Image 2: FOMC Dot plot vs. Fed Funds futures as of the December meeting and currently

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FedWatch Tool

Image 3: Consensus expectations in the SOFR market based on FOMC rate decisions

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Image 4: CME SOFRWatch Tool updated to include my personal forecasts

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Image 5: SOFR June options volume and open interest

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Image 6: CVOL for Short-term Interest Rate markets

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SOFRWatch Tool

Image 7: CVOL and CVOL Skew history for Three-Month SOFR options

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Image 8: Three-Month SOFR futures implied and historical volatility

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Image 9: Implied volatility by delta

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CVOL

Image 10: Long SOFR options

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Image 11: CME SOFRWatch Tool with curated expectations of FOMC rate cuts

Explore Interest Rate options

Use Interest Rate options to manage exposure to government bonds and money market securities in a safe, capital-efficient way. Access a full range of benchmark products—Fed Funds, SOFR, US Treasuries—across the USD yield curve, from one-week to 30-years.
Find out more