RoboMacro Research
FX Daily
G10 and EM · 10 Aug 2026
Built 10 Aug 12:07 UTC · daily closes to 10 Aug · day ahead runs from 11 Aug 04:30 UTC
spot close10 Augrates read07 Augpolicy read18 MarCOT report04 Augforwards read01 Juncomposite built10 Augfactors7/7 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 USDCHF, -0.55%, leaving the CHF stronger against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 68th percentile of their past year, and half above. The next scheduled risk is AUD Cash Rate at Tue 04:30 UTC, with 3 other high-impact releases scheduled.
- USDCAD -0.52%, 1.9σ of its 20D RV — the session's largest risk-adjusted move.
- The Δ2Y differential explains a minority of the cross-section (R² 0.30, n 8, against the textbook sign, 06 Aug–07 Aug). USDCHF is the widest Δ-model residual at 0.71pp — a different quantity from the fair-value residual z in the levels table.
- 2 books beyond 2σ: CAD -2.35, EUR -2.21.
- Sep-2026 (16 Sep) priced 50% hold / 50% hike, implied 3.755%.
The overnight and the dollarlive rates and vol →
Over the last 24h, Brent +2.08% and DXY -0.21% bracket the tape; US 10Y +4bp.
DM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile | FV gap | FV resid z | 2Y diff |
|---|---|---|---|---|---|---|---|---|
| EURUSD | 1.1566 | +0.36% | +1.21σ | 4.72 | 39 | -0.6% | -0.15 | -1.52 |
| GBPUSD | 1.3506 | +0.37% | +0.86σ | 6.92 | 68 | +3.0% | +1.64 | +0.04 |
| USDJPY | 158.68 | +0.17% | +0.28σ | 9.80 | 84 | +1.0% | +0.09 | +2.64 |
| USDCHF | 0.8079 | -0.55% | -1.14σ | 7.65 | 79 | -0.6% | -1.01 | +4.18 |
| AUDUSD | 0.7071 | +0.54% | +1.20σ | 7.09 | 52 | +2.7% | +1.65 | +0.32 |
| NZDUSD | 0.5899 | +0.53% | +1.07σ | 7.83 | 40 | +1.9% | +1.14 | -0.63 |
| USDCAD | 1.3940 | -0.52% | -1.88σ | 4.44 | 80 | -0.8% | -1.32 | +1.28 |
| USDNOK | 9.5104 | -0.24% | -0.53σ | 7.35 | 38 | — | — | — |
| USDSEK | 9.4760 | -0.38% | -0.72σ | 8.33 | 46 | — | — | — |
| EURJPY | 183.53 | +0.53% | +1.01σ | 8.35 | 97 | +1.3% | +0.24 | +1.12 |
Overnight headlinesthe live macro news feed →
| UTC | Headline | Touches |
|---|---|---|
| 08:33 | Euro area investor confidence returns to positive territory in August - Sentix | EUR |
| 08:05 | Iran foreign ministry reaffirms that there are no negotiations with the US currently | |
| 06:26 | What are the main events for today? | |
| 03:39 | investingLive Asia-Pacific Financial Market news: No Hormuz deal in sight | |
| 13:34 | Newsquawk week ahead: RBA announcement and US retail sales | AUD |
| 04:29 | China's July CPI cools to six-month low as producer prices also ease | |
| 20:10 | investingLive Americas market news wrap: Non-farm payrolls turn negative, dollar drops | USD |
| 15:01 | New York Fed survey: One year inflation expectations dip to 3.6% from 3.7% | USD |
Policy and rateslive curves and fair value →
+42bp priced between now and 28 Apr.
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 | 1.00% | 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 |
|---|---|---|---|---|
| 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 | 5.75% | 22 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 |
|---|---|---|---|---|---|---|---|---|
| Sep-2026 | 16 Sep | 3.755% | +12bp | 0.50 | +12.5bp | 0% | 50% | 50% |
| Oct-2026 | 28 Oct | 3.815% | +18bp | 0.74 | +6.0bp | 0% | 76% | 24% |
| Dec-2026 | 09 Dec | 3.935% | +30bp | 1.22 | +12.0bp | 0% | 52% | 48% |
| Jan-2027 | 27 Jan | 3.970% | +34bp | 1.36 | +3.5bp | 0% | 86% | 14% |
| Mar-2027 | 17 Mar | 4.040% | +41bp | 1.64 | +7.0bp | 0% | 72% | 28% |
| Apr-2027 | 28 Apr | 4.055% | +42bp | 1.70 | +1.5bp | 0% | 94% | 6% |
3M hedge, CIP-implied · sorted by forward premium (quote − base), most negative first
| Pair | Spot | 3M forward | Points | Fwd prem. p.a. | Legs as of |
|---|---|---|---|---|---|
| USDCHF | 0.8079 | 0.8004 | -75.7 | -3.750% | 01 Jun |
| USDJPY* | 158.68 | 157.60 | -108.5 | -2.734% | 06 Aug |
| USDSEK | 9.4760 | 9.4341 | -419.2 | -1.770% | 01 Jun |
| USDCAD | 1.3940 | 1.3889 | -50.8 | -1.456% | 01 Jun |
| AUDUSD | 0.7071 | 0.7059 | -12.6 | -0.712% | 01 Jun |
| GBPUSD* | 1.3506 | 1.3506 | +0.3 | +0.008% | 06 Aug |
| USDNOK | 9.5104 | 9.5299 | +195.5 | +0.822% | 01 Jun |
| NZDUSD | 0.5899 | 0.5915 | +15.5 | +1.053% | 01 Jun |
| EURUSD* | 1.1566 | 1.1611 | +44.7 | +1.547% | 06 Aug |
Volatility, positioning and EMlive vol and positioning →
CFTC as of 04 Aug 2026.
| Ccy | Net spec | z | Δz 1w | Side |
|---|---|---|---|---|
| CAD | -101,748 | -2.35σ | +0.04 | short |
| EUR | -52,205 | -2.21σ | +0.44 | short |
| NZD | -30,290 | -1.79σ | -0.02 | short |
| CHF | -10,084 | -1.61σ | -0.10 | short |
| ZAR | 2,790 | +0.07σ | -0.15 | long |
| JPY | -60,825 | +0.18σ | +1.98 | short |
| AUD | 40,637 | +0.48σ | +0.48 | long |
| BRL | 10,214 | +0.59σ | +2.68 | long |
| GBP | 38,174 | +1.10σ | -0.27 | long |
| MXN | 67,707 | +1.47σ | +0.32 | long |
EM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile |
|---|---|---|---|---|---|
| USDMXN | 17.1320 | -0.42% | -1.11σ | 6.01 | 37 |
| USDBRL | 5.0851 | -0.72% | -1.21σ | 9.38 | 29 |
| USDZAR | 16.1712 | -1.04% | -1.26σ | 13.14 | 73 |
| USDTRY | 47.63 | -0.07% | — | 1.43 | 46 |
| USDPLN | 3.7202 | -0.26% | -0.61σ | 6.64 | 42 |
| USDINR | 95.29 | -0.03% | -0.07σ | 5.77 | 51 |
| USDIDR | 17,755.00 | -0.88% | -2.60σ | 5.36 | 50 |
| USDCNY | 6.7442 | -0.07% | — | 1.12 | 2 |
| USDHUF | 314.09 | -0.83% | -1.29σ | 10.16 | 54 |
| USDCZK | 20.98 | -0.16% | -0.47σ | 5.45 | 35 |
Directional bias — the quantamental modelthe live directional model →
The model is most constructive on NOK (+1.55) and least on CHF (-1.61), 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 · 3 currencies scored on a partial factor set
The day ahead
| When | Ccy | Release | Cons. | Prev. | Impact |
|---|---|---|---|---|---|
| Tue 04:30 | AUD | Cash Rate | 4.35% | 4.35% | HIGH |
| Tue 04:30 | AUD | RBA Monetary Policy Statement | — | — | HIGH |
| Tue 04:30 | AUD | RBA Rate Statement | — | — | HIGH |
| Tue 05:30 | AUD | RBA Press Conference | — | — | HIGH |
Expected session range from 20-day realised vol, ±1σ
| Pair | Spot | Low | High |
|---|---|---|---|
| EURUSD | 1.1566 | 1.1532 | 1.1600 |
| GBPUSD | 1.3506 | 1.3447 | 1.3565 |
| USDJPY | 158.68 | 157.70 | 159.66 |
| USDCHF | 0.8079 | 0.8040 | 0.8118 |
| AUDUSD | 0.7071 | 0.7040 | 0.7103 |
| NZDUSD | 0.5899 | 0.5870 | 0.5928 |
| USDCAD | 1.3940 | 1.3901 | 1.3979 |
| USDNOK | 9.5104 | 9.4663 | 9.5544 |
| USDSEK | 9.4760 | 9.4263 | 9.5257 |
| EURJPY | 183.53 | 182.57 | 184.50 |
Omitted from this issue
- policy_ccy — no in-budget policy rate: CNY
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