Two Prices for the Fed

The finding Two very different places price the same event. Polymarket runs a five-rung ladder on each FOMC meeting; a few miles of fibre away, CME’s 30-day Fed Funds futures have priced the same meetings for decades. For the July 28-29 decision we set the two side by side as one number each: the expected change in the policy rate at that meeting, in basis points. They tracked. The rank correlation of the two series’ day-over-day changes was +0.76 (95% interval +0.57 to +0.91). Counting instead, on the 26 sessions where either venue moved beyond the conversion’s own resolution, both moved the same way on 21. A retail crowd and an institutional futures market re-priced the same meeting on the same days, in the same direction. What links them is not tested here. Two very different venues, one meeting, moving the same way. Two Prices for the Fed · Vera Research What the two prices are You cannot read a probability off a futures price by looking at it; getting there takes an explicit chain of settlement and day-count assumptions. So the comparison leans on as few as it can, reducing each venue to its own expected change in basis points, with no distributional assumption on the futures ...