RoboMacro Research
FX Daily
G10 and EM · 18 Sep 2026
Built 18 Sep 12:09 UTC · daily closes to 18 Sep
spot close18 Seprates read17 Seppolicy read18 MarCOT report08 Sepforwards read01 Augcomposite built18 Sepfactors7/7 live
The dollar gained against 7 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, +1.17%, leaving the JPY weaker against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 34th percentile of their past year, and half above.
- EURJPY +1.11%, 1.7σ of its 20D RV — the session's largest risk-adjusted move.
- The Δ2Y differential explains little of the cross-section (R² 0.16, n 8, 16 Sep–17 Sep). USDCHF is the widest Δ-model residual at 0.87pp — a different quantity from the fair-value residual z in the levels table.
- 2 books beyond 2σ: MXN +2.44, BRL +2.53; MXN extended its long by 0.67σ on the week.
- Oct-2026 (28 Oct) priced 0% hold / 100% hike, implied 4.030%.
The overnight and the dollarlive rates and vol →
Over the last 2026-09-16; 24h change · 70h spark; 24h change · 72h spark, BTC +2.46% and VIX -8.47% bracket the tape; US 3M +3bp.
DM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile | FV gap | FV resid z | 2Y diff |
|---|---|---|---|---|---|---|---|---|
| EURUSD | 1.1463 | -0.06% | -0.27σ | 3.72 | 10 | -0.4% | -0.29 | -1.53 |
| GBPUSD | 1.3344 | -0.29% | -1.20σ | 3.87 | 3 | +2.5% | +1.38 | -0.13 |
| USDJPY | 157.84 | +1.17% | +1.55σ | 12.04 | 96 | -3.4% | -1.45 | +2.87 |
| USDCHF | 0.8256 | +0.03% | +0.10σ | 5.01 | 3 | +0.1% | -0.83 | +4.46 |
| AUDUSD | 0.7123 | +0.49% | +1.26σ | 6.11 | 34 | +5.6% | +2.02 | +0.22 |
| NZDUSD | 0.5711 | -0.15% | -0.40σ | 5.90 | 8 | +1.1% | +0.73 | -0.88 |
| USDCAD | 1.4011 | +0.16% | +0.61σ | 4.26 | 68 | -1.7% | -2.14 | +1.48 |
| USDNOK | 9.4301 | +0.12% | +0.30σ | 6.10 | 18 | — | — | — |
| USDSEK | 9.8496 | -0.03% | -0.06σ | 7.69 | 36 | — | — | — |
| EURJPY | 180.93 | +1.11% | +1.75σ | 10.09 | 100 | -3.6% | -2.06 | +1.35 |
Overnight headlinesthe live macro news feed →
| UTC | Headline | Touches |
|---|---|---|
| 06:33 | What are the main events for today? | |
| 06:00 | UK retail sales unexpectedly rise in August, backed by recovery in department stores, non-store retailers | GBP |
| 03:37 | investingLive Asia-Pacific market news: BoJ hike and RBA hawkish tilt | JPY AUD |
| 23:30 | Japan August inflation: Headline CPI 1.9% y/y (expected 2%) | JPY |
| 22:56 | New Zealand data, food price inflation in August same as in July | NZD |
| 20:31 | investingLive Americas FX news wrap 17 Sept | |
| 19:11 | A view on inflation is increasingly important | |
| 17:15 | Trump says he faces a “big decision” on whether to launch new attacks on Iran |
Policy and rateslive curves and fair value →
+100bp priced between now and 09 Jun.
Developed markets
| Ccy | Policy rate | Set on | Last move | Central bank |
|---|---|---|---|---|
| USD | 3.75% | 11 Dec 25 | -25bp | Federal Reserve |
| EUR | 2.50% | 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 | 2.75% | 03 Sep 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) |
| 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%
| Meeting | Date | Implied | Cum bp | Hikes | This mtg | Cut | Hold | Hike |
|---|---|---|---|---|---|---|---|---|
| Oct-2026 | 28 Oct | 4.030% | +40bp | 1.60 | +40.0bp | 0% | 0% | 100% |
| Dec-2026 | 09 Dec | 4.230% | +60bp | 2.40 | +20.0bp | 0% | 20% | 80% |
| Jan-2027 | 27 Jan | 4.315% | +68bp | 2.74 | +8.5bp | 0% | 66% | 34% |
| Mar-2027 | 17 Mar | 4.480% | +85bp | 3.40 | +16.5bp | 0% | 34% | 66% |
| Apr-2027 | 28 Apr | 4.545% | +92bp | 3.66 | +6.5bp | 0% | 74% | 26% |
| Jun-2027 | 09 Jun | 4.625% | +100bp | 3.98 | +8.0bp | 0% | 68% | 32% |
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 | 0.8256 | 0.8173 | -82.5 | -3.995% | 01 Aug |
| USDJPY* | 157.84 | 156.67 | -117.7 | -2.983% | 16 Sep |
| USDSEK | 9.8496 | 9.8003 | -493.0 | -2.002% | 01 Aug |
| USDCAD | 1.4011 | 1.3952 | -59.3 | -1.693% | 01 Aug |
| AUDUSD | 0.7123 | 0.7113 | -9.2 | -0.514% | 01 Aug |
| GBPUSD* | 1.3344 | 1.3352 | +8.6 | +0.257% | 16 Sep |
| USDNOK | 9.4301 | 9.4423 | +121.4 | +0.515% | 01 Aug |
| NZDUSD | 0.5711 | 0.5726 | +14.3 | +1.003% | 01 Aug |
| EURUSD* | 1.1463 | 1.1507 | +44.1 | +1.541% | 16 Sep |
Volatility, positioning and EMlive vol and positioning →
CFTC as of 08 Sep 2026.
| Ccy | Net spec | z | Δz 1w | Side |
|---|---|---|---|---|
| CHF | -13,440 | -1.96σ | -0.66 | short |
| EUR | -33,285 | -1.15σ | +0.15 | short |
| ZAR | 354 | -0.69σ | -0.65 | long |
| NZD | -17,350 | -0.35σ | +0.44 | short |
| CAD | -55,448 | +0.29σ | +0.71 | short |
| GBP | 34,627 | +0.56σ | -0.72 | long |
| AUD | 49,779 | +0.66σ | +0.00 | long |
| JPY | -49,098 | +0.89σ | +2.60 | short |
| MXN | 82,101 | +2.44σ | +0.67 | long |
| BRL | 24,871 | +2.53σ | +1.29 | long |
EM levels and risk
| Pair | Spot | 1d % | Move / σ | 20D RV | RV %ile |
|---|---|---|---|---|---|
| USDMXN | 17.1753 | -0.38% | -1.13σ | 5.29 | 24 |
| USDBRL | 5.1301 | -0.40% | -0.79σ | 8.08 | 10 |
| USDZAR | 16.2675 | -0.66% | -1.28σ | 8.26 | 34 |
| USDTRY | 48.78 | +0.23% | +1.55σ | 2.39 | 96 |
| USDPLN | 3.8056 | +0.17% | +0.43σ | 6.50 | 48 |
| USDINR | 95.87 | -0.27% | -0.35σ | 12.37 | 95 |
| USDIDR | 17,735.00 | +0.10% | +0.29σ | 5.24 | 54 |
| USDCNY | 6.6883 | -0.26% | — | 1.14 | 13 |
| USDHUF | 317.76 | -0.10% | -0.15σ | 10.46 | 65 |
| USDCZK | 21.24 | +0.21% | +0.72σ | 4.58 | 5 |
Directional bias — the quantamental modelthe live directional model →
The model is most constructive on NOK (+2.84) and least on CHF (-0.88), 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
Expected session range from 20-day realised vol, ±1σ
| Pair | Spot | Low | High |
|---|---|---|---|
| EURUSD | 1.1463 | 1.1436 | 1.1489 |
| GBPUSD | 1.3344 | 1.3311 | 1.3376 |
| USDJPY | 157.84 | 156.65 | 159.04 |
| USDCHF | 0.8256 | 0.8230 | 0.8282 |
| AUDUSD | 0.7123 | 0.7095 | 0.7150 |
| NZDUSD | 0.5711 | 0.5690 | 0.5733 |
| USDCAD | 1.4011 | 1.3973 | 1.4049 |
| USDNOK | 9.4301 | 9.3939 | 9.4664 |
| USDSEK | 9.8496 | 9.8019 | 9.8973 |
| EURJPY | 180.93 | 179.78 | 182.08 |
Omitted from this issue
- policy_ccy — no in-budget policy rate: INR
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