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(Say) The Mar19 Future price is 94.52(5.48%) and the Dec 19 Future price 94.27(5.74%), does this imply that markets expect a ~25bps hike specifically between the time period when the two contracts end i.e. from Jun 19 to Mar 20 or is it from Mar 19 to Dec 19.

Also, apart from looking at Fed Fund Futures and EDF is there anything else to look at to see how many rate hikes are being priced in by the market?

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    $\begingroup$ You could use options instead of fed fund futures. The options will give you a market implied distribution (with the breedenlitzenberger formula). The FED has written several papers on this topic. $\endgroup$ – mbison Dec 27 '18 at 22:36
  • $\begingroup$ @mbison would you have a link to some of those FED papers you are referring to ? Thanks! $\endgroup$ – Ezy Dec 30 '18 at 15:43
  • $\begingroup$ Fed fund futures provide a single price which represents the expectation of all possible outcomes of FED action measured over each possibility. Usually a limited set of scenarios (hike or no hike) exist so one can deduce the probability of each easily without options. When more scenarios exist (2 hikes, hike, no hike) then you cannot uniquely identify the probability of each without more information. Hence the use of the options to determine a probability distribution of market prices and, from that, determine the likelihood of each action. $\endgroup$ – Attack68 Jan 1 at 9:21
  • $\begingroup$ So between which two dates should the hike probability be interpreted please? $\endgroup$ – A93 Jan 1 at 10:14
  • $\begingroup$ the Atlanta fed has the website below. If you click on the tab that says "references and resources" you can find some of their publications. frbatlanta.org/cenfis/market-probability-tracker.aspx?panel=3 $\endgroup$ – mbison Jan 1 at 17:28

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