On the Manage Account Page under the Administration menu section there is a setting for "Constant Status send from/to email address".
By default Constant Status sends emails from “firstname.lastname@example.org” and also on the to line in emails on this domain and blind carbon copies (BCC) all other email recipients . You can change this setting at any time by setting the from email in the above address box. Some recipients email servers will validate the senders address to detect SPAM. It is recommended to CNAME the provided domain set to our Email Provider SendGrid.
The settings are as follows:
CNAME em6399.YOURDOMAINHERE.com TO u2600555.wl056.sendgrid.net
CNAME s1._domainkey.YOURDOMAINHERE.com TO s1.domainkey.u2600555.wl056.sendgrid.net
CNAME s2._domainkey.YOURDOMAINHERE.com TO s2.domainkey.u2600555.wl056.sendgrid.net
Here are further instructions, if needed direct from SendGrid that include the CNAME instructions for Domain Authentication.