AURA Federal Reserve Rate Uncertainty Index
A daily measure of distributional uncertainty over Federal Reserve policy-rate outcomes, term-structured into Near-Term / Path / Terminal horizons. Constructed from contract prices on Kalshi and Polymarket.
AURA-FED held near 41.60 bp today (+0.01 bp), a reading elevated relative to historical range. Path dominates today's basket weighting (28% Near-Term, 72% Path). Over the past 30 days the index is up 15.0 bp.
Horizon decomposition
| Horizon | σ (bp) | Weight | OI | Families | Tail-share |
|---|---|---|---|---|---|
| Near-Term | 12.38 | 27.6% | $3.84M | 1 | 11.3% |
| Path | 52.71 | 72.5% | $10.09M | 1 | 0.0% |
| Terminal | — | 0.0% | $0.00M | 0 | — |
Tail-share companion
Headline tail-share 3.1%. Near-Term 11.3%, Path 0.0%, Terminal 1.9%. OI-weighted fraction of contracts flagged as tail by the contract-level taxonomy. Companion diagnostic, not a Headline component.
Horizon history
Recent observations
| Date | Headline (bp) | 1D Δ (bp) |
|---|---|---|
| 2026-06-17 | 28.25 | +3.73 |
| 2026-06-18 | 42.94 | +14.69 |
| 2026-06-19 | 43.65 | +0.71 |
| 2026-06-20 | 43.10 | −0.55 |
| 2026-06-21 | 42.74 | −0.36 |
| 2026-06-22 | 42.82 | +0.08 |
| 2026-06-23 | 41.81 | −1.01 |
| 2026-06-24 | 41.72 | −0.09 |
| 2026-06-25 | 41.36 | −0.36 |
| 2026-06-26 | 41.43 | +0.07 |
| 2026-06-27 | 41.42 | −0.01 |
| 2026-06-28 | 41.34 | −0.08 |
| 2026-06-29 | 41.59 | +0.25 |
| 2026-06-30 | 41.59 | +0.00 |
| 2026-07-01 | 41.60 | +0.01 |
Methodology
AURA-FED is a daily index of uncertainty in U.S. Federal Reserve policy rate decisions, built from contract prices on Kalshi and Polymarket. Eligible contracts settle on Fed funds target ranges, FOMC meeting outcomes, and emergency actions. The index aggregates contract-family uncertainty signals into a daily headline expressed in basis points (inception August 6, 2025).
Inputs
AURA-FED draws on Kalshi and Polymarket contract families that resolve on Federal Reserve rate decisions. For each family, the index uses the implied price distribution over rate outcomes and the prevailing open interest. The index reads these prices directly, without forecasts, sentiment scoring, or modeled rate paths.
Construction
For each contract family, AURA-FED computes the standard deviation, in basis points, of the implied rate distribution. Family-level values are aggregated across the eligible universe, weighted by open interest, at three horizons: Near-Term, Path, and Terminal. The published Headline combines the Near-Term and Path horizons. A companion series tracks how sharply pricing shifts from one day to the next.
For non-commercial research. Institutional use under separate terms: support@aurelianhq.com.
Data sources
Aurelian fetches contract prices via public APIs and computes derived series independently. Source venues do not endorse, sponsor, or co-publish this index.
Important disclosures
- Informational use only. AURA-FED is provided for informational and research purposes. It is not investment advice, not a recommendation to trade any contract, and not a benchmark for any financial product.
- Independent publisher. Aurelian is not affiliated with Kalshi, Polymarket, or any contract issuer or exchange. Source venues do not endorse, sponsor, or review this index or its methodology.
- Methodology may evolve. Aurelian reserves the right to refine the index methodology. Material revisions are documented in the methodology paper. Historical levels are not retroactively recomputed under revised methodology.
- Data quality. Prediction-market liquidity varies; periods of low aggregate liquidity may increase index sensitivity to single contract families. The methodology documents the open-interest weighting and exclusion rules that mitigate this.
- Past performance. AURA-FED is a measurement, not a tradable instrument. Historical levels do not indicate future levels of policy-rate uncertainty.
- Backcalculation provenance. Index values prior to live publication are backcalculated using the same methodology applied to historical contract snapshots from Kalshi and Polymarket. Backcalculated values are not guaranteed to match what the index would have published in real time; differences may arise from snapshot timing, missing intraday quotes, or contract-eligibility window edges.
Contact
Questions or data requests: support@aurelianhq.com