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FX Daily

G10 and EM · 13 Aug 2026

Built 13 Aug 12:14 UTC · daily closes to 13 Aug · day ahead runs from 13 Aug 12:30 UTC

spot close13 Augrates read11 Augpolicy read18 MarCOT report04 Augforwards read01 Juncomposite built13 Augfactors7/7 live

The dollar gained against 9 of the 9 developed-market currencies we track (crosses such as EURJPY carry no dollar leg and are excluded). The largest move was in NZDUSD, -0.60%, leaving the NZD weaker against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 39th percentile of their past year, and half above. The next scheduled risk is USD Core PPI m/m at Thu 12:30 UTC, with 1 other high-impact release scheduled.

NZDUSD -0.60%, 1.3σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains little of the cross-section (R² 0.26, n 8, against the textbook sign, 10 Aug–11 Aug). EURJPY is the widest Δ-model residual at 0.45pp — 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 58% hold / 42% hike, implied 3.735%.

The overnight and the dollarlive rates and vol →

Over the last 24h, S&P 500 fut +0.23% and VIX -4.20% bracket the tape; US 30Y +4bp.

Δspot vs Δ2Y differential · 10 Aug–11 Aug — not this session · 10 Aug–11 Aug; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 13 Aug.

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	1.1537	-0.06%	-0.22σ	4.32	29	-1.3%	-0.66	-1.44
GBPUSD	1.3491	-0.14%	-0.40σ	5.46	19	+2.4%	+1.28	+0.10
USDJPY	159.34	+0.05%	+0.08σ	10.22	89	+1.6%	+0.31	+2.60
USDCHF	0.8129	+0.23%	+0.55σ	6.54	52	+0.3%	-0.47	+4.09
AUDUSD	0.7053	-0.15%	-0.39σ	6.16	28	+2.0%	+1.34	+0.39
NZDUSD	0.5845	-0.60%	-1.31σ	7.31	29	+0.9%	+0.68	-0.61
USDCAD	1.3948	+0.21%	+0.88σ	3.79	44	-0.2%	-0.71	+1.20
USDNOK	9.5236	+0.37%	+0.85σ	6.87	23	—	—	—
USDSEK	9.5631	+0.48%	+0.96σ	7.97	39	—	—	—
EURJPY	183.83	-0.01%	-0.02σ	8.37	96	+1.0%	+0.11	+1.16

Overnight headlinesthe live macro news feed →

25 items scanned; times UTC. Currency tags are the legs each headline names.
UTC	Headline	Touches
11:47	investingLive European markets wrap: Dollar remains tentative, gold off the highs in post-CPI trading	USD
09:14	Stock Market Today: AI lead so far this week but Cisco may cool things down
09:05	Euro area industrial output holds flat in June	EUR
07:00	Spain inflation nudges higher in July as both headline and core prices push up
06:33	What are the main events for today?
06:00	UK Q2 preliminary GDP +0.4% vs +0.4% q/q expected	GBP
06:00	UK economy posts unexpected growth in June on stronger services sector showing	GBP
05:29	It's on to Jackson Hole next..

Policy and rateslive curves and fair value →

+38bp 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	1.00%	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%

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	3.735%	+10bp	0.42	+10.5bp	0%	58%	42%
Oct-2026	28 Oct	3.790%	+16bp	0.64	+5.5bp	0%	78%	22%
Dec-2026	09 Dec	3.895%	+26bp	1.06	+10.5bp	0%	58%	42%
Jan-2027	27 Jan	3.930%	+30bp	1.20	+3.5bp	0%	86%	14%
Mar-2027	17 Mar	3.990%	+36bp	1.44	+6.0bp	0%	76%	24%
Apr-2027	28 Apr	4.010%	+38bp	1.52	+2.0bp	0%	92%	8%

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	0.8129	0.8052	-76.2	-3.750%	01 Jun
USDJPY*	159.34	158.25	-109.0	-2.737%	10 Aug
USDSEK	9.5631	9.5207	-423.1	-1.770%	01 Jun
USDCAD	1.3948	1.3898	-50.8	-1.456%	01 Jun
AUDUSD	0.7053	0.7041	-12.6	-0.712%	01 Jun
GBPUSD*	1.3491	1.3492	+0.3	+0.008%	11 Aug
USDNOK	9.5236	9.5432	+195.8	+0.822%	01 Jun
NZDUSD	0.5845	0.5860	+15.4	+1.053%	01 Jun
EURUSD*	1.1537	1.1581	+44.6	+1.547%	11 Aug

Volatility, positioning and EMlive vol and positioning →

CFTC as of 04 Aug 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
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

Pairs with no daily-close coverage are in the omissions, not carried as blank rows. Move / σ is not shown for USDTRY, USDCNY: 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	17.0538	-0.11%	-0.31σ	5.73	27
USDBRL	5.1823	+0.17%	+0.29σ	9.31	29
USDZAR	16.1250	-0.37%	-0.46σ	12.83	71
USDTRY	47.77	+0.05%	—	1.30	33
USDPLN	3.7312	+0.21%	+0.52σ	6.31	34
USDINR	95.43	+0.05%	+0.19σ	4.37	23
USDIDR	17,863.00	+0.23%	+0.79σ	4.65	42
USDCNY	6.7319	-0.19%	—	1.17	5
USDHUF	314.65	-0.36%	-0.57σ	9.98	51
USDCZK	21.00	+0.03%	+0.11σ	4.67	6

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.31) and least on CHF (-1.72), 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 · 3 currencies scored on a partial factor set

The day ahead

High/medium impact, next 30h, UTC. 28 events at all impact levels in window.
When	Ccy	Release	Cons.	Prev.	Impact
Thu 12:30	USD	Core PPI m/m	0.3%	0.2%	HIGH
Thu 12:30	USD	PPI m/m	0.2%	-0.3%	HIGH
Thu 12:30	USD	Unemployment Claims	202K	199K	MEDI
Thu 23:30	AUD	RBA Gov Bullock Speaks	—	—	MEDI
Fri 12:30	USD	Core Retail Sales m/m	0.2%	-0.2%	MEDI
Fri 12:30	USD	Retail Sales m/m	0.1%	0.2%	MEDI
Fri 14:00	USD	Prelim UoM Consumer Sentiment	54.7	54.4	MEDI
Fri 14:00	USD	Prelim 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	1.1537	1.1505	1.1568
GBPUSD	1.3491	1.3445	1.3538
USDJPY	159.34	158.32	160.37
USDCHF	0.8129	0.8095	0.8162
AUDUSD	0.7053	0.7026	0.7081
NZDUSD	0.5845	0.5818	0.5871
USDCAD	1.3948	1.3915	1.3982
USDNOK	9.5236	9.4824	9.5649
USDSEK	9.5631	9.5150	9.6111
EURJPY	183.83	182.86	184.80

Omitted from this issue

policy_ccy — no in-budget policy rate: CNY

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