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G10 and EM · 21 Oct 2026

Built 21 Oct 12:07 UTC · daily closes to 21 Oct · day ahead runs from 21 Oct 13:00 UTC

spot close21 Octrates read20 Octpolicy read05 AugCOT report13 Octforwards read01 Augcomposite built21 Octfactors7/7 live

The dollar lost ground to 9 of the 9 developed-market currencies we track (crosses such as EURJPY carry no dollar leg and are excluded). The largest move was in AUDUSD, +0.76%, leaving the AUD stronger against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 38th percentile of their past year, and half above. The next scheduled risk is NZD CPI q/q at Wed 21:45 UTC.

USDNOK -0.70%, 2.0σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains little of the cross-section (R² 0.07, n 8, against the textbook sign, 19 Oct–20 Oct). USDJPY is the widest Δ-model residual at 0.35pp — a different quantity from the fair-value residual z in the levels table.
1 book beyond 2σ: BRL +2.60.
Oct-2026 (28 Oct) priced 84% hold / 16% hike, implied 3.920%.

The overnight and the dollarlive rates and vol →

Over the last 2026-10-20; 24h change · 70h spark; 24h change · 72h spark, BTC +2.38% and WTI -2.09% bracket the tape; US 5Y +5bp.

Δspot vs Δ2Y differential · 19 Oct–20 Oct — not this session · 19 Oct–20 Oct; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 21 Oct.

Cross-asset returns, 2026-10-20; 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, 2026-10-20; 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	1.1237	+0.19%	+0.66σ	4.59	54	-0.1%	-0.08	-1.71
GBPUSD	1.3399	+0.68%	+1.88σ	5.78	47	+1.5%	+0.75	+0.04
USDJPY	157.90	-0.39%	-1.28σ	4.90	21	-2.5%	-1.47	+2.87
USDCHF	0.8242	-0.33%	-0.94σ	5.50	21	-0.5%	-1.12	+4.54
AUDUSD	0.7036	+0.76%	+1.54σ	7.82	65	+5.8%	+1.64	+0.14
NZDUSD	0.5693	+0.48%	+1.17σ	6.57	23	+0.2%	+0.42	-0.81
USDCAD	1.4046	-0.42%	-1.54σ	4.35	73	-0.5%	-1.11	+1.44
USDNOK	9.3558	-0.70%	-2.00σ	5.58	16	—	—	—
USDSEK	9.8823	-0.37%	-1.00σ	5.92	18	—	—	—
EURJPY	177.43	-0.20%	-0.62σ	5.24	38	-2.8%	-1.51	+1.16

Overnight headlinesthe live macro news feed →

25 items scanned; times UTC. Currency tags are the legs each headline names.
UTC	Headline	Touches
11:46	investingLive European news wrap: Markets remain cautiously optimistic
09:11	European markets steady for now but widening bond yield spreads offer a warning
06:41	What are the main events for today?
06:00	UK September CPI inflation rises to 3.5%, reinforces BOE November rate hike expectations	GBP
04:21	Heads up: UK September CPI inflation report due today, BOE rate hike for November almost fully priced in	GBP
03:36	investingLive Asia-Pacific market news: RBA’s Hauser puts November hike in play	AUD
01:20	US intel says Putin ordered NATO sabotage drive, Leipzig drone attack an opening shot
00:31	Japan exports rise 16.7% for 13th straight month on AI chip demand, trade gap narrows	JPY

Policy and rateslive curves and fair value →

+73bp 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	4.60%	30 Sep 26	+25bp	RBA
NZD	2.75%	03 Sep 26	+25bp	RBNZ
CAD	2.25%	30 Oct 25	-25bp	Bank of Canada
NOK	4.50%	25 Sep 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%	—	—	PBoC
BRL	13.75%	17 Sep 26	-25bp	BCB (Brazil)
MXN	6.50%	08 May 26	-25bp	Banxico
ZAR	7.25%	25 Sep 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	3.920%	+4bp	0.16	+4.0bp	0%	84%	16%
Dec-2026	09 Dec	4.150%	+27bp	1.08	+23.0bp	0%	8%	92%
Jan-2027	27 Jan	4.245%	+36bp	1.46	+9.5bp	0%	62%	38%
Mar-2027	17 Mar	4.425%	+54bp	2.18	+18.0bp	0%	28%	72%
Apr-2027	28 Apr	4.510%	+63bp	2.52	+8.5bp	0%	66%	34%
Jun-2027	09 Jun	4.610%	+73bp	2.92	+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	0.8242	0.8157	-84.5	-4.099%	01 Sep
USDJPY*	157.90	156.78	-112.3	-2.844%	19 Oct
USDSEK	9.8823	9.8295	-527.7	-2.136%	01 Sep
USDCAD	1.4046	1.3984	-61.6	-1.754%	01 Sep
AUDUSD	0.7036	0.7029	-7.1	-0.405%	01 Aug
GBPUSD*	1.3399	1.3412	+12.2	+0.363%	19 Oct
USDNOK	9.3558	9.3720	+162.1	+0.693%	01 Sep
NZDUSD	0.5693	0.5707	+13.7	+0.962%	01 Sep
EURUSD*	1.1237	1.1284	+46.4	+1.650%	19 Oct

Volatility, positioning and EMlive vol and positioning →

CFTC as of 13 Oct 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
EUR	-68,001	-1.88σ	-0.67	short
CHF	-14,941	-1.73σ	-0.65	short
CAD	-88,112	-1.33σ	-0.44	short
GBP	10,313	-1.26σ	-0.17	long
NZD	-11,619	+0.22σ	-1.02	short
MXN	63,564	+0.46σ	-0.95	long
AUD	50,591	+0.51σ	-0.15	long
ZAR	4,548	+0.85σ	+0.06	long
JPY	-33,673	+1.06σ	-0.31	short
BRL	27,614	+2.60σ	+0.03	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 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	18.4972	+0.48%	+0.64σ	11.77	87
USDBRL	5.0274	-0.19%	-0.16σ	18.82	100
USDZAR	16.4031	-0.09%	-0.15σ	9.76	43
USDTRY	49.57	+0.01%	—	1.26	35
USDPLN	3.8841	-0.25%	-0.52σ	7.46	71
USDINR	94.45	-0.57%	-1.45σ	6.26	53
USDIDR	18,000.00	-0.23%	-0.29σ	12.63	92
USDCNY	6.6644	-0.40%	—	1.68	53
USDHUF	324.97	+0.54%	+0.91σ	9.53	42
USDCZK	21.59	-0.50%	-1.22σ	6.51	73

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.79) and least on CHF (-0.87), 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
Wed 13:00	GBP	BOE Gov Bailey Speaks	—	—	MEDI
Wed 21:45	NZD	CPI q/q	0.8%	1.5%	HIGH
Thu 12:30	USD	Unemployment Claims	200K	199K	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	1.1237	1.1205	1.1270
GBPUSD	1.3399	1.3351	1.3448
USDJPY	157.90	157.41	158.39
USDCHF	0.8242	0.8213	0.8270
AUDUSD	0.7036	0.7001	0.7070
NZDUSD	0.5693	0.5670	0.5717
USDCAD	1.4046	1.4007	1.4084
USDNOK	9.3558	9.3229	9.3887
USDSEK	9.8823	9.8455	9.9192
EURJPY	177.43	176.85	178.02

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

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