We recreated the Atlanta Fed's Market Probability Tracker — and it's way more interactive

What is the Market Probability Tracker?

The Atlanta Fed's Market Probability Tracker uses SOFR options to extract the full probability distribution of future interest rate outcomes. Unlike FedWatch (which gives you discrete probabilities), this tool shows the continuous distribution.

The methodology

The Atlanta Fed tool uses option-implied probability density functions derived from SOFR options prices. The key insight: a butterfly spread at a given strike gives you the probability density at that point.

By constructing a series of butterfly spreads across all available strikes, you can build the full probability distribution of future rates.

Our rebuild

We've rebuilt the full calculation in Quadesto, with two improvements: the parameters are adjustable (you can change the FOMC meeting, the strike range, and the smoothing), and the output is embeddable anywhere.