How to read fed funds futures
Fed funds futures have a different way of being quoted. They are quoted by the ‘IMM index’, aka 100 less the interest rate. This means you take the interest rate (the price of the future and subtract it from 100. The contract trades in all 12 months and extends 3 years into the future. federal funds futures rate. The finding of non-exploited profit opportunities appears to stem from the use of monthly aver-age data for the futures rate. When the last day of the month is used to forecast the average funds rate in the next month, no variable adds significantly to federal funds futures fore-cast (Robertson and Thornton, 1997).