FOMC Meeting 31 January 2006

CBOT Fed Watch - January 30 Market Close

In advance of this week's Federal Open Market Committee meeting on January 31, the Chicago Board of Trade will be reporting daily rate change probabilities in the FOMC's federal funds target rate, as indicated by the CBOT 30-Day Federal Funds futures contract. The CBOT 30-Day Federal Funds futures contract is a key benchmark interest rate barometer that reflects the forward overnight effective rate for excess reserves that are traded among commercial banks in the U.S. federal funds market.

Based upon the January 30 market close, the CBOT 30-Day Federal Funds futures contract for the February 2006 expiration is currently pricing in a 98 percent probability that the FOMC will increase the target rate by at least 25 basis points from 4-1/4 percent to 4-1/2 percent at tomorrow’s FOMC meeting (versus a 2 percent probability of no rate change).

This notification concludes this CBOT Fed Watch period. The next scheduled CBOT Fed Watch period will start on Tuesday, March 21, one full week prior to the next scheduled FOMC meeting on March 28.

Summary Table
January 24: 4% for No Change versus 96% for +25 bps.
January 25: 2% for No Change versus 98% for +25 bps.
January 26: 2% for No Change versus 98% for +25 bps.
January 27: 2% for No Change versus 98% for +25 bps.
January 30: 2% for No Change versus 98% for +25 bps.

More details and info on what to expect on a Fed Day can be found here: Fed Days

This is what the ES Market Profile looked like at 14:15 EST which is when the Fed announces a rate hike of 25 basis points (31 January 2006). Rate hiked from 4.25% to 4.50%

Developing Value Area is in green and Developing Point of Control is in blue.

[1287.25] D
[1287.00] D
[1286.75] D
[1286.50] DL
[1286.25] DL
[1286.00] DL
[1285.75] DLM
[1285.50] DELM
[1285.25] DELM
[1285.00] DEHLM
[1284.75] DEHLM
[1284.50] DEFGHLM
[1284.25] EFGHJKLM
[1284.00] EFGHJKLM
[1283.75] EFGHIJKL
[1283.50] EFGHIJKL
[1283.25] EFGHIJKL
[1283.00] EFGHIJKL
[1282.75] EFGHI

This is what the ES Market Profile looked like at 14:30 EST which is 15 minutes after the Fed announcement.

[1287.75] M
[1287.50] M
[1287.25] DM
[1287.00] DM
[1286.75] DM
[1286.50] DLM
[1286.25] DLM
[1286.00] DLM
[1285.75] DLM
[1285.50] DELM
[1285.25] DELM
[1285.00] DEHLM
[1284.75] DEHLM
[1284.50] DEFGHLM
[1284.25] EFGHJKLM
[1284.00] EFGHJKLM
[1283.75] EFGHIJKLM
[1283.50] EFGHIJKLM
[1283.25] EFGHIJKLM
[1283.00] EFGHIJKLM
[1282.75] EFGHIM
[1282.50] M
[1282.25] M
[1282.00] M
[1281.75] M
[1281.50] M
[1281.25] M
[1281.00] M
[1280.75] M
[1280.50] M
[1280.25] M
[1280.00] M
[1279.75] M

Note how the M bracket trades above and below all other brackets.

This is what the ES Market Profile looked like at the end of the day (16:15 EST) after the markets closed:

[1289.00] Q
[1288.75] PQ
[1288.50] PQ
[1288.25] PQ
[1288.00] PQ
[1287.75] MPQ
[1287.50] MPQ
[1287.25] DMPQ
[1287.00] DMPQ
[1286.75] DMPQ
[1286.50] DLMNPQ
[1286.25] DLMNPQ
[1286.00] DLMNPQ
[1285.75] DLMNQ
[1285.50] DELMNQ
[1285.25] DELMNQ
[1285.00] DEHLMNQ
[1284.75] DEHLMNQ
[1284.50] DEFGHLMNQ
[1284.25] EFGHJKLMNQR
[1284.00] EFGHJKLMNQR
[1283.75] EFGHIJKLMNQR
[1283.50] EFGHIJKLMNQR
[1283.25] EFGHIJKLMNQR
[1283.00] EFGHIJKLMNQR
[1282.75] EFGHIMNQR
[1282.50] MNR
[1282.25] MNR
[1282.00] MNR
[1281.75] MNR
[1281.50] MNR
[1281.25] MNR
[1281.00] MNR
[1280.75] MR
[1280.50] MR
[1280.25] MR
[1280.00] MR
[1279.75] MR
[1279.50] R
[1279.25] R
[1279.00] R
[1278.75] R
[1278.50] R

The Q and R brackets cover the last 45 minutes of trading and also the entire range for the day for a 10.5 point move from top to bottom.