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Fed funds futures

Contracts settling to the monthly average effective federal funds rate, from which the market's implied probabilities of Fed rate decisions are calculated.

Each contract covers one calendar month and settles at 100 minus the average daily effective federal-funds-rate for that month, at $41.67 per basis point on a $5,000,000 notional. Because fomc meetings fall mid-month, a contract's price blends the rate before and after a decision.

Splitting out the meeting-day probability is simple arithmetic and is exactly what the widely quoted "market-implied odds of a cut" are. The calculation weights the pre- and post-meeting days in the month.

Example: a month with an FOMC meeting on day 18 of 30, current rate 4.33%, contract implying an average of 4.21%. The post-meeting rate implied is 4.33 - (0.12 x 30/12) = 4.03%, about 30 basis points below current — a 25-basis-point cut fully priced plus a 20% chance of 50.

Related: federal-funds-rate, fomc, sofr-futures, rate-hike, strip-trade

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