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G10 and EM · 28 Oct 2026

Built 28 Oct 12:07 UTC · daily closes to 28 Oct · day ahead runs from 28 Oct 12:30 UTC

spot close28 Octrates read27 Octpolicy read05 AugCOT report20 Octforwards read01 Augcomposite built28 Octfactors7/7 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 NZDUSD, -1.51%, leaving the NZD weaker against the dollar. Realised volatility is middling by the majors' own standards: half of them sit below the 36th percentile of their past year, and half above. The next scheduled risk is GBP Annual Budget Release at Wed 12:30 UTC, with 12 other high-impact releases scheduled.

NZDUSD -1.51%, 3.0σ of its 20D RV — the session's largest risk-adjusted move.
The Δ2Y differential explains little of the cross-section (R² 0.25, n 8, 26 Oct–27 Oct). USDCHF is the widest Δ-model residual at 0.38pp — a different quantity from the fair-value residual z in the levels table.
Oct-2026 (28 Oct) priced 90% hold / 10% hike, implied 3.905%.

The overnight and the dollarlive rates and vol →

Over the last 2026-10-27; 24h change · 70h spark; 24h change · 72h spark, BTC +2.01% and VIX -2.28% bracket the tape; US 5Y -2bp.

Δspot vs Δ2Y differential · 26 Oct–27 Oct — not this session · 26 Oct–27 Oct; the rate legs publish after the spot close, so this is the most recent window in which the differential actually moved — not 28 Oct.

Cross-asset returns, 2026-10-27; 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, 2026-10-27; 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	1.1131	-0.38%	-1.39σ	4.40	46	-1.7%	-1.34	-1.63
GBPUSD	1.3286	-0.44%	-1.39σ	5.01	19	-0.9%	-0.77	+0.27
USDJPY	157.85	+0.20%	+0.64σ	5.08	23	-2.0%	-1.14	+2.80
USDCHF	0.8300	+0.30%	+0.83σ	5.69	25	+0.5%	-0.42	+4.49
AUDUSD	0.7029	+0.14%	+0.35σ	6.16	36	+5.2%	+1.22	+0.26
NZDUSD	0.5602	-1.51%	-3.01σ	7.98	53	-2.0%	-0.60	-0.73
USDCAD	1.4051	+0.27%	+1.06σ	4.09	51	+0.3%	-0.16	+1.31
USDNOK	9.3222	+0.12%	+0.49σ	3.80	0	—	—	—
USDSEK	9.9396	-0.14%	-0.44σ	4.88	0	—	—	—
EURJPY	175.70	-0.18%	-0.49σ	5.90	56	-4.0%	-2.03	+1.17

Overnight headlinesthe live macro news feed →

25 items scanned; times UTC. Currency tags are the legs each headline names.
UTC	Headline	Touches
10:09	Heads up: UK autumn budget puts Healey to the test as gilt markets await fiscal reassurance	GBP
08:46	Qatari mediators presented Iran with new draft deal; Iran's response expected by the end of the week
07:46	Germany's trade struggles with China set to put Asia-Pacific deficit on course for record high
07:36	What are the main events for today?
07:00	Germany consumer sentiment remains weak ahead of November as inflation fears cloud recovery outlook
04:15	European markets brace for Fed decision as hot Australia CPI, RBNZ surprise and oil rally stir nerves	USD AUD NZD
03:18	investingLive Asia-Pacific market news: Hawkish RBA, surprise RBNZ hold lift AUD/NZD	AUD NZD
00:52	Australia trimmed mean CPI rises to 3.7%, above forecasts, as RBA hike case firms	AUD

Policy and rateslive curves and fair value →

+70bp 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	3.905%	+2bp	0.10	+2.5bp	0%	90%	10%
Dec-2026	09 Dec	4.125%	+24bp	0.98	+22.0bp	0%	12%	88%
Jan-2027	27 Jan	4.220%	+34bp	1.36	+9.5bp	0%	62%	38%
Mar-2027	17 Mar	4.395%	+52bp	2.06	+17.5bp	0%	30%	70%
Apr-2027	28 Apr	4.480%	+60bp	2.40	+8.5bp	0%	66%	34%
Jun-2027	09 Jun	4.585%	+70bp	2.82	+10.5bp	0%	58%	42%

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	0.8300	0.8216	-84.0	-4.050%	01 Sep
USDJPY*	157.85	156.75	-110.3	-2.795%	26 Oct
USDSEK	9.9396	9.8877	-518.5	-2.087%	01 Sep
USDCAD	1.4051	1.3991	-59.9	-1.705%	01 Sep
AUDUSD	0.7029	0.7021	-8.0	-0.455%	01 Aug
GBPUSD*	1.3286	1.3297	+10.4	+0.314%	26 Oct
USDNOK	9.3222	9.3395	+173.0	+0.742%	01 Sep
NZDUSD	0.5602	0.5615	+12.8	+0.913%	01 Sep
EURUSD*	1.1131	1.1175	+44.5	+1.600%	26 Oct

Volatility, positioning and EMlive vol and positioning →

CFTC as of 20 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	-68,840	-1.80σ	-0.02	short
CHF	-13,607	-1.43σ	+0.24	short
CAD	-91,113	-1.42σ	-0.15	short
NZD	-19,280	-0.47σ	-0.75	short
GBP	24,104	-0.15σ	+1.11	long
MXN	63,814	+0.45σ	+0.02	long
AUD	52,497	+0.56σ	+0.08	long
ZAR	4,888	+0.95σ	+0.14	long
BRL	18,677	+1.34σ	-1.19	long
JPY	-22,890	+1.41σ	+0.39	short

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	18.6509	+0.54%	+0.75σ	11.45	84
USDBRL	5.3489	-0.44%	-0.20σ	34.85	100
USDZAR	16.6540	+0.13%	+0.23σ	9.09	40
USDTRY	49.83	+0.10%	—	1.25	35
USDPLN	3.9615	+0.57%	+1.28σ	7.11	64
USDINR	95.22	+0.03%	+0.09σ	6.15	49
USDIDR	18,175.00	+0.17%	+0.44σ	6.14	66
USDCNY	6.6553	-0.22%	—	1.15	25
USDHUF	329.82	+0.50%	+1.05σ	7.58	23
USDCZK	21.90	+0.56%	+1.45σ	6.12	69

Directional bias — the quantamental modelthe live directional model →

The model is most constructive on NOK (+2.77) and least on CHF (-0.96), 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. 34 events at all impact levels in window.
When	Ccy	Release	Cons.	Prev.	Impact
Wed 12:30	GBP	Annual Budget Release	—	—	HIGH
Wed 12:30	GBP	Autumn Forecast Statement	—	—	MEDI
Wed 13:45	CAD	BOC Monetary Policy Report	—	—	HIGH
Wed 13:45	CAD	BOC Rate Statement	—	—	HIGH
Wed 13:45	CAD	Overnight Rate	2.50%	2.25%	HIGH
Wed 14:30	CAD	BOC Press Conference	—	—	HIGH
Wed 18:00	USD	Federal Funds Rate	4.00%	4.00%	HIGH
Wed 18:00	USD	FOMC Statement	—	—	HIGH
Wed 18:30	USD	FOMC Press Conference	—	—	HIGH
Thu 12:30	USD	Advance GDP q/q	3.2%	1.5%	HIGH
Thu 12:30	USD	Core PCE Price Index m/m	0.3%	0.2%	HIGH
Thu 12:30	USD	Advance GDP Price Index q/q	3.2%	6.2%	MEDI
Thu 12:30	USD	Unemployment Claims	198K	194K	MEDI
Thu 13:15	EUR	Main Refinancing Rate	2.65%	2.65%	HIGH
Thu 13:15	EUR	Monetary Policy Statement	—	—	HIGH
Thu 13:45	EUR	ECB Press Conference	—	—	HIGH

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	1.1131	1.1100	1.1162
GBPUSD	1.3286	1.3244	1.3328
USDJPY	157.85	157.34	158.36
USDCHF	0.8300	0.8270	0.8330
AUDUSD	0.7029	0.7002	0.7056
NZDUSD	0.5602	0.5574	0.5630
USDCAD	1.4051	1.4015	1.4087
USDNOK	9.3222	9.2998	9.3445
USDSEK	9.9396	9.9090	9.9701
EURJPY	175.70	175.05	176.35

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

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