Fed rate path probabilities, Treasury auction demand metrics, and credit stress gauges — the macro backdrop that drives every equity thesis.
Spread between auction yield and when-issued. Positive tail = weak demand, buyers demanded higher yield.
Ratio of bids to securities sold. Higher = more demand. Below 2.0x signals soft appetite.
Foreign central bank and institutional demand. Higher indirect = stronger international appetite.
Prediction Market Expectations: Probability distributions from Kalshi, a CFTC-regulated Designated Contract Market (DCM). Each macro indicator (CPI, Fed funds, GDP, payrolls) has binary bracket contracts priced 0-100 cents representing implied probabilities. We reconstruct full distributions by differencing cumulative probabilities across strike brackets. Statistics (mean, mode, skewness) computed from bracket midpoints. A Federal Reserve paper (Diercks, Katz & Wright, 2026) found Kalshi's modal forecast correctly predicted every Fed rate decision since 2022 and outperforms Bloomberg consensus on CPI. Updated every 4 hours via free API.
FedWatch: Rate probabilities derived from 30-day Fed Funds futures (CME). Implied rates calculated from contract prices (100 - price). Updated daily at market close.
Treasury Auctions: Data from TreasuryDirect.gov auction results. Tail calculated as high yield minus when-issued yield. Bid-to-cover, indirect/direct/dealer allocation percentages tracked for demand analysis.
Credit Stress: Investment grade (IG) and high yield (HY) option-adjusted spreads from FRED (ICE BofA indices). 2-year and 10-year Treasury yields from daily constant maturity series. Percentiles calculated over rolling 2-year windows. Composite stress level determined by spread percentile thresholds.