Morgan Stanley: Treasury options suggest government shutdown could last up to 29 days

Interest rate strategists at Morgan Stanley believe the pricing of Treasury options suggests that the government shutdown, which begins on October 1, will last at least 10 days and as long as 29 days. Treasury futures options "absorb the risk premium on the date of the release of important economic data," strategist Shaun Zhou said in a note. These include the release date of the monthly employment report, one of the most important economic indicators in the United States. Because of the government shutdown, the September non-farm payroll data, originally scheduled for 8:30 a.m. Eastern Time on Friday, was not made public. It also includes the September consumer price index, which is due on October 15. Morgan Stanley calculates that the implied probability of a 10-29 day shutdown of options exceeds 60%. The probability of a shutdown of four to nine days is just over 20 percent, while the probability of a shutdown lasting at least 30 days is about 10 percent. The bank's report also said that prediction betting platform PolyMarket also believes that a government shutdown of 10 to 29 days is the most likely, but the probability of a longer shutdown is higher.