Just when you think you got it all figured out. Friday's unseemly jump in reported inflation expectations certainly made a splash in the market for options on federal funds futures. It looks like everyone is convinced the FOMC is much more worried about the inflation part of the report than the possibility that consumers' gloomy assessment of current and future conditions will cause spending to tank:
This is really getting interesting.
Note -- I am sitting in the "business center" of a hotel in Geneva (as in Switzerland) at the moment, and the computer I am using won't, for some reason, let me grab the data from my slides. I'll ask the ever-wonderful Erkin Sahinoz to post the data later today. If you are desperate, here's the Power Point file. You can retrieve the dataset yourself by double-clicking on the graphs.
Download pdf_slides_for_blog_091605.ppt
UPDATE: Erkin comes through.
Download implied_pdf_october_091605.xls
Download implied_pdf_november_091605.xls