RoboMacro Research

FX Daily

G10 and EM · 01 Sep 2026

Built 01 Sep 12:06 UTC · daily closes to 01 Sep · day ahead runs from 01 Sep 14:00 UTC

spot close01 Seprates read31 Augpolicy read18 MarCOT report25 Augforwards read01 Juncomposite built01 Sepfactors7/7 live

The dollar finished mixed, stronger against 4 of 9 developed-market currencies and weaker against 4 (crosses such as EURJPY carry no dollar leg and are excluded); 1 was unchanged. The head-count is even, so the weighting decides it: the DXY-weighted basket, close to close fell 0.03%. The largest move was in NZDUSD, -0.43%, leaving the NZD weaker against the dollar. Realised volatility is subdued by the majors' own standards: half of them sit below the 20th percentile of their past year, and half above. The next scheduled risk is USD ISM Manufacturing PMI at Tue 14:00 UTC, with 8 other high-impact releases scheduled.

USDNOK -0.33%, 1.0σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains part of the cross-section (R² 0.49, n 8, against the textbook sign, 28 Aug–31 Aug). USDCHF is the widest Δ-model residual at 0.71pp — a different quantity from the fair-value residual z in the levels table.
Sep-2026 (16 Sep) priced 32% hold / 68% hike, implied 3.800%.

The overnight and the dollarlive rates and vol →

Over the last 24h, VIX +11.31% and Gold -1.40% bracket the tape; US 5Y +12bp.

Δspot vs Δ2Y differential · 28 Aug–31 Aug — not this session · 28 Aug–31 Aug; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 01 Sep.

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	1.1594	+0.05%	+0.17σ	4.34	32	-0.5%	-0.32	-1.42
GBPUSD	1.3534	-0.05%	-0.22σ	3.59	0	+3.0%	+1.52	+0.07
USDJPY	160.12	-0.00%	-0.00σ	5.16	20	+1.8%	+0.38	+2.59
USDCHF	0.8103	+0.18%	+0.34σ	8.25	88	-1.1%	-1.35	+4.25
AUDUSD	0.7146	-0.23%	-0.67σ	5.50	13	+3.7%	+1.69	+0.40
NZDUSD	0.5894	-0.43%	-1.02σ	6.69	19	+2.4%	+1.33	-0.68
USDCAD	1.3884	-0.11%	-0.40σ	4.27	73	-1.6%	-1.98	+1.33
USDNOK	9.3308	-0.33%	-1.02σ	5.05	3	—	—	—
USDSEK	9.5867	-0.20%	-0.43σ	7.59	32	—	—	—
EURJPY	185.65	+0.04%	+0.21σ	3.25	4	+1.8%	+0.36	+1.17

Overnight headlinesthe live macro news feed →

25 items scanned; times UTC. Currency tags are the legs each headline names.
UTC	Headline	Touches
11:30	investingLive European news wrap: Risk-off returns as oil and yields extend gains
09:01	Italy August preliminary CPI +3.3% vs +3.3% y/y expected	EUR
09:00	Euro area inflation climbs above 3% in August on higher energy prices	EUR
08:39	UK mortgage borrowing slows in July, though consumer borrowing continues to hold up	GBP
08:30	UK August final manufacturing PMI 51.7 vs 51.5 prelim	GBP
08:00	Euro area factory growth continues to expand in August, driven by Germany - PMI data	EUR
07:55	Germany August final manufacturing PMI 54.3 vs 54.1 prelim
07:50	France manufacturing confirmed to pick up a little in August - PMI data

Policy and rateslive curves and fair value →

+56bp 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
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%

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	3.800%	+17bp	0.68	+17.0bp	0%	32%	68%
Oct-2026	28 Oct	3.860%	+23bp	0.92	+6.0bp	0%	76%	24%
Dec-2026	09 Dec	4.010%	+38bp	1.52	+15.0bp	0%	40%	60%
Jan-2027	27 Jan	4.060%	+43bp	1.72	+5.0bp	0%	80%	20%
Mar-2027	17 Mar	4.155%	+52bp	2.10	+9.5bp	0%	62%	38%
Apr-2027	28 Apr	4.190%	+56bp	2.24	+3.5bp	0%	86%	14%

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	0.8103	0.8027	-76.0	-3.750%	01 Jun
USDJPY*	160.12	159.02	-109.6	-2.737%	28 Aug
USDSEK	9.5867	9.5443	-424.1	-1.770%	01 Jun
USDCAD	1.3884	1.3834	-50.5	-1.454%	01 Jun
AUDUSD	0.7146	0.7134	-12.7	-0.712%	01 Jun
GBPUSD*	1.3534	1.3534	+0.3	+0.010%	27 Aug
USDNOK	9.3308	9.3500	+191.8	+0.822%	01 Jun
NZDUSD	0.5894	0.5910	+15.5	+1.053%	01 Jun
EURUSD*	1.1594	1.1639	+44.8	+1.547%	28 Aug

Volatility, positioning and EMlive vol and positioning →

CFTC as of 25 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
NZD	-31,994	-1.68σ	-0.45	short
EUR	-38,359	-1.41σ	+0.60	short
CHF	-8,825	-1.14σ	+0.05	short
CAD	-72,092	-0.62σ	+0.88	short
JPY	-77,042	-0.54σ	-0.45	short
ZAR	2,533	+0.09σ	+0.32	long
AUD	54,061	+0.88σ	+0.07	long
BRL	14,713	+1.19σ	+0.12	long
MXN	68,904	+1.48σ	+0.32	long
GBP	47,909	+1.76σ	+0.43	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 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	16.9940	-0.22%	-0.91σ	3.76	3
USDBRL	5.1934	+0.04%	+0.08σ	8.92	21
USDZAR	16.1517	-0.11%	-0.20σ	8.45	36
USDTRY	48.27	+0.05%	+0.33σ	2.44	100
USDPLN	3.7354	-0.20%	-0.51σ	6.10	32
USDINR	94.94	-0.46%	-0.64σ	11.49	92
USDIDR	17,720.00	-0.16%	-0.55σ	4.73	47
USDCNY	6.7103	-0.23%	—	1.14	8
USDHUF	316.28	+0.48%	+0.76σ	10.18	59
USDCZK	20.83	+0.11%	+0.33σ	5.23	28

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.52) and least on CHF (-1.45), 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. 29 events at all impact levels in window.
When	Ccy	Release	Cons.	Prev.	Impact
Tue 14:00	USD	ISM Manufacturing PMI	55.2	55.6	HIGH
Tue 14:00	USD	ISM Manufacturing Prices	70.5	71.1	MEDI
Tue 14:00	USD	JOLTS Job Openings	7.33M	7.36M	MEDI
Wed 01:30	AUD	GDP q/q	0.3%	0.3%	HIGH
Wed 02:00	NZD	Official Cash Rate	2.75%	2.50%	HIGH
Wed 02:00	NZD	RBNZ Monetary Policy Statement	—	—	HIGH
Wed 02:00	NZD	RBNZ Rate Statement	—	—	HIGH
Wed 03:00	NZD	RBNZ Press Conference	—	—	HIGH
Wed 12:15	USD	ADP Non-Farm Employment Change	48K	44K	MEDI
Wed 13:45	CAD	BOC Rate Statement	—	—	HIGH
Wed 13:45	CAD	Overnight Rate	2.25%	2.25%	HIGH
Wed 14:30	CAD	BOC Press Conference	—	—	HIGH

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	1.1594	1.1563	1.1626
GBPUSD	1.3534	1.3503	1.3564
USDJPY	160.12	159.60	160.64
USDCHF	0.8103	0.8061	0.8145
AUDUSD	0.7146	0.7122	0.7171
NZDUSD	0.5894	0.5870	0.5919
USDCAD	1.3884	1.3847	1.3921
USDNOK	9.3308	9.3012	9.3605
USDSEK	9.5867	9.5409	9.6325
EURJPY	185.65	185.27	186.03

Omitted from this issue

policy_ccy — no in-budget policy rate: AUD, CNY

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