After the Federal Reserve confirmed the removal of the October 2027 meeting from the FOMC calendar, a wave of trading activity emerged in the October 27/November 27 federal funds futures spread contracts.

After the Fed confirmed the removal of the October 2027 meeting from the FOMC calendar, a wave of trading activity emerged in the October 27/November 27 federal funds futures spread contract. The Fed had previously announced that it would hold one fewer rate decision meeting next year. Flows included buying 12,000 October 27/November 27 spread contracts at -0.5 bp, pushing the basis back up to zero. The largest single trade was 10,000 contracts executed at 11:59 a.m. ET, the largest volume in this spread contract to date. On Wednesday, a total of 406 lots traded in the spread contract, whereas before that there had been no trading until October 29, and volumes were also very small.