Interest rate expectations and uncertainty during ECB Governing Council days: Evidence from intraday implied densities of 3-month EURIBOR

► We extend the non-parametric estimation of option-implied densities to tick frequency. ► Short-term interest expectations during ECB Governing Council days are analysed. ► The whole density significantly reacts to central bank communication. ► Changes of the densities are shown to be meaningful and not all noise. ► The ECB Press Release and Conference are confirmed as relevant communication tools.