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DX · FX / Inflation Risk
Z9037 – [DX] US Dollar Inflation Expectations Shock Signal
Elevated US inflation expectations (10-year TIPS breakeven) shock z-score signals rising inflation-risk-premia that historically push the Fed toward tighter policy and support the dollar via rate-differential expansion. Compressed.
At a glance
Current reading
+0.650
Signal state
Extreme POS
77 days in Healthy phase
Phase
+0.78
Positive equals breakeven spike regime; negative equals breakeven collapse regime.
Sample
Multi-year window
Daily cadence
As of Nov 10, 2026. Updated nightly.
SIGNAL OVERVIEW
Elevated US inflation expectations (10-year TIPS breakeven) shock z-score signals rising inflation-risk-premia that historically push the Fed toward tighter policy and support the dollar via rate-differential expansion. Compressed breakeven signals deflation-risk that typically pressures the dollar via Fed accommodation. The signal takes 10-year TIPS implied inflation breakeven YoY change, z-scored against a 5-year rolling window, tanh-bounded. The empirical phase pattern (see regime table) shows Phase +1 (Breakeven spike) delivers +0.36 pp edge on 34 percent sample; Phase -1 (Breakeven collapse) delivers -0.44 pp on 33 percent sample. 0.80 pp spread via the inflation expectations breakeven shock channel.
LIVE CHART
DX US Dollar Inflation Expectations Shock Signal
What the chart is showing right now. The dark line is the US Dollar Inflation Expectations Shock composite value, tanh-bounded. The bronze line in the middle panel is ICE US Dollar Index front-month continuous close. The bottom panel tracks the trailing 252-day Spearman information coefficient.
COMPOSITE
+0.650 / tanh
STATE
Extreme POS
PHASE
+0.78
PHASE +1 EDGE
+0.36 pp
PHASE -1 EDGE
-0.44 pp
TODAY’S PLAYBOOK READING
STATE
Extreme Pos
STATE AND HISTORY
US Dollar Inflation Expectations Shock signal firing at composite +0.650, 77 trading days in current phase.
THE MECHANISM
The signal takes 10-year TIPS implied inflation breakeven YoY change, z-scored against a 5-year rolling window, tanh-bounded.
HOW TO POSITION
US Dollar Inflation Expectations Shock overlay for the US Dollar Index. Phase +1 firings reflect breakeven spike regime.
WHAT THE CHART SHOWS
The composite sits at +0.650. The dark line tracks the composite value tanh-bounded within plus or minus one; the bronze line tracks ICE US Dollar Index front-month continuous close. Positive composite reflects breakeven spike regime; negative reflects breakeven collapse.
TOP INPUTS FIRING
- Primary composite +0.650 State Extreme POS, 77 days running in current phase.
- 0.80 pp spread Phase +1 edge +0.36 pp; Phase -1 edge -0.44 pp.
THE TAKEAWAY
What this means for you today
THE CALL
Composite +0.650, current state Extreme POS.
THE EMPIRICAL CONTEXT
Phase +1 edge +0.36 pp. Phase -1 edge -0.44 pp. 0.80 pp spread.
THE HONEST CAVEAT
Breakeven blends inflation expectations with inflation-risk premium. 2008 and 2020 episodes decoupled breakeven from dollar direction. Breakeven can move on liquidity events, not just inflation views.
THE REGIME MAP
The three phases
Regime table captures phase-conditional edges on ICE US Dollar Index forward 60-day returns from live-window trading days. spread.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Breakeven spike TODAY | +1 | 34.1% (2055 d) | +0.49% | +0.36pp | Jul 2026, May 2026, Aug 2024 | |
| Normal | 0 | 32.6% (1964 d) | +0.22% | +0.09pp | Jul 2026, Apr 2026, Aug 2025 | |
| Breakeven collapse | -1 | 33.3% (2008 d) | -0.31% | -0.44pp | Oct 2025, Jul 2025, Nov 2024 |
The historical pattern
Signature episodes
THE TRACK RECORD
Every state change in the last 2 years
8 state transitions from 04/04/2025 to 11/10/2026. Full history (126 total transitions since 11/30/1990) is downloadable.
| State | Start | End | Duration | Fwd 60d DX |
|---|---|---|---|---|
| Neutral | 04/04/2025 | 07/03/2025 | 64d | +22.28% |
| Defensive | 07/04/2025 | 07/31/2025 | 20d | +5.83% |
| Neutral | 08/01/2025 | 10/15/2025 | 54d | +8.93% |
| Defensive | 10/16/2025 | 04/07/2026 | 122d | +5.23% |
| Neutral | 04/08/2026 | 05/19/2026 | 30d | +10.32% |
| Expansion | 05/20/2026 | 07/15/2026 | 41d | +4.21% |
| Neutral | 07/16/2026 | 07/24/2026 | 7d | +3.09% |
| Expansion LIVE | 07/27/2026 | current | 77d | +3.71% |
Scroll inside the table for the full history. Forward 60-day DX is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
The signal takes 10-year TIPS implied inflation breakeven YoY change, z-scored against a 5-year rolling window, tanh-bounded. Target ICE US Dollar Index front-month continuous.
Why it matters
Why US Dollar Inflation Expectations Shock matters for the US Dollar Index
Elevated US inflation expectations (10-year TIPS breakeven) shock z-score signals rising inflation-risk-premia that historically push the Fed toward tighter policy and support the dollar via rate-differential expansion. Compressed breakeven signals deflation-risk that typically pressures the dollar via Fed accommodation. Transmission is via the inflation expectations breakeven shock channel.
How to use this signal today
US Dollar Inflation Expectations Shock overlay for the US Dollar Index. Pair with companion US Dollar signals listed in Related.
Risk overlay
Three limitations. Breakeven blends inflation expectations with inflation-risk premium. 2008 and 2020 episodes decoupled breakeven from dollar direction. Breakeven can move on liquidity events, not just inflation views.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 11, 2026 01:53 PM ET