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October 24, 2007


Federal Funds Implied Probability

Nice screen which uses Fed Funds futures and options data to graph expectations for the Target Rate. It’s now showing a 65.8% chance of a move to 4.50% — quite a change from last week’s expectations.


Click to enlarge (Source: Bloomberg)

This entry was posted on Wednesday, October 24th, 2007 at 10:17 am (utc+8) and is filed under Trading and Investing.

7 Responses to “Federal Funds Implied Probability”

  1. pete said:
    October 25th, 2007 at 3:41 am

    ot- LFT china ipo on nyse today- assume ur the largest shareholder

  2. gunner said:
    October 25th, 2007 at 6:09 am

    That chart shows option levels. Fed Funds Futures button on FFIP on Bloomberg shows an 86% chance of a move to 4.50%, and a 0% chance of no change.

  3. amir said:
    October 25th, 2007 at 6:11 am

    CM,

    Did you get this graph from a Bloomberg terminal?

  4. Aaron said:
    October 25th, 2007 at 6:44 am

    Nice chart. Something tells me that this level of 65.8% will rise even further before next weeks meeting. It will be interesting to track this probability number.

  5. C. Maoxian said:
    October 25th, 2007 at 8:19 am

    @pete: Never heard of Longtop Financial Technologies (LFT) — so many China IPOs these days, it’s tough to keep up.

    @gunner: Yes, thanks, I see the button for futures now — I thought it was a composite graph using both futures and options, but now I know better.

    @Amir: Yes.

    @Aaron: Yes, I’ll keep an eye on it along with a few others. ;-)

  6. Maoxian » Longtop Financial Technologies Limited IPO said:
    October 25th, 2007 at 8:33 am

    […] Commenter Pete hipped me to the Longtop Financial Technologies IPO. Can you guys share what website you use to stay on top of IPOs? What do you think is the best one? Thanks. Cat:  […]

  7. Maoxian » Federal Funds Implied Probability (Update) said:
    November 1st, 2007 at 10:22 pm

    […] The options are now showing a 72.9% chance that the Fed will cut to 4.50%, up from 65.8% last week. (The futures show 94%). Click to enlarge (Source: Bloomberg) Cat:  […]

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