The KC PRS is constructed using the same methodology as the Chicago Board Options Exchange Skew Index (Cboe Skew) on Chicago Mercantile Exchange’s (CME) options data. We use Eurodollar contracts prior to 2023 and contracts on the Secured Overnight Financing Rate (SOFR) from 2023 onward. The Economic Bulletin “How Do Financial Markets Perceive the Balance of Risks to the Policy Rate?” introduces the index and provides more details. Included below are a downloadable CSV and a plot of the entire history of the KC PRS. Data will be updated regularly.
The KC PRS is calculated through an automated procedure using publicly traded options contracts and does not reflect the views of the Federal Reserve Bank of Kansas City, its staff, or the Federal Reserve System.
External LinkDownload a CSV file of the data.
Kansas City Fed Policy Rate Skew: Full History
Kansas City Fed Policy Rate Skew: Last Two Years of Data
Related Research
How Do Financial Markets Perceive the Balance of Risks to the Policy Rate?
By Brent Bundick, Taeyoung Doh, and A. Lee Smith | December 2024