Morgan Stanley: U.S. Treasury options indicate government shutdown could last up to 29 days

Morgan Stanley's interest rate strategist believes that the pricing of U.S. Treasury options indicates that the government shutdown, which began on October 1, will last at least 10 days, with a maximum duration of 29 days. U.S. Treasury futures options "have priced in risk premiums on the dates of important economic data releases," strategist Shaun Zhou said in a report. This includes the release date of the monthly employment report, one of the most important economic indicators in the U.S. Due to the government shutdown, the non-farm payroll data for September, which was scheduled to be released at 8:30 AM Eastern Time on Friday, was not made public. Additionally, the Consumer Price Index for September, which was due to be released on October 15, is also affected. The strategist wrote that while the final publication dates for the delayed economic indicators remain unclear, "the options market will calculate risk premiums for multiple future dates based on probability distributions." Morgan Stanley estimates that the implied probability of a shutdown lasting 10 to 29 days exceeds 60%. The probability of a shutdown lasting 4 to 9 days is slightly above 20%, while the likelihood of it lasting at least 30 days is about 10%