FRED has added 1 data series, reported by the Federal Reserve Bank of Kansas City, measuring policy rate uncertainty.

The Kansas City Fed’s Measure of Policy Rate Uncertainty (KC PRU) is a daily measure of market-based uncertainty regarding where short-term U.S. interest rates will be one year in the future. The KC PRU is calculated using options on Secured Overnight Financing Rate (SOFR) futures. More details are available here.