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Martinghoul, thank you for the answer! I know the paper you have referred to, the methodology of OLS is OK for Fed rates, because the meeting date is known in advance (basically, the date when the rate is changing is known), whereas in equity/FX the change can happen any time, so that's why I...

nazzdack, it is a very good question :) I reply honestly: no idea. Maybe someone incorporates this information in his trading decisions, would it be very interesting to know how it can be used for practical trading.

Hello community, I am curious to know if some of you use probability density functions to analyze the market sentiment. An example of those is attached to this post. Basically, the blue line is the risk-neutral probability distribution for ES futures recovered from options prices expiring on 19...