RoboMacro Research
FX Daily
G10 and EM · 21 Aug 2026
Built 21 Aug 12:06 UTC · daily closes to 21 Aug · day ahead runs from 21 Aug 23:00 UTC
spot close21 Augrates read20 Augpolicy read18 MarCOT report11 Augforwards read01 Juncomposite built21 Augfactors7/7 live
The dollar lost ground to 6 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, +0.87%, leaving the NZD stronger against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 46th percentile of their past year, and half above.
- USDCAD -0.54%, 2.0σ of its 20D RV — the session's largest risk-adjusted move.
- The Δ2Y differential explains little of the cross-section (R² 0.03, n 8, 19 Aug–20 Aug). USDCHF is the widest Δ-model residual at 1.80pp — a different quantity from the fair-value residual z in the levels table.
- 2 books beyond 2σ: EUR -2.31, MXN +2.14; EUR extended its short by 0.27σ on the week.
- Sep-2026 (16 Sep) priced 64% hold / 36% hike, implied 3.720%.
The overnight and the dollarlive rates and vol →
Over the last 24h, BTC +8.21% and S&P 500 fut -0.48% bracket the tape; US 30Y -5bp.
DM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile | FV gap | FV resid z | 2Y diff |
|---|---|---|---|---|---|---|---|---|
| EURUSD | 1.1703 | +0.25% | +0.83σ | 4.72 | 42 | -0.6% | -0.06 | -1.36 |
| GBPUSD | 1.3656 | +0.41% | +1.32σ | 4.93 | 3 | +2.9% | +1.57 | +0.19 |
| USDJPY | 158.70 | +0.27% | +0.42σ | 10.19 | 90 | +2.5% | +0.50 | +2.51 |
| USDCHF | 0.7993 | +0.20% | +0.35σ | 8.91 | 91 | -1.4% | -1.44 | +4.09 |
| AUDUSD | 0.7169 | +0.62% | +1.50σ | 6.53 | 38 | +3.5% | +1.93 | +0.41 |
| NZDUSD | 0.5988 | +0.87% | +1.71σ | 8.13 | 46 | +3.1% | +1.73 | -0.59 |
| USDCAD | 1.3736 | -0.54% | -1.96σ | 4.36 | 79 | -1.3% | -1.81 | +1.17 |
| USDNOK | 9.2882 | -0.45% | -1.00σ | 7.11 | 34 | — | — | — |
| USDSEK | 9.4556 | +0.16% | +0.31σ | 8.13 | 44 | — | — | — |
| EURJPY | 185.72 | +0.52% | +0.96σ | 8.56 | 97 | +2.1% | +0.47 | +1.16 |
Overnight headlinesthe live macro news feed →
| UTC | Headline | Touches |
|---|---|---|
| 11:38 | investingLive European markets wrap: Gold runs higher, dollar stays under pressure | USD |
| 08:50 | Why markets care more about the signal than the size of the Treasury buyback | USD |
| 08:30 | UK August flash services PMI 52.8 vs 51.8 expected | GBP |
| 08:00 | Euro area business activity sees further pick up in August despite France, Germany softness | EUR |
| 07:30 | Germany August flash manufacturing PMI 54.1 vs 52.0 expected | |
| 07:15 | French business activity contracts further in August as demand conditions remain subdued | EUR |
| 06:45 | French business confidence extends recovery into August | EUR |
| 06:23 | What are the main events for today? |
Policy and rateslive curves and fair value →
+36bp 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 | 14.00% | 06 Aug 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 | 3.720% | +9bp | 0.36 | +9.0bp | 0% | 64% | 36% |
| Oct-2026 | 28 Oct | 3.765% | +14bp | 0.54 | +4.5bp | 0% | 82% | 18% |
| Dec-2026 | 09 Dec | 3.860% | +23bp | 0.92 | +9.5bp | 0% | 62% | 38% |
| Jan-2027 | 27 Jan | 3.900% | +27bp | 1.08 | +4.0bp | 0% | 84% | 16% |
| Mar-2027 | 17 Mar | 3.965% | +34bp | 1.34 | +6.5bp | 0% | 74% | 26% |
| Apr-2027 | 28 Apr | 3.985% | +36bp | 1.42 | +2.0bp | 0% | 92% | 8% |
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 | 0.7993 | 0.7919 | -74.3 | -3.720% | 01 Jun |
| USDJPY* | 158.70 | 157.62 | -107.4 | -2.708% | 19 Aug |
| USDSEK | 9.4556 | 9.4145 | -411.3 | -1.740% | 01 Jun |
| USDCAD | 1.3736 | 1.3687 | -48.9 | -1.424% | 01 Jun |
| AUDUSD | 0.7169 | 0.7156 | -13.3 | -0.742% | 01 Jun |
| GBPUSD* | 1.3656 | 1.3655 | -0.7 | -0.021% | 19 Aug |
| USDNOK | 9.2882 | 9.3080 | +197.9 | +0.852% | 01 Jun |
| NZDUSD | 0.5988 | 0.6003 | +15.3 | +1.023% | 01 Jun |
| EURUSD* | 1.1703 | 1.1747 | +44.2 | +1.511% | 19 Aug |
Volatility, positioning and EMlive vol and positioning →
CFTC as of 11 Aug 2026.
| Ccy | Net spec | z | Δz 1w | Side |
|---|---|---|---|---|
| EUR | -60,600 | -2.31σ | -0.27 | short |
| NZD | -33,461 | -1.96σ | -0.28 | short |
| CHF | -11,432 | -1.82σ | -0.30 | short |
| CAD | -92,005 | -1.75σ | +0.51 | short |
| ZAR | 1,065 | -0.50σ | -0.62 | long |
| BRL | 8,333 | +0.30σ | -0.28 | long |
| JPY | -53,070 | +0.58σ | +0.38 | short |
| AUD | 48,541 | +0.74σ | +0.29 | long |
| GBP | 40,670 | +1.28σ | +0.22 | long |
| MXN | 76,282 | +2.14σ | +0.72 | long |
EM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile |
|---|---|---|---|---|---|
| USDMXN | 16.8930 | -0.34% | -1.48σ | 3.67 | 0 |
| USDBRL | 5.1714 | -0.10% | -0.18σ | 9.19 | 27 |
| USDZAR | 16.0094 | -0.50% | -1.01σ | 7.91 | 30 |
| USDTRY | 48.06 | +0.24% | — | 1.54 | 63 |
| USDPLN | 3.6821 | -0.34% | -0.82σ | 6.62 | 44 |
| USDINR | 95.68 | +0.20% | +0.77σ | 4.10 | 21 |
| USDIDR | 17,690.00 | -0.66% | -2.15σ | 4.86 | 47 |
| USDCNY | 6.7094 | -0.30% | — | 1.38 | 14 |
| USDHUF | 310.18 | -0.50% | -0.78σ | 10.23 | 60 |
| USDCZK | 20.60 | -0.34% | -1.02σ | 5.34 | 33 |
Directional bias — the quantamental modelthe live directional model →
The model is most constructive on NOK (+2.47) and least on CHF (-1.30), 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 |
|---|---|---|---|---|---|
| Fri 23:00 | USD | President Trump Speaks | — | — | MEDI |
Expected session range from 20-day realised vol, ±1σ
| Pair | Spot | Low | High |
|---|---|---|---|
| EURUSD | 1.1703 | 1.1668 | 1.1738 |
| GBPUSD | 1.3656 | 1.3613 | 1.3698 |
| USDJPY | 158.70 | 157.68 | 159.72 |
| USDCHF | 0.7993 | 0.7949 | 0.8038 |
| AUDUSD | 0.7169 | 0.7139 | 0.7198 |
| NZDUSD | 0.5988 | 0.5957 | 0.6018 |
| USDCAD | 1.3736 | 1.3698 | 1.3774 |
| USDNOK | 9.2882 | 9.2466 | 9.3299 |
| USDSEK | 9.4556 | 9.4072 | 9.5040 |
| EURJPY | 185.72 | 184.72 | 186.72 |
Omitted from this issue
- policy_ccy — no in-budget policy rate: CNY
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