The U.S. Treasury Options market suggests that the government shutdown will last for 10 to 29 days.

On October 4, Morgan Stanley's interest rate strategists, led by Shaun Zhou, pointed out that the pricing of U.S. Treasury options indicates that the U.S. government shutdown, which began on October 1, will last at least 10 days, and could last as long as 29 days. Treasury futures options "will price the risk premium for the release dates of important economic data." Morgan Stanley strategists wrote in their report that although the final publication date of delayed economic indicators has not been determined, the options market will price risk premiums for multiple future dates based on probability distributions. This analysis is based on the prices of 1-day straddle options, a structure that simultaneously buys or sells put options and call options with the same strike price. The so-called breakeven point of the straddle options represents how much volatility the market needs for buyers to profit. The report shows that the breakeven point on the day of the employment report's release is often 5 basis points higher than on the days before and after the release. Assuming the September employment report is released four working days after the government shutdown ends (as it was in 2013), the market suggests that the probability of the shutdown lasting 10-29 days is much higher than for shorter or longer durations. ( Jin10 )