Chart: FedWatch: Next FOMC Meeting Probabilities#
Market-implied probabilities of the next FOMC rate decision from 30-Day Fed Funds futures
Chart#
Sources:
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 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 |
Dataframe Manifest#
Dataframe Name |
30-Day Fed Funds Futures Daily Bars (Databento) |
|---|---|
Dataframe ID |
|
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:
Pipeline Manifest#
Pipeline Name |
Case Study - FedWatch Replication |
|---|---|
Pipeline ID |
|
Maintainer |
Jeremiah Bejarano |
Contributors |
Jeremiah Bejarano |
Repository |
|
Pipeline Web Page |
|
Date of Last Code Update |
2026-10-11 09:37:36 |
OS Compatibility |
Windows, Linux, macOS |
Linked Dataframes |
Build Commands:
doit