It's nice that there's a feed for questions ending soonest, but I'd like it the other way around, an RSS feed for featured questions that just appeared. Could there be such a thing?
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This is now possible. I have written a small app called stack2rss that converts API requests into RSS feeds.
The one that does what you've described is here:
Actually it's possible without the use of an external tool.
Just build the url yourself:
This has been possible for a while; see
aka the RSS icon at the bottom of the page when you are on the featured tab: