Can one estimate market expectations for any scheduled FOMC meeting?
Although fed funds futures contracts can have delivery months up to 23 months in the future, trading is generally thin for futures contracts with delivery months beyond 9 months. Furthermore there are often not enough outstanding options on fed funds futures with delivery months beyond 6 months in the future to be able to estimate a reasonable number of possible target rates for FOMC meetings more than 6 months in the future. So data limitations generally limit estimation of implied probabilities of alternative fed funds target rates to no more than 3 to 4 meetings in the futures. If the calendar month following the month of an FOMC meeting does not have a scheduled meeting, like the March 27/28, 2006 meeting, implied probabilities of alternative targets chosen at the meeting can be estimated as long as there is sufficient options data. Implied probabilities of alternative target rates, can always be estimated for the next meeting. If the next meeting is followed by another meeting in
