Interest rate strategists at Morgan Stanley believe that US Treasury bond option pricing indicates that the government shutdown starting October 1 will last at least 10 days, and the longest will reach 29 days. US Treasury futures options “absorbed the risk premium on the date the key economic data was released,” strategist Shaun Zhou said in a report. This includes the release date of the monthly employment report, which is one of the most important economic indicators in the US. Due to the government shutdown, the September non-agricultural data, which was originally scheduled to be released at 8:30 a.m. EST on Friday, was not made public. Also included is the consumer price index for September, which is due to be announced on October 15. The strategist wrote that although the final release date of the delayed economic indicators is unclear, “the options market will calculate risk premiums for multiple future dates based on probability distributions.” Morgan Stanley calculated that the probability of an implicit shutdown of options for 10 to 29 days is over 60%. The probability of closing for 4 to 9 days is slightly higher than 20%, while the probability of staying at least 30 days is about 10%.

Interest rate strategists at Morgan Stanley believe that US Treasury bond option pricing indicates that the government shutdown starting October 1 will last at least 10 days, and the longest will reach 29 days. US Treasury futures options “absorbed the risk premium on the date the key economic data was released,” strategist Shaun Zhou said in a report. This includes the release date of the monthly employment report, which is one of the most important economic indicators in the US. Due to the government shutdown, the September non-agricultural data, which was originally scheduled to be released at 8:30 a.m. EST on Friday, was not made public. Also included is the consumer price index for September, which is due to be announced on October 15. The strategist wrote that although the final release date of the delayed economic indicators is unclear, “the options market will calculate risk premiums for multiple future dates based on probability distributions.” Morgan Stanley calculated that the probability of an implicit shutdown of options for 10 to 29 days is over 60%. The probability of closing for 4 to 9 days is slightly higher than 20%, while the probability of staying at least 30 days is about 10%.