[m101]

How these things are calculated is dumb:

The market implied rate (from swaps/forwards curves) for the following period is something like 27bps cut, so they say:

- 27 Is bigger than 25, so 0 cuts is 0%

- attribute 2/25bps likelihood to 50bps cut

- the remainder is left to 25bps cut

The reality is that there's a non-zero probability to unchanged, and a non-zero probability of 75bps+ cut etc etc. However this information would probably be in swaption prices and too complicated for anyone like the CME or media to make sense of. But at least with the way people talk about it they get to feel like they're making sense of the world.

[baby-yoda]

Great point - I never looked into the specific calculation but this makes complete sense as you explain it. Thanks.