Event‐Day Options

ABSTRACT This paper considers new options on Treasury futures than expire each Wednesday and Friday. I examine the variances implied by these options as of the night before expiration, and compare the variances just before FOMC days and employment report days with the variances on other Tuesdays or Thursdays, respectively. This can be used to measure the risk‐neutral interest rate uncertainty associated with FOMC announcements and employment reports. I can also compare the average physical and risk‐neutral uncertainty. Lastly, I construct options‐implied densities on the eve of FOMC and employment report days.