CME FedWatch Tracker

Unofficial CME FedWatch — FOMC rate-change probabilities in one line of Python.

The only open-source FedWatch that actually works out of the box. No data prep, no API keys, no Selenium.

Installation · Quick Start · CLI · API Reference · How It Works

Why This Project?

The CME FedWatch Tool is the gold standard for gauging market expectations of Fed rate changes. But accessing the data programmatically is painful:

This project solves all of that. One pip install, zero config:

from cme_fedwatch import get_probabilities

data = get_probabilities("next")
print(data)

{
    "effr": 3.64,
    "current_target": "3.50%-3.75%",
    "meetings": [{
        "date": "2026-04-29",
        "contract": "ZQJ6",
        "probabilities": {
            "3.50%-3.75%": 84.0,  # No change
            "3.75%-4.00%": 16.0   # 25bp hike
        }
    }]
}

Data sources — all official, all free:

• Settlement prices from CME Group
• EFFR & target rate from FRED (Federal Reserve Bank of St. Louis)
• FOMC schedule from the Federal Reserve

Installation

pip install cme-fedwatch

Requires Python 3.9+. Single dependency: curl_cffi.

Quick Start

from cme_fedwatch import get_probabilities, get_history

# Next FOMC meeting
get_probabilities("next")

# All upcoming meetings
get_probabilities()

# Specific meeting
get_probabilities("2026-10-28")

# How expectations changed over recent business days.
# Note: CME's free settlement feed only retains the last ~5 business days,
# so longer lookbacks (1w/1m/3m/6m/1y) appear only when data is available.
get_history("next", days=10)

CLI

# Default: next meeting probabilities
$ cme-fedwatch

EFFR: 3.64%  Target: 3.50%-3.75%

     Meeting  Contract     3.50%-3.75%     3.75%-4.00%
------------------------------------------------------
  2026-04-29      ZQJ6           84.0%           16.0%

# All upcoming meetings
$ cme-fedwatch all

EFFR: 3.64%  Target: 3.50%-3.75%

     Meeting  Contract     3.25%-3.50%     3.50%-3.75%     3.75%-4.00%
----------------------------------------------------------------------
  2026-04-29      ZQJ6            0.0%           84.0%           16.0%
  2026-06-17      ZQM6            0.0%           95.7%            4.3%
  2026-07-29      ZQN6            0.0%           98.0%            2.0%
  2026-09-16      ZQU6            0.0%           88.0%           12.0%
  2026-10-28      ZQV6            0.0%           38.0%           62.0%
  2026-12-09      ZQZ6            8.1%           91.9%            0.0%
  ...

# Historical: how expectations evolved over recent business days
$ cme-fedwatch history --days 5

EFFR: 3.62%  Target: 3.50%-3.75%
Meeting: 2026-06-17  Contract: ZQM6

                 3.25%-3.50%     3.50%-3.75%     3.75%-4.00%
------------------------------------------------------------
  2026-06-01            2.6%           97.4%            0.0%
  2026-06-02            0.0%           97.9%            2.1%
  2026-06-03            0.0%          100.0%            0.0%
  2026-06-04            2.1%           97.9%            0.0%
  2026-06-05            0.0%           97.9%            2.1%

Lookback:
          1d            0.0%           97.9%            2.1%

Only the 1d lookback appears above. CME's free settlement feed serves roughly the last 5 business days, so older snapshots (1w/1m/3m/6m/1y) are shown only when settlement data for that date is still available.

All CLI Options

API Reference

get_probabilities(meeting=None, trade_date=None, current_rate=None)

Get rate-change probabilities for FOMC meetings.

Returns a dict with effr, current_target, schedule_status, and a meetings list.

schedule_status reports the health of the built-in FOMC schedule (hardcoded and finite): {"state": "ok" | "expiring" | "expired", "remaining": <int>, "last_known": "<YYYY-MM-DD>"}. The CLI prints a warning to stderr when the state is not ok, so a silently-expired schedule can't go unnoticed.

get_history(meeting=None, days=10, current_rate=None)

Track how probabilities changed over recent business days, with standard lookback periods (1d, 1w, 1m, 3m, 6m, 1y) included when data is available.

Returns a dict with history (daily), lookback snapshots, and the same schedule_status health field described above.

Data availability. CME's free settlement feed only retains roughly the last 5 business days. history therefore returns at most ~5 daily rows regardless of days, and a lookback entry (1w/1m/3m/6m/1y) appears only when settlement data for that date is still served — otherwise it is omitted, never fabricated. For full historical futures data, CME DataMine (paid) is the only official source.

How It Works

Data Pipeline

FRED API ──→ Current EFFR + Target Rate (official Fed data)
CME API  ──→ 30-Day Fed Funds Futures settlements (product 305)
               ↓
         FedWatch Calculation Engine
               ↓
         Per-meeting rate-change probabilities

Calculation

For each FOMC meeting, we derive the market-implied post-meeting fed funds rate from the futures settlement price, then compute the probability of each 25bp rate outcome:

implied_rate     = 100 - settlement_price
post_meeting_rate = (implied × D - pre_rate × (d-1)) / (D-d+1)
expected_moves   = (post_rate - pre_rate) / 0.25

Where d = meeting day, D = days in month, pre_rate = previous month's implied rate.

Accuracy

Results are based on daily settlement prices (not live mid-prices), so they may differ from CME QuikStrike by a few percentage points — especially for meetings near the end of a month where the calculation is sensitive to small price differences. The directional signal (hike/cut/hold) is consistent.

Reading the Output

The column headers show possible target rate ranges. Compare them to the current target displayed at the top:

EFFR: 3.64%  Target: 3.50%-3.75%        ← Current rate

     Meeting  Contract     3.25%-3.50%     3.50%-3.75%     3.75%-4.00%
                           ↑ 25bp CUT      ↑ NO CHANGE     ↑ 25bp HIKE

• Column = current target → probability of no change
• Column > current target → probability of rate hike(s)
• Column < current target → probability of rate cut(s)

Disclaimer

This project is not affiliated with CME Group, the Federal Reserve, or FRED. Data is sourced from publicly available APIs. Probabilities are calculated using an approximation of the CME FedWatch methodology and may differ from official CME QuikStrike values.

This tool is for informational and educational purposes only. It is not financial advice.

License

MIT