... in the market for options on federal funds futures. Specifically, the Carlson-Craig-Melick estimates of probabilities for the next two meetings of the Federal Open Market Committee make 25 basis point a lock on January 31, and another 25 basis points in March the favorite (at 60 percent).
One difference: Expectations for an increase at the March meeting were increasing at the end of the week before last, a trend that continued into last Monday, Tuesday, and Wednesday. But the trade report (which showed continued unwinding of energy effects on import prices), decent news on producer prices, and smaller-than-expected retail sales in December all contributed to a downward movement at the end of last week.
The story, in pictures:
On the inversion watch: The 10-year Treasury yield closed at 4.35% on Friday.
It's a new quarter at the GSB, so for anyone wondering what this post is all about, you can find an informal discussion here. For the vets, here's the data:
Download Imp_pdf_slides_for_011306.ppt
Download implied_pdf_january_011306.xls
Download implied_pdf_march_011306.xls