Chart: FedWatch: Next FOMC Meeting Probabilities#
Market-implied probabilities of the next FOMC rate decision from 30-Day Fed Funds futures
Chart#
Sources: CME Group
FedWatch: Next FOMC Meeting Probabilities#
Probability of each fed funds target-range outcome at the next scheduled FOMC meeting, implied by 30-Day Fed Funds futures (ZQ) prices. This replicates the simplest case of the CME FedWatch tool.
Method. A ZQ contract settles at 100 minus the calendar-day average EFFR over its month. The latest realized EFFR print (published by the New York Fed) pins the pre-meeting rate r_pre. (The published tool reads that rate from the futures contract for the nearest month with no FOMC meeting instead.) The meeting-month contract prices a day-weighted average, r_avg = (d/N)·r_pre + ((N−d)/N)·r_post, where the meeting ends on day d of an N-day month; solving gives the expected post-meeting rate r_post. Assuming the only outcomes are “no change” and a single 25 bp move, P(move) = |r_post − r_pre| / 0.25.
Caveats. When the meeting falls in the last few days of a month, the next month’s contract is read directly instead (as FedWatch does); for a day or two after each decision the EFFR anchor may not yet reflect the new target; multi-meeting probability trees and moves larger than 25 bps are out of scope. See the notebook Replicating the CME FedWatch Tool for the full derivation.
Chart Specs#
Chart Name |
FedWatch: Next FOMC Meeting Probabilities |
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Chart ID |
fedwatch_latest_forecast |
Tags |
Monetary Policy, Futures, Fedwatch |
Data Series Start Date |
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Data Frequency |
Daily |
Observation Period |
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Lag in Data Release |
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Data Release Timing |
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Seasonal Adjustment |
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Units |
Probability (%) |
HTML Chart |
Dataframe Manifest#
Dataframe Name |
30-Day Fed Funds Futures |
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Dataframe ID |
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Sources |
CME Group |
Providers |
Databento |
Provider Links |
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Tags |
Federal Funds, Futures, Monetary Policy |
Access Types |
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How is data pulled? |
Databento Historical API |
Data available up to (min) |
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Data available up to (max) |
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Dataframe Path |
/Users/aarbitman/Desktop/Data Pipelines for Quantitative Research/hw2-aarbitman1228/_data/fed_funds_futures.parquet |
Linked Charts:
Pipeline Manifest#
Pipeline Name |
HW 2: The Yield Curve and the Policy Path |
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Pipeline ID |
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Maintainer |
Jeremiah Bejarano |
Contributors |
Jeremiah Bejarano |
Repository |
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Pipeline Web Page |
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Date of Last Code Update |
2026-10-26 12:51:03 |
OS Compatibility |
Windows, Linux, macOS |
Linked Dataframes |
hw2:crsp_treasury_consolidated |
Build Commands:
doit