The probability of a 50 basis point move at the June meeting of the Federal Open Market Committee made a small comeback after Friday's boffo employment report, but the players in the market for fed funds futures options didn't move too far off another measured 25.


July_7


Not surprisingly, the October contracts (which would encompass the July, August, and September meetings) are more interesting.  The case for 75 basis points (cumulatively) apparently made a comeback by week's end, but the real story appears to be that betting is pretty mixed (though for some reason the more-aggressive-than-measured bet faded some).


October_1



Here, per usual practice, is the data for these pictures.

Download july_pdfs_050905.xls
Download october_pdfs_050905.xls

You can find sample programs for computing these probabilities, and the paper that describes the methodology, on Will Mellick's research page.