
金色财经|Oct 04, 2025 05:41
[U.S. Treasury Options Market Indicates Government Shutdown May Last 10 to 29 Days]
According to a report by Jinse Finance, Morgan Stanley interest rate strategists led by Shaun Zhou pointed out that U.S. Treasury options pricing suggests the government shutdown that began on October 1 will last at least 10 days and could extend up to 29 days. Treasury futures options "price in the risk premium for the release dates of key economic data."
Morgan Stanley strategists wrote in the report that although the eventual release dates of delayed economic indicators remain uncertain, the options market prices risk premiums for multiple future dates based on probability distribution. This analysis is based on the pricing of 1-day straddle options, a structure that involves simultaneously buying or selling put and call options with the same strike price. The so-called breakeven point of a straddle option represents the amount of market volatility required for buyers to profit.
The report shows that the breakeven point on the release date of the employment report is typically 5 basis points higher than the days before and after the release. Assuming the September employment report is released four business days after the government shutdown ends (as was the case in 2013), the market implies that the probability of the shutdown lasting 10 to 29 days is significantly higher than for shorter or longer durations. (Jin10)
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