How to calculate ECB rate probabilities from ESTR futures

There is no official European Central Bank version of the CME FedWatch tool, but you can build the same number from ESTR futures. ESTR is the euro overnight benchmark, and the one-month ESTR future settles to compounded ESTR over a calendar month, the same structure as the fed funds future behind FedWatch. Read the implied average rate off the price, compare it to the current rate, and the gap is the market-implied probability of a move.

One thing has changed the question lately. On 11 June 2026 the ECB raised its key rates by 25 basis points, the first increase since 2023, taking the deposit facility rate to 2.25% effective 17 June 2026. So the live question is no longer the size of the next cut; it is whether the Governing Council hikes again on 24 July 2026 or holds. The arithmetic is the same in either direction. (Rate and meeting date are real, as of 24 June 2026.)

Why ESTR, and which contract

The deposit facility rate is the ECB's effective policy rate: since the 2022 corridor changes, overnight money trades against the deposit rate rather than the main refinancing rate. ESTR, the euro short-term rate the ECB publishes every TARGET morning, tracks the deposit rate closely and fixes a few basis points below it, which makes ESTR futures the cleanest read on where the market thinks the deposit rate is going. ESTR replaced the older Eonia benchmark in 2019, so ignore any Eonia-based method you find.

The formula

The arithmetic mirrors the fed funds calculation: a rate-probability tool reads the market's expected post-meeting rate, then measures how far that sits from the current rate relative to a standard 25 basis point move.

P(25bp move) = (implied post-meeting rate - current rate) / 0.25

For a possible hike the numerator is positive: the implied post-meeting rate sits above the current rate by some fraction of 25bp, and that fraction is the probability of a hike. For a possible cut the sign flips. The denominator is 0.25 because the ECB, like the Fed and the Bank of England, moves in quarter-point steps.

The trap: three-month Euribor

Reach for the liquid three-month Euribor future instead and you import two errors at once. First, Euribor is a term rate carrying a credit and term spread over ESTR, so its level is not the policy rate; the Euribor-ESTR basis moves on its own and biases the number. Second, a three-month contract straddles meeting dates, so its settlement blends pre- and post-meeting rates and needs day-weighting across every decision in the quarter, the same day-weighting the FedWatch method handles, but stacked across several meetings. The one-month ESTR contract avoids both problems. This is the euro counterpart of the three-month SONIA trap on the sterling side.

A worked example

Because the July meeting falls partway through the contract month, the one-month ESTR future is a day-weighted blend of the rate before the decision and the rate after it, exactly the FedWatch anchor-month case. The clean way to read it is to compare the contract's implied average against the two reference averages, hold and hike:

P(hike) = (implied average - hold average) / (hike average - hold average)

Take the contract month containing the 24 July 2026 meeting, 31 days, with the new rate in effect for 8 of them. ESTR has lately been fixing a few basis points under the 2.25% deposit rate, so treat 2.20% as the pre-meeting ESTR level. A hold leaves the month averaging 2.20%. A certain 25bp hike lifts ESTR to about 2.45% for the final 8 days, so the month averages (23 x 2.20 + 8 x 2.45) / 31 = 2.264%. The 2.25% deposit rate and the meeting date are real, as of 24 June 2026; the ESTR levels here are illustrative.

Now suppose the contract implies a month-average ESTR of 2.235%. Then P(hike) = (2.235 - 2.20) / (2.264 - 2.20) = 0.035 / 0.064, about 55%. The contract is pricing a slightly better-than-even chance of a hike at that meeting. Had it implied 2.21%, the same arithmetic gives about 16%, mostly a hold.

Two adjustments that change the answer

First, the spread. You are pricing ESTR, not the deposit rate directly, and ESTR fixes a few basis points below it. Subtract the recent average ESTR-deposit-rate spread before comparing to the policy rate, or run the whole calculation in ESTR terms as above. Ignore it and you bias the probability by the spread divided by 0.25, small but real.

Second, the effective date. ECB rate changes do not take effect on the meeting day; they apply from the start of the next reserve maintenance period, typically the Wednesday after the decision. That moves the changeover day inside the contract month, so use the real effective date for the day split rather than the meeting date, or the weighting is off by a few days' worth of rate.

Check your answer

The ECB publishes its own market-implied path for the deposit rate, conditioned on this same family of instruments. After you compute a probability, compare your implied path against the published one for a nearby date. A gap of more than a few basis points usually means a contract, spread, or effective-date error on your side, not a market disagreement.

[QUADESTO-EMBED: ECB rate-probability ladder from one-month ESTR futures, one bar per upcoming Governing Council meeting, spread- and effective-date-adjusted, hover shows implied rate and P(hike/hold/cut)]

Skip the arithmetic

Quadesto builds this view from the futures data directly: point it at the ESTR curve and it returns the meeting-by-meeting probability ladder, spread- and effective-date-adjusted, using the same methodology behind the US trackers we rebuilt earlier and the Atlanta Fed Market Probability Tracker. It is the euro sibling of the Bank of England version. The free tier embeds it with a Made with Quadesto credit; Pro (£149 a month) removes the attribution and adds branded themes.