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FX Daily

G10 and EM · 29 Sep 2026

Built 29 Sep 14:51 UTC · daily closes to 29 Sep · day ahead runs from 30 Sep 01:30 UTC

spot close29 Seprates read28 Seppolicy read05 AugCOT report22 Sepforwards read01 Augcomposite built29 Sepfactors7/7 live

The dollar gained against 8 of the 9 developed-market currencies we track (crosses such as EURJPY carry no dollar leg and are excluded). The largest move was in USDNOK, +0.68%, leaving the NOK weaker against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 27th percentile of their past year, and half above. The next scheduled risk is AUD CPI m/m at Wed 01:30 UTC, with 4 other high-impact releases scheduled.

USDNOK +0.68%, 1.8σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains a minority of the cross-section (R² 0.28, n 8, 25 Sep–28 Sep). USDJPY is the widest Δ-model residual at 0.53pp — a different quantity from the fair-value residual z in the levels table.
2 books beyond 2σ: CHF -2.26, JPY +2.78; CHF extended its short by 0.29σ 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; 2026-09-28; 24h change · 70h spark; 24h change · 72h spark, VIX +4.34% and WTI -3.80% bracket the tape; US 30Y +17bp.

Δspot vs Δ2Y differential · 25 Sep–28 Sep — not this session · 25 Sep–28 Sep; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 29 Sep.

Cross-asset returns, 2026-09-23; 2026-09-28; 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; 2026-09-28; 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	1.1344	-0.30%	-1.31σ	3.59	6	-1.2%	-0.90	-1.54
GBPUSD	1.3223	-0.05%	-0.17σ	4.41	10	+0.1%	-0.11	+0.08
USDJPY	157.40	-0.04%	-0.05σ	11.88	95	-2.1%	-1.37	+2.83
USDCHF	0.8343	+0.55%	+1.65σ	5.30	8	+0.3%	-0.41	+4.46
AUDUSD	0.6990	-0.28%	-0.71σ	6.24	38	+3.8%	+1.19	+0.25
NZDUSD	0.5641	-0.18%	-0.50σ	5.78	8	-0.7%	-0.01	-0.83
USDCAD	1.4186	+0.22%	+0.94σ	3.76	40	-0.0%	-0.32	+1.43
USDNOK	9.5861	+0.68%	+1.80σ	6.03	18	—	—	—
USDSEK	9.9931	+0.60%	+1.36σ	7.02	27	—	—	—
EURJPY	178.56	-0.34%	-0.54σ	9.85	100	-3.3%	-1.89	+1.29

Overnight headlinesthe live macro news feed →

25 items scanned; times UTC. Currency tags are the legs each headline names.
UTC	Headline	Touches
14:09	JOLTS job openings 7.079M vs 7.225M estimate
14:00	Sept US consumer confidence 81.9 vs 89.2 expected
13:00	US July CaseShiller 20-city house price index +2.5% vs 2.2% expected
12:30	Canada July GDP 0.0% vs 0.0% expected	CAD
12:04	Oil prices dip as Trump backs potential Russia sanctions relief
11:40	investingLive European news wrap: US-Iran talks keep markets tentatively optimistic
09:19	Euro area economic sentiment slips in September as inflation expectations rise	EUR
07:01	Spain inflation climbs to near 5%, the highest in over three years

Policy and rateslive curves and fair value →

+88bp 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%	10 Sep 26	+25bp	ECB
GBP	3.75%	18 Dec 25	-25bp	Bank of England
JPY	1.25%	18 Sep 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
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)
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 3.88%

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	4.275%	+40bp	1.58	+22.5bp	0%	10%	90%
Jan-2027	27 Jan	4.390%	+51bp	2.04	+11.5bp	0%	54%	46%
Mar-2027	17 Mar	4.575%	+70bp	2.78	+18.5bp	0%	26%	74%
Apr-2027	28 Apr	4.665%	+78bp	3.14	+9.0bp	0%	64%	36%
Jun-2027	09 Jun	4.765%	+88bp	3.54	+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	0.8343	0.8258	-85.2	-4.083%	01 Aug
USDJPY*	157.40	156.29	-111.1	-2.824%	25 Sep
USDSEK	9.9931	9.9409	-522.3	-2.091%	01 Aug
USDCAD	1.4186	1.4123	-63.2	-1.782%	01 Aug
AUDUSD	0.6990	0.6982	-7.4	-0.425%	01 Aug
GBPUSD*	1.3223	1.3235	+11.5	+0.347%	25 Sep
USDNOK	9.5861	9.5963	+102.0	+0.426%	01 Aug
NZDUSD	0.5641	0.5657	+15.4	+1.092%	01 Aug
EURUSD*	1.1344	1.1391	+46.2	+1.630%	25 Sep

Volatility, positioning and EMlive vol and positioning →

CFTC as of 22 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	-16,457	-2.26σ	-0.29	short
GBP	13,239	-1.21σ	-0.47	long
EUR	-26,694	-0.88σ	+0.04	short
ZAR	3,745	+0.64σ	+0.08	long
CAD	-46,861	+0.72σ	-0.41	short
NZD	-4,787	+0.76σ	-0.27	short
AUD	58,726	+0.94σ	-0.10	long
BRL	14,917	+1.09σ	-0.18	long
MXN	79,188	+1.88σ	-0.88	long
JPY	7,423	+2.78σ	-0.61	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 USDTRY, 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	17.9755	+1.28%	+2.32σ	8.74	77
USDBRL	5.2150	+0.53%	+0.95σ	8.88	18
USDZAR	16.4255	+0.51%	+0.97σ	8.44	37
USDTRY	48.98	+0.03%	—	1.24	31
USDPLN	3.8548	+0.35%	+0.80σ	6.94	62
USDINR	95.97	+0.19%	+0.50σ	6.00	48
USDIDR	17,993.00	+0.24%	+0.35σ	10.77	90
USDCNY	6.6967	-0.24%	—	1.37	23
USDHUF	323.62	+1.10%	+1.44σ	12.13	81
USDCZK	21.53	+0.64%	+1.97σ	5.14	26

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.87) and least on CHF (-0.99), 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. 52 events at all impact levels in window.
When	Ccy	Release	Cons.	Prev.	Impact
Wed 01:30	AUD	CPI m/m	0.5%	1.0%	HIGH
Wed 01:30	AUD	CPI y/y	4.1%	3.5%	HIGH
Wed 01:30	AUD	Trimmed Mean CPI m/m	0.3%	0.5%	HIGH
Wed 06:29	EUR	German Prelim CPI m/m	0.5%	0.2%	MEDI
Wed 12:15	USD	ADP Non-Farm Employment Change	73K	38K	MEDI
Wed 12:30	USD	Core PCE Price Index m/m	0.3%	0.2%	HIGH
Wed 12:30	USD	Final GDP q/q	1.5%	1.5%	HIGH
Wed 12:30	USD	Final GDP Price Index q/q	6.4%	6.4%	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	1.1344	1.1319	1.1370
GBPUSD	1.3223	1.3186	1.3260
USDJPY	157.40	156.22	158.58
USDCHF	0.8343	0.8315	0.8371
AUDUSD	0.6990	0.6962	0.7017
NZDUSD	0.5641	0.5621	0.5662
USDCAD	1.4186	1.4153	1.4220
USDNOK	9.5861	9.5497	9.6225
USDSEK	9.9931	9.9489	10.0373
EURJPY	178.56	177.45	179.67

Omitted from this issue

policy_ccy — no in-budget policy rate: NOK

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