FX Report 2026 Week 37
Executive Summary
U.S. dollar strength was broad-based against the major currencies this week, with one clear exception: the Japanese yen, which was the week’s standout performer as USD/JPY fell 1.31%. The euro, British pound, Australian dollar, Canadian dollar, and Swiss franc all softened against the dollar, led by a confirmed 0.42% decline in EUR/USD, which carried Sell-oriented technical readings across the board.
Beneath the spot move, CME derivatives activity told a more nuanced story. Futures notional trading fell by more than half between Wednesday and Friday, even as options notional activity continued to build — a pattern consistent with a shift toward optionality and hedging structures rather than outright futures positioning as the week closed. Euro options carried a persistent put lean for most of the week, Australian dollar options swung decisively toward downside puts by Thursday and Friday (coinciding with AUD/USD’s weekly decline), and British pound options carried a modest but consistent put tilt despite limited GBP spot movement and a stronger UK GDP release on Friday.
U.S. rates markets saw a marked pickup in activity during the back half of the week: SOFR and Treasury futures and options volumes roughly doubled from Tuesday-Wednesday levels to Thursday-Friday levels, and Treasury futures open interest built steadily each day. SOFR futures pricing also shifted progressively toward higher implied near-term rates over the week, with Friday recording the largest single-day move. This coincided with Thursday’s ECB rate decision and press conference and Friday’s stronger-than-expected U.S. Core CPI print, which provide relevant macro context without establishing direct causation.
1. Foreign Exchange & Options
Spot Performance
Spot price action for the week ending September 11 showed the U.S. dollar strengthening against every major currency captured except the Japanese yen. EUR/USD declined 0.42% for the week, closing at 1.15645, with Sell overall, Strong Sell moving-average, and Sell oscillator readings and a deeply negative CCI reading (-122.14) — a technically confirmed weekly decline. The move coincided with Thursday’s ECB decision to raise its Main Refinancing Rate 25 basis points to 2.65%, matching forecast; EUR/USD did not strengthen on the in-line outcome, consistent with the move having been largely anticipated. AUD/USD fell 0.65% for the week even as it remained up 7.07% year-to-date and 7.38% over one year, reflecting a near-term pullback within a longer-term uptrend. USD/CAD rose 0.28% (CAD softer) and USD/CHF rose 1.03% (CHF softer), the latter carrying Strong Buy overall and moving-average readings with RSI at 63.56 — firm but not overbought. GBP/USD was comparatively stable, down just 0.12% for the week with neutral overall, moving-average, and oscillator readings — a muted reaction even after Friday’s UK GDP m/m beat forecast (0.4% vs. 0.0%).
USD/JPY was the exception to the broad dollar-strength pattern, falling 1.31% for the week and standing out with Sell overall and Strong Sell moving-average technical readings — this week’s move extended a longer-term pattern of dollar weakness against the yen, with USD/JPY also down 3.44% over the past month and 3.94% over three months — consistent with sustained yen appreciation rather than yen weakness. RSI at 31.70 was near oversold territory on USD/JPY, while a modestly positive oscillator reading pointed to possible short-term stabilization within that broader downtrend for the pair.
Institutional Positioning: Futures & Notional Activity
CME FX futures notional trading activity built through midweek and then fell sharply into Friday: daily futures notional traded rose from roughly $291 billion on Tuesday to a weekly high of approximately $331 billion on Wednesday, before declining to $251 billion on Thursday and just $135 billion on Friday — less than half the midweek peak. The euro remained the dominant currency in futures notional throughout the week, ranging from 37.9% of daily futures notional on Friday to a peak of 50.8% on Wednesday; the Japanese yen was consistently the second-largest contributor, ranging between roughly 12.8% and 23.0% of daily futures notional.
Aggregate futures open interest, by contrast, stayed essentially stable across the week (approximately $332.7 billion on Tuesday to $333.7 billion on Friday, peaking near $337.8 billion on Wednesday), indicating that the swing in daily traded notional reflected changes in trading activity rather than a comparable swing in the underlying positioning base.
Options & Put/Call Positioning
FX options notional activity moved in the opposite direction of futures notional as the week progressed, rising from roughly $5.0 billion on Tuesday to approximately $6.2 billion by Friday — a steady build even as futures notional activity fell sharply over the same stretch. This divergence between declining futures participation and rising options participation into the week’s close is itself a notable development; it does not, on its own, indicate a directional view, but it is consistent with a shift toward options-based positioning or hedging structures rather than outright futures exposure.
Euro options carried a put-weighted skew across most of the week: put notional exceeded call notional by roughly 6.5 times on Tuesday and by nearly 3 times on Wednesday, before calls modestly outweighed puts on Thursday, then puts again outweighed calls by close to 1.7 times on Friday. Friday’s session also featured a clear expiration concentration: the single largest strike by both volume (5,968 lots) and open interest addition (6,248 lots) was a EUR put expiring the fourth week of September, positioned just above the prevailing spot level. This pattern is consistent with elevated demand for near-dated EUR downside protection rather than a directional forecast.
Australian dollar options showed a clear shift over the course of the week: call notional exceeded put notional on Tuesday and Wednesday, then reversed sharply, with put notional outweighing call notional by roughly 12 times on Thursday and by more than 2 times on Friday. This late-week tilt toward AUD downside puts coincided with AUD/USD’s 0.65% spot decline for the week, though the options data alone cannot establish that one caused the other.
British pound options carried a put-weighted skew in every session this week — a varying margin, generally more modest than the imbalances in EUR or AUD options — despite GBP/USD’s muted 0.12% weekly move and a stronger-than-expected UK GDP release on Friday (0.4% actual vs. 0.0% forecast). The lean persisting through a positive surprise reinforces that this is not a bearish signal on GBP; it is more consistent with steady, modest hedging decoupled from spot price action and headline data.
Japanese yen options were more evenly balanced across the week — alternating between modest call and modest put leans by session — despite the currency’s clear spot strength. The absence of a one-sided options skew alongside a clear directional spot move suggests two-way positioning around JPY strength rather than uniform directional conviction in the options market.
2. Rates & Macro
U.S. rates-market activity increased markedly during the second half of the reporting week. SOFR futures volume rose from roughly 3.1-3.2 million contracts on Tuesday and Wednesday to approximately 6.0 million on Thursday and 7.4 million on Friday, while SOFR options volume rose from roughly 1.1 million contracts midweek to 1.9 million on Thursday and 2.5 million on Friday. Combined SOFR futures-and-options open interest fell sharply on Friday, from roughly 56.0 million to 43.9 million contracts; this decline is attributable to the September 2026 SOFR options contract month, whose open interest dropped from approximately 12.8 million to just over 8,000 contracts between the two dates — consistent with routine expiration/settlement of that contract rather than a broad reduction in market positioning.
Treasury futures volume followed a similar late-week pattern, rising from roughly 6.2-6.3 million contracts on Tuesday and Wednesday to approximately 9.0-9.1 million on Thursday and Friday, while Treasury futures open interest built steadily and consistently each day, from about 22.74 million contracts on Tuesday to 23.09 million on Friday. Treasury options volume roughly doubled from about 1.05-1.10 million contracts midweek to approximately 2.24 million on both Thursday and Friday, with the put/call split remaining relatively balanced throughout (ranging from roughly 42% to 58% in either direction), indicating two-sided rather than one-sided participation across the Treasury options complex. On Friday specifically, 10-year Treasury note options carried the heaviest volume and open interest of any maturity, with October-expiry calls and puts both prominent among the most actively traded contracts.
On the pricing side, SOFR futures settlement levels moved progressively lower across the curve over the course of the week, which corresponds to the market pricing in modestly higher implied near-term interest rates than it had at the start of the week; the move accelerated on Friday, when several contract months recorded their largest single-day settlement change of the week. Thursday and Friday brought a cluster of high-impact releases relevant to this shift: the ECB raised its Main Refinancing Rate to 2.65% (in line with forecast, up from 2.40%) and held a press conference Thursday, U.S. Core PPI m/m came in below forecast (0.2% vs. 0.3%) the same day, and Friday brought an above-forecast U.S. Core CPI m/m (0.3% vs. 0.2%) alongside steady y/y CPI (3.4%). The timing coincides with the week’s rates-activity pickup and Friday’s repricing, though the data alone do not establish causation.
3. Cross-Market Observations
- Rates activity and dollar strength moved together. The broad-based dollar strength this week occurred alongside a sharp pickup in Treasury and SOFR trading activity, a progressive shift in SOFR futures pricing toward higher implied near-term rates, and a concentrated run of high-impact releases late in the week — Thursday’s ECB rate decision and Friday’s stronger U.S. Core CPI print. These developments are consistent with one another and occurred in the same window, though the data do not establish that any single release caused the broader moves.
- FX futures and options activity diverged into the week’s close. Futures notional trading fell by more than half between Wednesday and Friday, while options notional activity continued to build over the same period. This is a genuine divergence in market participation — not simply a lighter overall week — and is consistent with a shift toward options-based hedging or positioning as outright futures activity eased.
- AUD options positioning shifted alongside AUD spot weakness. AUD/USD’s 0.65% weekly decline coincided with a pronounced late-week shift in AUD options from a call lean (Tuesday-Wednesday) to a heavy put lean (Thursday-Friday). The timing is consistent with options activity tracking the spot move, though it cannot be established from the data that one caused the other.
- GBP options activity did not correspond to GBP spot movement. GBP/USD moved only 0.12% for the week — even after a stronger Friday GDP print — yet GBP options carried a modest but persistent put-weighted skew every session. The persistence of the options skew alongside limited spot movement illustrates a divergence between derivatives positioning and spot price action during the reporting period.
4. WFG Market & Corporate Risk Monitor
The assessments below are qualitative observations based on this week’s available market data. They are not quantitative risk scores, trading signals, or hedge recommendations.
5. What This Means for Businesses
This week’s broad-based dollar strength — against every major currency except the yen — is relevant to the USD cost of foreign-currency payables for U.S. importers, and to the USD value of foreign-currency receivables for U.S. exporters and multinational companies with EUR, GBP, AUD, CAD, or CHF revenue streams. Businesses budgeting around any of these currencies may want to revisit near-term budget-rate assumptions given the week’s move.
The divergence between falling FX futures activity and rising FX options activity, combined with the put-side skew observed in EUR, AUD, and GBP options this week, supports additional monitoring of hedge coverage for companies with material exposure to those currencies — particularly around near-dated expirations, where this week’s data showed the most concentrated activity. This observation is offered as a basis for review, not as a specific hedge-execution recommendation.
The pickup in Treasury and SOFR market activity, together with the modest upward shift in SOFR futures pricing, is most relevant to companies and corporate borrowers with floating-rate debt or upcoming financing needs tied to short-term U.S. rates. Given the timing of this activity alongside Thursday’s ECB rate decision and press conference and Friday’s stronger-than-expected U.S. Core CPI print, treasury teams may want to monitor upcoming U.S. data and Federal Reserve communications as this rate-pricing shift develops.
As always, hedge ratios, hedge horizons, and forward or options coverage should be reviewed in the context of each company’s specific currency and rate exposures, payment timing, and risk tolerance, in consultation with WFG or another qualified advisor.