W.E.T. Fed Path Index

The W.E.T. Fed Path Index (WETFED) is the constant-horizon policy-rate expectation implied by Fed-meeting contracts, published in basis points.

Methodology version v2.0

Real units, not a gauge

WETFED publishes an expected change in basis points, not a 0–100 score. That is the whole reason it supersedes a keyword-matched rate gauge: averaging non-mutually-exclusive contracts across a fifteen-month expiry span produces a number with no unit and no interpretation, while a meeting strip interpolated to a fixed horizon has both.

Construction

For each Fed meeting, the venue lists a mutually exclusive and collectively exhaustive strip of outcomes (cut 50 / cut 25 / hold / hike 25 / hike >25). The mids of that strip are normalised to sum to one — removing the book's overround — and the expected rate change for that meeting is

E[Δrate] = Σ p̂ᵢ · bpsᵢ,   p̂ᵢ = pᵢ / Σp

A meeting is read only if at least three of those five legs carry a usable mid AND one of them is the hold leg; a meeting failing either test is dropped from the ladder entirely rather than read partially — that is a fourth binding gate, and the WETFED admission section lists it alongside the other three. Note what a three-of-five strip means for the normalisation directly above: with two legs unquoted, dividing by Σp over the legs present redistributes the MISSING outcomes' mass across the survivors, which inflates each surviving probability and is not the overround correction the paragraph above describes. The hold leg is required precisely because it is the mass centre — a strip without it is not a distribution missing an edge, it is a distribution missing its middle. Every published row carries its strip, so the leg count on each meeting is checkable rather than assumed.

Meeting expectations are chained into a cumulative path, and the headline value is that path interpolated to a constant 182-day horizon, blending the two cycles that bracket it:

V(target) = V_a · (1 − t) + V_b · t,   t = (target − days_a) / (days_b − days_a)

This is the CBOE VIX construction — constant-maturity interpolation across expiring instruments — applied to event-contract cycles. It is why the series never expires and never gaps on a roll.

The index does not extrapolate beyond the furthest listed cycle: past the back of the curve it reports the back cycle's value. A made-up far point is worse than an honest flat one.

No divisor

A constant-maturity construction has no basket and therefore no divisor. Nothing expires out of it, so there is no composition change to chain across — the continuity problem divisor chaining solves does not arise here.

It is not a spot gauge either, and gauge is null on every WETFED settlement row. WETGRI publishes a chained level beside the spot severity-weighted mean of constituent prices it is chained from; WETFED has no basket and no weights, so neither number is defined for it. What is published is an interpolation over a meeting ladder, in basis points — the construction itself, with no second reading of it to report.

Sub-tracks

Per-meeting expectations are published alongside the headline, so a reader can see the shape of the path rather than only its 182-day summary.

Governance

This is a benchmark, not a slate — the governed class. It carries versioned methodology, a published rulebook and an immutable track record.

• Methodology change & consultation — material changes are published 14 days before they take effect, with backtested impact, and apply prospectively.
• Restatement policy — a published value is final unless it meets one of three narrow conditions; corrections are appended, never edited in place.
• Cessation & fallback · Conflicts · Data errors · Complaints

Standing disclosure: the independent committee seat is currently vacant, so the administrator is the sole decision-maker on methodology changes. This is stated here rather than omitted.

Parameters in force

Every threshold in the three sections below was already binding on every print in the ledger. Each is read at render time from the constant the settlement code imports — eligibility/v1 defaults, the consolidation policy, this benchmark's own definition — so this page cannot describe a number the engine does not enforce, and a constant that moves moves here on the next render.

Disclosure expanded 2026-08-11. No computed value changed, and none could. What changed is that these parameters are now printed rather than left to be inferred from prose. Publishing a rule that was already in force is a disclosure improvement, not a methodology change: methodology version stays v2.0, no value in the track record moves, and no consultation was required. Changing any VALUE below would be the opposite — material, published 14 days before it takes effect with backtested impact, applied prospectively, and carrying a version bump on every row settled after it.

Admission — every eligibility threshold, with its units

The constituent eligibility screen does not run for WETFED, and no threshold in it binds any WETFED print. This benchmark holds no venue contracts: it is a constant-maturity blend over a Fed-meeting ladder read directly from the venue's own strip, so there is no canonical event to admit or refuse and eligibility/v1 never sees it. The gates that DO bind here are printed under Construction above — the mutually-exclusive strip's overround normalisation, the degenerate-strip refusal (a strip whose raw mids sum outside 0.5–1.5 is dropped rather than normalised), the strip-completeness gate (a meeting is dropped unless at least three of its five legs carry a usable mid AND one of them is the hold leg), and the 2-meeting minimum, below which the day publishes no value.

That third gate admits a partial strip, and the consequence belongs here rather than only in the code. A meeting priced on three of five legs is read, and the normalisation then redistributes the two missing legs' mass across the three present — which raises each surviving probability and biases that meeting's E[Δrate], and the bias chains forward into the cumulative path and the 182-day headline. It is disclosed rather than fixed because the alternative, refusing the meeting outright, drops a cycle from the ladder and moves the interpolation onto a farther bracket — a worse answer, not a safer one. Every row publishes its strip, so the number of legs behind each meeting is checkable rather than assumed.

A short calendar is NOT among them, and this page will not imply that it is. Past the back of the curve the construction CLAMPS: it reports the back cycle's value as the 182-day constant-maturity value rather than extrapolating and rather than refusing. So if the listed meetings reach only 120 days, WETFED publishes the 120-day cumulative expectation as its 182-day headline, on a normal row, with no refusal recorded. That is a deliberate choice — a made-up far point is worse than an honest flat one — but it is an exposure a reader has to be able to see, because the published number's effective horizon is then shorter than its name. The count of listed meetings is published on every row so the shortfall is checkable.

Its settlement rows nonetheless carry an eligibility axis in the version block, because that block is stamped uniformly across the family. On a WETFED row that axis records the policy version the family ran under; it does not describe a step of this benchmark's computation.

Consolidation consolidation/prob-v1 — and the full exclusion cascade

WETFED does not consolidate, and no threshold in the cascade below binds any WETFED print. The meeting strip is read from a single venue's own book as (bid + ask) / 2, falling back to the last trade, so there is no cross-venue set to reconcile and the quality gates that reconcile one never run. This is a real single-venue exposure and it is disclosed here rather than left implied by the absence of a section.

Its settlement rows nonetheless carry a consolidation axis in the version block, stamped uniformly across the family. On a WETFED row that axis records the policy the family ran under; it describes no step of this benchmark's computation.

Coverage, cap and concentration

WETFED has no basket, so there is no coverage floor, no weight cap and no concentration to report. A constant-maturity interpolation over a meeting ladder weights nothing: weighting is null on every WETFED settlement row, and that null means the concept does not arise — never it was measured and came back empty. The only count that binds is the 2-meeting minimum, below which the day publishes no value.

What the weights are made of

Weight basis two-sided-resting-depth/v1. One unit of the basis is:

claim units of resting depth near touch — the lesser of the bid-side and ask-side visible resting size within the published band of the best quote on that side, summed over venues. One unit pays $1 on YES on every venue indexed. Never a dollar figure, and never an execution claim: W.E.T. handles no order fulfilment.

This replaced cumulative lifetime volume, which only ever rose, said nothing about whether a contract can be traded today, and could be accumulated for the cost of a spread. Resting depth near touch is capital committed right now, re-posted daily and exposed to being traded through. It is read off the venues' own two-sided books, taken as the lesser of the two sides within each venue before venues are summed — a resting bid on one venue does not fill a missing offer on another for anyone who has to trade on one venue. No concavity transform is applied to it.

This benchmark does not use it. WETFED is a constant-maturity interpolation over a meeting ladder. It has no basket and no weights, so there is nothing here for a basis to weight. The basis is stated for comparability with the benchmarks that do weight, not because it enters this one.

Publication & the close

The official daily print is the WET Close. Every settlement row stamps how that close was actually taken — closeBasis and closeObservations — so the basis of a print is read off the print rather than assumed from this page.

The most recent WETFED row says, in its own words:

This close is ONE instantaneous observation, not a settlement window. WETFED is a derived constant-maturity ladder over the implied Fed path, not a set of marked contracts; the mark tape is keyed by venue marketRef and carries no observations of a meeting ladder, so a settlement window cannot exist for this benchmark under any tape cadence. A single-read close can be moved by one trade at the final second, and that exposure is published rather than described away.

2026-08-12 · closeBasis: single-observation · closeObservations: 1

That is one instantaneous read, not a volume-weighted settlement window. This page claimed the opposite until 2026-08-05, and the claim was false in the direction that flatters us — it denied the exact exposure the row records.

The window is unavailable by construction, not by accident. The row's own sentence above gives this benchmark's reason — they differ between constructions and the row is the one that knows which applies. The shape is the same in every case: the record settlement reads from cannot hold a second observation of the same input on the same date, so there is nothing for a window to average, and no settlement cadence run against it produces one.

What it would take is a data-collection change, not a formula change: the same input would have to be sampled more than once inside the close period and stored so both samples survive — which for a contract-priced benchmark means a tape keyed by marketRef and timestamp rather than by marketRef alone. That collection does not exist on this desk today, for any benchmark. Until it does, the stamp on the row is the whole truth about the print.

The exposure, stated rather than described away: a close taken from a single observation can be moved by one trade at the final second. That vulnerability is real for this print today. It is disclosed because it is true — not mitigated, and not written around.

The track record

Every settlement row records the engine, rubric, classifier and methodology versions that produced it, and a checksum chained to the previous day's. Altering any historical value invalidates every checksum after it, so a third party who recorded yesterday's checksum can prove today whether history moved underneath them. That is the difference between a published record and an auditable one.

A day with insufficient data publishes no value — yesterday's number is never carried forward to keep a chart continuous.

The 2026-08-05 re-inception

This series was re-incepted on 2026-08-05; its first close printed on 2026-08-06. The chain starts there — the ledger's first row carries previousChecksum: null — and nothing precedes it in the live record.

There was an earlier series. It ran three days and it has been retired, not restated. An adversarial review found the arithmetic sound but several published rules unimplemented by the code: constituents that should have entered oriented 1−p entered at p, weights ran on cumulative lifetime volume rather than resting depth, the weight cap was enforced in the wrong space, departures landed in the level instead of the divisor, quotes were priced off a fabricated band rather than real books, and dated legs of one question each held a separate share. Every one of those corrections changes every value in the series.

Why retired rather than restated. The restatement policy is for correcting a series readers hold. This one was three days old, had never been quoted, cited or licensed, and no value in it survived correction — restating it would have been ceremony over a history nobody was carrying. Re-inception on corrected logic is the honest answer, and it is stated here rather than left for a reader to infer from the length of a ledger.

The record is kept, not deleted. The retired ledgers are archived byte for byte at content/indices/benchmarks/retired-v1-2026-08-05/, including as-published-on-master/ — the copies exactly as they were served — so the first construction can be read and diffed against this one.

What is not claimed. The retired values are not comparable to these, and no continuity is asserted across the break. A re-inception starts a new series; this page says so rather than implying an unbroken one.

What this is not

A benchmark reading of market prices. Not a W.E.T. forecast, not advice, and not a performance claim. Where an accuracy scorecard is published it reports calibration — how well the priced probabilities matched outcomes — never returns.