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December 11, 2007


Federal Funds Implied Probability (12/11 FOMC)

These probabilities are calculated using Fed Funds options and futures data: 67.8% chance for a move to 4.25; 30.1% chance for a move to 4.00.


Click to enlarge (Source: Bloomberg)

This entry was posted on Tuesday, December 11th, 2007 at 2:38 pm (utc+8) and is filed under Trading and Investing.

4 Responses to “Federal Funds Implied Probability (12/11 FOMC)”

  1. ike said:
    December 11th, 2007 at 5:41 pm

    The Economy and my read on Ben’s thinking point to.50// The slant on future cuts is most important.Did you notice when Bush and Paulson spoke the market was flat and 20 minutes later when Ben said the moves were good up it went!!
    ike

  2. C. Maoxian said:
    December 11th, 2007 at 6:14 pm

    ike: you’re a 30.1% camp member.

  3. gunner said:
    December 12th, 2007 at 12:38 am

    Your chart is for FFIP options.
    If you use the Futures button, the chance of 0.25% cut is 62%, chance of 0.50% cut is 38% today.

  4. C. Maoxian said:
    December 12th, 2007 at 8:30 am

    gunner: Yes, we talked about the options and futures buttons last time and I always choose the options button because it includes both options and futures data … the futures button uses the Fed Fund futures data alone.

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