Microstructure of Treasury Futures and Options on Treasury Futures: From 2015 Until Now

In this article, we look at the volume, implied volatility of 10-Year options on futures from 2015 until now. We also analyze the quote size and liquidity of the underlying 10-Year futures. The analysis is timely as volatility dropped since the election whereas the first half of the year witnessed significant volatility. The year 2020 was unusual in many ways.

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