« The French Referendum And The Future Of The Euro | Main | Trade Surpluses In Asia: China Up, Japan Down »
April 11, 2005
Funds Futures Options: Now A Regular Feature At Macroblog
Regular readers know that I periodically post the probabilities on different outcomes for the federal funds rates derived from options on fed funds futures. People have commented favorably on this information, so I will begin posting updates every Monday (covering the period up through close of market on the previous Friday).
The clear message in the latest data is the return of the "measured pace" expectations following the weaker than expected March employment report. Here is the picture for May...
... but the real action is in the July estimates:
The methodology employed in calculating this data is described informally here. A more detailed working paper is forthcoming. I will post that link when it is available.
April 11, 2005 in Fed Funds Futures, Federal Reserve and Monetary Policy | Permalink
TrackBack
TrackBack URL for this entry:
http://www.typepad.com/services/trackback/6a00d8341c834f53ef00d83457c9b769e2
Listed below are links to blogs that reference Funds Futures Options: Now A Regular Feature At Macroblog:
» Fed funds futures--weekly update from William J. Polley
Dave Altig knows what we want. He says that he'll be posting charts showing the implied probability of various outcomes for the fed funds rate as a regular feature every Monday. Concerning today's charts, he says The clear message in... [Read More]
Tracked on Apr 11, 2005 11:28:35 AM
Comments
Posted by:
Andrea Jasperson |
January 22, 2006 at 05:20 AM
I totally agree with what you're saying. I wish more people felt this way and took the time to express themselves. Keep up the great work.
Andrea Jasperson http://www.futuresoptionsgeneral.com
Posted by:
Andrea Jasperson |
January 22, 2006 at 05:20 AM
Yes that is correct. I liked your comment. I too belong to the same profile and this was of great help.
Andrea Jasperson
http://www.futuresoptionsgeneral.com
Posted by:
Andrea Jasperson |
February 08, 2006 at 11:59 PM
Thanks for this great post. You've got some really good info in your blog. If you get a chance, you can check out my blog on futures options
at http://www.futuresoptionsgeneral.com.
Adam Butler
http://www.futuresoptionsgeneral.com
Posted by:
Adam Butler |
May 04, 2006 at 03:53 AM
Thanks for this great post. You've got some really good info in your blog.
Chris Scanlon
http://www.futuresoptionsgeneral.com
Posted by:
Chris Scanlon |
May 06, 2006 at 12:46 PM
I totally agree with what you're saying. I wish more people felt this way and took the time to express themselves. Keep up the great work.
Andrea Jasperson http://www.futuresoptionsgeneral.com