Market Probability Tracker

This tool estimates the market-implied probabilities of various ranges for the three-month average fed funds rate. Our methodology uses data on three-month Eurodollar futures, options on three-month Eurodollar futures from the Chicago Mercantile Exchange (CME), three-month LIBOR/fed funds basis swap spreads expiring in 12 months, and the Treasury yield curve.

Estimates from the four-nearest quarterly expiring contracts are updated daily using the previous day's closing prices. To illustrate changes in the market's assessment of the average fed funds rate over future three-month intervals, users can view and compare estimates from the prior six weeks for individual contracts. In this tracker we provide the path the market expects the three-month average fed funds rate to take, along with the 5th to 95th percentile region; the probability of a 25 basis point rate hike or cut for the three-month interval starting on the contract's expiration date; and how likely market participants are assessing various future outcomes, distributed across a wide range of possible rates.

An overview of our approach can be found in our Notes from the Vault. For a more detailed look at the model, please refer to this paper and technical note on its implementation.

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  • Distributions

    Use the options below to change the observation date(s) and contract you'd like to view.

  • Frequently Asked Questions

    What are Eurodollars?

    Eurodollars are term deposits denominated in U.S. dollars, but they are held in foreign banks or in the foreign branches of U.S. banks. U.S. dollar LIBOR is the key benchmark rate for the Eurodollar market. It is the average interest a bank would have to pay to borrow Eurodollar deposits.

    What are Eurodollar futures and options on Eurodollar futures?

    Eurodollar futures are derivative contracts that deliver three-month Eurodollar deposits at specific dates in the future. The rate associated with a futures contract, the three-month LIBOR, is based on the market’s expectation of the cost of a three-month Eurodollar deposit once the futures contract expires and the deposit is delivered to the contract holder.

    Options on Eurodollar futures are derivative contracts that give the holder the right, but not obligation, to buy or sell Eurodollar futures expiring on (or before) a specific date for a specific price, called the strike price. The price of an option, called the option premium, is based on where