The market for US short-term interest rates has been abuzz this week with talk of a hawkish bet on Federal Reserve policy that may have netted a profit of more than $US20 million.

An unidentified investor amassed the position - a multi-legged options structure in eurodollars - in the first half of 2016 and exited it on Wednesday in the hours before the Fed's decision to keep rates unchanged, traders say. What started as a cheap wager turned out to be a farsighted bet, according to data compiled by Bloomberg and information pieced together by traders in New York and Chicago who requested anonymity because they're not authorised to speak publicly.

The timing proved prescient as policy makers' statement wound up being more dovish on the path of rates than some traders had anticipated, spurring a rebound on the day in US debt markets. Friday's US labour data showing wage growth was weaker than expected also would have undermined the trade. The move to unwind also comes amid a pause in recent weeks in the reflation trade that drove yields higher following November elections.

The position, according to the traders, involved an options structure in eurodollar futures called a "put butterfly", where the investor looks for an underlying asset to achieve a specific price target at expiration.

Eurodollars are among the most-traded futures contracts in the world, with average daily volume of nearly 3 million contracts in the fourth quarter, according to CME Group. Open interest in eurodollar futures has averaged about 11 million contracts in recent years.

The strategy profits if the June 2017 eurodollar contract, or EDM7 in market parlance, is at the body of the butterfly at expiration, meaning that it's dropped to a predetermined price target.

Traders say the investor likely ramped up the wager in May, judging by an explosion in open interest in a key options contract that would have been a pillar of such a position.

Open interest increased in the middle contract, expiring in June 2017, by about 128,000 contracts during May, to about 380,000, suggesting an investor was adding risk through the month, data compiled by Bloomberg show. In a sign of the outsize activity in that option, open interest was almost triple the amount for the comparable contract expiring in March, three months sooner. Daily turnover in the June option on May 5, at about 113,000 contracts, was the largest of 2016, even though it was more than a year from expiry.

The prospects for the trade darkened just weeks later.

It likely became near worthless after the bond market soared amid the turmoil following the June UK Brexit vote. The position then recovered and surged in value in the aftermath of the US election, signalling speculation that the Fed would be more aggressive in raising rates. The underlying security for the trade, the June 2017 eurodollar contract, reached its lowest price of the year December 15, the day after the Fed hiked rates.

Given the outline and timing for the trade that market participants have laid out, here's how the investor may have pocketed a tidy sum of almost $US21 million.

Judging by market talk, open interest and daily volumes, the position may have grown to around 150,000 contracts or more by May, traders calculate.

Using that amount and taking into account prices observed in May, the premium on this sort of strategy would have been around $US13 million, according to traders and options pricing data compiled by Bloomberg.

Going with options prices on Wednesday morning, as the financial world braced for the Fed's latest policy decision, the unwind of the position may have grossed about $US34 million, for a potential profit of almost $US21 million.