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FX Daily

G10 and EM · 08 Sep 2026

Built 08 Sep 12:06 UTC · daily closes to 08 Sep · day ahead runs from 08 Sep 13:15 UTC

spot close08 Seprates read04 Seppolicy read18 MarCOT report01 Sepforwards read03 Sepcomposite built08 Sepfactors7/7 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 USDJPY, -1.23%, leaving the JPY stronger against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 52th percentile of their past year, and half above.

EURJPY -1.20%, 2.3σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains little of the cross-section (R² 0.00, n 8, 03 Sep–04 Sep). USDJPY is the widest Δ-model residual at 1.70pp — a different quantity from the fair-value residual z in the levels table.
Sep-2026 (16 Sep) priced 38% hold / 62% hike, implied 3.785%.

The overnight and the dollarlive rates and vol →

Over the last 24h, VIX +9.77% and Gold -1.49% bracket the tape; US 3M -1bp.

Δspot vs Δ2Y differential · 03 Sep–04 Sep — not this session · 03 Sep–04 Sep; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 08 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	1.1617	+0.03%	+0.10σ	4.36	32	-0.2%	-0.25	-1.41
GBPUSD	1.3545	+0.21%	+0.84σ	3.90	2	+2.6%	+1.24	+0.13
USDJPY	154.28	-1.23%	-1.97σ	9.87	83	-0.7%	-0.43	+2.51
USDCHF	0.8115	+0.19%	+0.38σ	8.11	84	-0.3%	-0.93	+4.21
AUDUSD	0.7216	+0.13%	+0.43σ	4.99	2	+4.2%	+1.66	+0.48
NZDUSD	0.5844	-0.66%	-1.36σ	7.69	43	+1.7%	+0.99	-0.70
USDCAD	1.3804	-0.21%	-0.72σ	4.67	81	-1.1%	-1.47	+1.24
USDNOK	9.2524	-0.49%	-1.50σ	5.19	6	—	—	—
USDSEK	9.5996	+0.26%	+0.49σ	8.28	52	—	—	—
EURJPY	179.23	-1.20%	-2.28σ	8.36	92	+0.2%	-0.26	+1.10

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: Oil prices rise as Houthis escalate attacks on Saudi targets
08:31	The bond market continues to tighten the screws, and everything else is feeling it
07:55	Oil prices extend gains as Yemen's Houthis threaten broader Saudi operation after attacks hit energy sites
06:55	French trade deficit grows larger in July on higher imports again	EUR
06:33	What are the main events for today?
06:10	Germany's trade surplus widens sharply in July as imports slump
03:50	investingLive Asia-Pacific market news: Yen surges to six-month high	JPY
03:18	China exports match forecast in August, imports fall short as domestic demand stays soft

Policy and rateslive curves and fair value →

+54bp 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
CNY	3.00%	20 May 25	-10bp	PBoC
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	5.50%	26 Aug 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	3.785%	+16bp	0.62	+15.5bp	0%	38%	62%
Oct-2026	28 Oct	3.845%	+22bp	0.86	+6.0bp	0%	76%	24%
Dec-2026	09 Dec	3.980%	+35bp	1.40	+13.5bp	0%	46%	54%
Jan-2027	27 Jan	4.030%	+40bp	1.60	+5.0bp	0%	80%	20%
Mar-2027	17 Mar	4.130%	+50bp	2.00	+10.0bp	0%	60%	40%
Apr-2027	28 Apr	4.165%	+54bp	2.14	+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. Not priced — USDCHF: CHF rate leg last observed 2026-06-01 (99d old, budget 95d) — a forward priced off it is not a current hedging cost; AUDUSD: AUD rate leg last observed 2026-06-01 (99d old, budget 95d) — a forward priced off it is not a current hedging cost; NZDUSD: NZD rate leg last observed 2026-06-01 (99d old, budget 95d) — a forward priced off it is not a current hedging cost; USDCAD: CAD rate leg last observed 2026-06-01 (99d old, budget 95d) — a forward priced off it is not a current hedging cost; USDNOK: NOK rate leg last observed 2026-06-01 (99d old, budget 95d) — a forward priced off it is not a current hedging cost; USDSEK: SEK rate leg last observed 2026-06-01 (99d old, budget 95d) — a forward priced off it is not a current hedging cost.
Pair	Spot	3M forward	Points	Fwd prem. p.a.	Legs as of
USDJPY*	154.28	153.22	-106.0	-2.747%	03 Sep
GBPUSD*	1.3545	1.3546	+0.7	+0.020%	03 Sep
EURUSD*	1.1617	1.1662	+45.1	+1.554%	03 Sep

Volatility, positioning and EMlive vol and positioning →

CFTC as of 01 Sep 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
JPY	-102,188	-1.71σ	-1.22	short
CHF	-10,298	-1.40σ	-0.32	short
EUR	-38,173	-1.35σ	+0.01	short
NZD	-22,338	-0.81σ	+0.85	short
CAD	-68,750	-0.42σ	+0.18	short
ZAR	2,016	-0.08σ	-0.20	long
AUD	49,662	+0.68σ	-0.17	long
GBP	43,167	+1.30σ	-0.40	long
BRL	16,046	+1.34σ	+0.21	long
MXN	74,362	+1.88σ	+0.48	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	16.9510	+0.39%	+1.54σ	3.99	6
USDBRL	5.1083	-0.35%	-0.59σ	9.43	29
USDZAR	16.0272	+0.42%	+0.88σ	7.60	23
USDTRY	48.46	+0.07%	+0.45σ	2.44	99
USDPLN	3.7170	+0.19%	+0.49σ	6.31	39
USDINR	94.82	+0.41%	+0.56σ	11.56	92
USDIDR	17,625.00	-0.07%	-0.26σ	4.43	40
USDCNY	6.6986	-0.18%	—	1.08	10
USDHUF	313.34	+0.69%	+0.97σ	11.32	79
USDCZK	20.82	+0.04%	+0.13σ	5.40	42

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.51) and least on CHF (-1.03), 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. 13 events at all impact levels in window.
When	Ccy	Release	Cons.	Prev.	Impact
Tue 13:15	GBP	Monetary Policy Report Hearings	—	—	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	1.1617	1.1585	1.1649
GBPUSD	1.3545	1.3512	1.3578
USDJPY	154.28	153.32	155.24
USDCHF	0.8115	0.8074	0.8156
AUDUSD	0.7216	0.7193	0.7239
NZDUSD	0.5844	0.5816	0.5873
USDCAD	1.3804	1.3764	1.3845
USDNOK	9.2524	9.2222	9.2827
USDSEK	9.5996	9.5495	9.6496
EURJPY	179.23	178.28	180.17

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

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