W.E.T. Fed Path Index

How much policy-rate change is priced in over a fixed forward horizon — in basis points, a real unit, not a 0–100 score.

E[Δrate] = Σ p̂ᵢ · bpsᵢ, p̂ᵢ = pᵢ / Σp → V(182d) = V_a·(1−t) + V_b·t

For each Fed meeting the venue lists a mutually exclusive, collectively exhaustive strip of outcomes. Their mids are normalised to sum to one — which removes the book’s overround — and weighted by the basis points each outcome implies. Meeting expectations chain into a cumulative path, and the headline is that path interpolated to a constant 182-day horizon: the CBOE VIX construction applied to event-contract cycles, which is why the series never expires and never gaps on a roll. It does not extrapolate past the furthest listed cycle; beyond the back of the curve it reports the back cycle’s value.

Negative means easing is priced over the horizon, positive means tightening, zero means on hold. The meeting ladder below shows the shape of the path, not only its 182-day summary.

Scale: Easing priced → Tightening priced · published in basis points