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.