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G10 and EM · 25 Sep 2026

Built 25 Sep 12:07 UTC · daily closes to 25 Sep · day ahead runs from 25 Sep 14:00 UTC

spot close25 Seprates read23 Seppolicy read16 JunCOT report15 Sepforwards read01 Augcomposite built25 Sepfactors7/7 live

The dollar gained against 5 of the 9 developed-market currencies we track (crosses such as EURJPY carry no dollar leg and are excluded). Weighted, the move was the other way: the DXY-weighted basket, close to close fell 0.09%, driven by EUR, whose 58% index weight outruns the head-count. The largest move was in USDCHF, +0.51%, leaving the CHF weaker against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 37th percentile of their past year, and half above.

USDCHF +0.51%, 1.4σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains little of the cross-section (R² 0.04, n 8, against the textbook sign, 22 Sep–23 Sep). USDCAD is the widest Δ-model residual at 0.23pp — a different quantity from the fair-value residual z in the levels table.
3 books beyond 2σ: CHF -2.13, MXN +2.85, JPY +3.73; CHF extended its short by 0.31σ on the week.
Oct-2026 (28 Oct) priced 32% hold / 68% hike, implied 4.050%.

The overnight and the dollarlive rates and vol →

Over the last 2026-09-23; 2026-09-24; 24h change · 70h spark; 24h change · 72h spark, VIX +5.73% and Brent -6.21% bracket the tape; US 30Y +17bp.

Δspot vs Δ2Y differential · 22 Sep–23 Sep — not this session · 22 Sep–23 Sep; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 25 Sep.

Cross-asset returns, 2026-09-23; 2026-09-24; 24h change · 70h spark; 24h change · 72h spark · Rolling 24h off hourly bars — not the close-to-close window of the levels table below.

US Treasury yields, 2026-09-23; 2026-09-24; 24h change · 70h spark; 24h change · 72h spark

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	1.1400	+0.16%	+0.60σ	4.21	30	-0.5%	-0.34	-1.56
GBPUSD	1.3244	+0.02%	+0.07σ	4.49	10	+1.4%	+0.69	-0.07
USDJPY	157.84	-0.27%	-0.37σ	11.65	94	-3.8%	-2.02	+3.00
USDCHF	0.8292	+0.51%	+1.45σ	5.55	15	+0.0%	-0.75	+4.48
AUDUSD	0.7033	-0.02%	-0.04σ	6.32	40	+4.5%	+1.44	+0.25
NZDUSD	0.5669	-0.09%	-0.24σ	5.99	11	+1.4%	+0.91	-0.99
USDCAD	1.4140	+0.25%	+0.96σ	4.16	60	-0.8%	-1.08	+1.45
USDNOK	9.5096	+0.28%	+0.75σ	5.91	15	—	—	—
USDSEK	9.9055	-0.10%	-0.20σ	7.71	37	—	—	—
EURJPY	179.93	-0.11%	-0.19σ	9.43	98	-4.0%	-2.21	+1.43

Overnight headlinesthe live macro news feed →

25 items scanned; times UTC. Currency tags are the legs each headline names.
UTC	Headline	Touches
07:00	Spain Q2 GDP confirmed at 0.7% as domestic demand keeps growth resilient
06:28	What are the main events for today?
06:00	German consumer climate darkens ahead of October as higher energy costs bite	EUR
05:00	Trump-Xi summit extends the trade truce but leaves the biggest market questions unresolved
04:28	US Treasury yields continue to break higher - is 6% now in play?	USD
03:38	investingLive Asia-Pacific market news: Iran offers seven-day Hormuz dea
02:25	Recession signal flashes on Oxford Economics' US indicator, but spending shows no sign of cracking
22:14	China shuts for Mid-Autumn Festival holiday today, a preview of the week-long National Day gap to come

Policy and rateslive curves and fair value →

+86bp priced between now and 09 Jun.

Fed funds, implied path

Developed markets

Ccy	Policy rate	Set on	Last move	Central bank
USD	4.00%	17 Sep 26	+25bp	Federal Reserve
EUR	2.50%	16 Sep 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	13.75%	17 Sep 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 3.88%

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
Oct-2026	28 Oct	4.050%	+17bp	0.68	+17.0bp	0%	32%	68%
Dec-2026	09 Dec	4.265%	+38bp	1.54	+21.5bp	0%	14%	86%
Jan-2027	27 Jan	4.375%	+50bp	1.98	+11.0bp	0%	56%	44%
Mar-2027	17 Mar	4.550%	+67bp	2.68	+17.5bp	0%	30%	70%
Apr-2027	28 Apr	4.640%	+76bp	3.04	+9.0bp	0%	64%	36%
Jun-2027	09 Jun	4.740%	+86bp	3.44	+10.0bp	0%	60%	40%

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	0.8292	0.8208	-83.8	-4.044%	01 Aug
USDJPY*	157.84	156.64	-119.7	-3.032%	18 Sep
USDSEK	9.9055	9.8547	-507.9	-2.051%	01 Aug
USDCAD	1.4140	1.4079	-61.6	-1.742%	01 Aug
AUDUSD	0.7033	0.7025	-8.2	-0.465%	01 Aug
GBPUSD*	1.3244	1.3254	+10.2	+0.307%	23 Sep
USDNOK	9.5096	9.5207	+110.6	+0.465%	01 Aug
NZDUSD	0.5669	0.5684	+14.9	+1.052%	01 Aug
EURUSD*	1.1400	1.1445	+45.3	+1.590%	23 Sep

Volatility, positioning and EMlive vol and positioning →

CFTC as of 15 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
CHF	-14,964	-2.13σ	-0.31	short
EUR	-28,156	-0.96σ	+0.15	short
GBP	18,878	-0.77σ	-1.33	long
ZAR	3,542	+0.56σ	+1.25	long
NZD	-1,766	+1.02σ	+1.37	short
AUD	61,135	+1.06σ	+0.45	long
CAD	-39,022	+1.14σ	+0.86	short
BRL	16,105	+1.25σ	-1.29	long
MXN	90,008	+2.85σ	+0.65	long
JPY	23,170	+3.73σ	+3.03	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	17.6719	+0.74%	+1.56σ	7.60	69
USDBRL	5.1836	+0.37%	+0.67σ	8.87	18
USDZAR	16.3172	-0.31%	-0.54σ	9.08	46
USDTRY	48.96	+0.22%	+1.75σ	2.03	90
USDPLN	3.8368	-0.19%	-0.40σ	7.63	72
USDINR	95.81	+0.07%	+0.21σ	5.72	42
USDIDR	17,890.00	+0.30%	+0.99σ	4.73	46
USDCNY	6.7037	-0.11%	—	1.17	18
USDHUF	319.59	-0.30%	-0.40σ	11.85	80
USDCZK	21.35	-0.44%	-1.27σ	5.52	49

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.87) and least on CHF (-0.92), 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. 7 events at all impact levels in window.
When	Ccy	Release	Cons.	Prev.	Impact
Fri 14:00	USD	Revised UoM Consumer Sentiment	47.4	47.8	MEDI
Fri 14:00	USD	Revised UoM Inflation Expectations	—	4.6%	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	1.1400	1.1370	1.1430
GBPUSD	1.3244	1.3207	1.3282
USDJPY	157.84	156.68	158.99
USDCHF	0.8292	0.8263	0.8321
AUDUSD	0.7033	0.7005	0.7061
NZDUSD	0.5669	0.5648	0.5691
USDCAD	1.4140	1.4103	1.4177
USDNOK	9.5096	9.4742	9.5450
USDSEK	9.9055	9.8574	9.9536
EURJPY	179.93	178.86	181.00

Omitted from this issue

policy_ccy — no in-budget policy rate: INR

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