FOMC Decision Relative Value: Calendar-Matched Futures and Prediction Markets
Tests whether Fed Funds futures calendar spreads and Polymarket and Kalshi decision contracts value the same FOMC decision differently enough to trade once contract matching, executable prices, EFFR drift, integer hedges and funding are accounted for, with open data pipelines, a depth-cost replay and an offline verification suite.
Can different markets assign sufficiently different values to the same Federal Reserve decision to support a useful relative-value trade? This project studies that question through contract-level payoff matching, timestamp-aware market data, transaction costs and the cash required to carry the position. The economic link is a ZQ calendar spread, whose sensitivity to a FOMC decision is determined by the delivery calendar. Prediction-market digitals supply a different payoff shape. The research asks whether a matched package remains attractive after executable prices, omitted states, EFFR drift, integer hedge quantities and funding are accounted for. The current hold-to-settlement model is a baseline for further research. The next questions concern exit timing, contract and route selection, state coverage, execution and incremental portfolio capital.
