	+6.5bp	0%	74%	26%
Dec-2026	09 Dec	3.980%	+35bp	1.40	+11.0bp	0%	56%	44%
Jan-2027	27 Jan	4.020%	+39bp	1.56	+4.0bp	0%	84%	16%
Mar-2027	17 Mar	4.095%	+46bp	1.86	+7.5bp	0%	70%	30%
Apr-2027	28 Apr	4.125%	+50bp	1.98	+3.0bp	0%	88%	12%

3M hedge, CIP-implied · sorted by forward premium (quote − base), most negative first

CIP-implied from each leg's benchmark and the spot close; excludes the cross-currency basis and is not a dealable quote. Sign convention: the column is (forward / spot - 1) annualised = quote rate - base rate. Positive means the quote currency carries the higher short rate, so a holder of the base hedging into the quote earns it and a holder of the quote hedging into the base pays it. Which of those two readers you are decides whether a row is a cost or a pickup; the number does not change. Only USD, EUR and GBP have daily short-rate benchmarks; the other legs come from a monthly series and carry its lag, shown per row and flagged amber past 45 days. Rows whose oldest leg exceeds 95 days are not shown at all. * = tenor beyond the benchmark it is priced off.
Pair	Spot	3M forward	Points	Fwd prem. p.a.	Legs as of
USDCHF	0.8101	0.8026	-75.2	-3.711%	01 Jun
USDJPY	160.19	159.23	-96.3	-2.404%	01 May
USDSEK*	9.5648	9.5186	-462.0	-1.932%	21 Jul
USDCAD*	1.4037	1.3986	-50.4	-1.437%	20 Jul
AUDUSD	0.7020	0.7007	-13.2	-0.752%	01 Jun
GBPUSD*	1.3420	1.3419	-1.0	-0.031%	29 Jul
USDNOK*	9.5205	9.5334	+129.7	+0.545%	17 Jul
NZDUSD	0.5864	0.5879	+14.9	+1.013%	01 Jun
EURUSD*	1.1488	1.1531	+43.3	+1.507%	29 Jul

Volatility, positioning and EMlive vol and positioning →

CFTC as of 21 Jul 2026.

20D RV, 1y percentile

Realized vol term structure · annualised %; 5D above 1Y = the move is recent

Δpositioning vs Δprice · CFTC week vs latest session

Net spec positioning, 52w (z)

CFTC non-commercial net, z on trailing 52w. Δz holds the mean and sd fixed across both weeks. Excluded: USD (basket contract).
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	-0.09	long
MXN	54,463	+0.50σ	+0.05	long
GBP	33,236	+0.62σ	+0.42	long

EM levels and risk

Pairs with no daily-close coverage are in the omissions, not carried as blank rows. Move / σ is not shown for USDTRY: realized volatility below 2% annualised means the rate is managed, so a move in its own sigma is an artefact rather than a signal. The rate-model columns are omitted here: none of these pairs has a sovereign-yield source in our chain, so there is no fair value or 2Y differential to show.
Pair	Spot	1d %	Move / σ	20D RV	RV %ile
USDMXN	17.3121	-0.75%	-1.67σ	7.09	56
USDBRL	5.0610	-1.29%	-2.08σ	9.85	35
USDZAR	16.4814	-1.07%	-1.35σ	12.67	71
USDTRY	47.52	+0.33%	—	1.35	39
USDPLN	3.7412	-0.74%	-1.77σ	6.61	41
USDINR	95.36	-0.38%	-0.95σ	6.34	62
USDIDR	17,990.00	-0.49%	-1.13σ	6.90	76
USDCNY	6.7370	-0.43%	-3.27σ	2.09	53
USDHUF	314.86	-0.47%	-0.87σ	8.54	29
USDCZK	21.00	-0.29%	-0.82σ	5.60	38

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.36) and least on CHF (-1.36), scored across 7 of 7 factors. This is a medium-term directional bias, not a trade recommendation and not a target.

Model bias by currency — long the top, short the bottom

Factor scores by currency · z-scores; blank = factor unavailable for that currency

7/7 factors live · minimum 2 for a score · 10-currency universe · 7 currencies scored on a partial factor set

The day ahead

High/medium impact, next 30h, UTC. 5 events at all impact levels in window.
When	Ccy	Release	Cons.	Prev.	Impact
Fri 12:30	CAD	GDP m/m	0.2%	0.5%	HIGH
Fri 12:30	USD	Employment Cost Index q/q	0.8%	0.9%	MEDI
Fri 14:00	USD	Revised UoM Consumer Sentiment	53.9	54.4	MEDI
Fri 14:00	USD	Revised UoM Inflation Expectations	—	4.2%	MEDI

Expected session range from 20-day realised vol, ±1σ

One standard deviation for a single session, derived from each pair's own 20-day realised volatility de-annualised to one day. It is a volatility band, not a forecast, and it is not yet scored — no track record is claimed until the ledger has run.
Pair	Spot	Low	High
EURUSD	1.1488	1.1457	1.1518
GBPUSD	1.3420	1.3365	1.3476
USDJPY	160.19	159.39	160.99
USDCHF	0.8101	0.8069	0.8133
AUDUSD	0.7020	0.6994	0.7047
NZDUSD	0.5864	0.5835	0.5892
USDCAD	1.4037	1.4003	1.4070
USDNOK	9.5205	9.4733	9.5676
USDSEK	9.5648	9.5179	9.6117
EURJPY	184.02	183.14	184.89

Nothing omitted. Every block in this issue resolved against live data.

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