Sources:
``` [Full Screen Chart](../download_chart/finm-32800--case_study_fedwatch/fedwatch_latest_forecast.html) # 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](https://www.cmegroup.com/markets/interest-rates/cme-fedwatch-tool.html). **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 same anchor the published tool uses. 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 | |------------------------|------------------------------------------------------------| | Chart ID | fedwatch_latest_forecast | | Tags | Monetary Policy, Futures, Fedwatch | | Data Series Start Date | | | Data Frequency | Daily | | Observation Period | | | Lag in Data Release | | | Data Release Timing | | | Seasonal Adjustment | | | Units | Probability (%) | | HTML Chart | [HTML](../download_chart/finm-32800--case_study_fedwatch/fedwatch_latest_forecast.html) | ## Dataframe Manifest | Dataframe Name | 30-Day Fed Funds Futures Daily Bars (Databento) | |--------------------------------|--------------------------------------------------------------------------------------| | Dataframe ID | [fed_funds_futures](../dataframes/finm-32800--case_study_fedwatch/fed_funds_futures.md) | | Sources | | | Providers | | | Provider Links | | | Tags | Monetary Policy, Futures, Databento | | Access Types | | | How is data pulled? | Databento Historical API via src/pull_fed_funds_futures.py (cost-guarded) | | Data available up to (min) | | | Data available up to (max) | | | Dataframe Path | /home/runner/work/case_study_fedwatch/case_study_fedwatch/_data/fed_funds_futures.parquet | **Linked Charts:** - [finm-32800/case_study_fedwatch:fedwatch_latest_forecast](../../charts/finm-32800--case_study_fedwatch.fedwatch_latest_forecast.md) ## Pipeline Manifest | Pipeline Name | Case Study - FedWatch Replication | |---------------------------------|--------------------------------------------------------| | Pipeline ID | [finm-32800/case_study_fedwatch](../../index.md) | | Maintainer | Jeremiah Bejarano | | Contributors | Jeremiah Bejarano | | Repository | | | Pipeline Web Page | Pipeline Web Page | | Date of Last Code Update | 2026-10-11 09:37:36 | | OS Compatibility | Windows, Linux, macOS | | Linked Dataframes | [finm-32800/case_study_fedwatch:fed_funds_futures](../dataframes/finm-32800--case_study_fedwatch/fed_funds_futures.md)