Options on Futures on US Treasuries and S&P 500

June 11, 2015 - Options contracts on the S&P 500 equity index futures, and on the 10-year US Treasury note, are among the most active products traded on the Chicago Mercantile Exchange (CME)—only the Eurodollar complex, and the underlying futures for these options, have higher total volume—and hence among the most active derivative products in the world. Options on the SP500 have been heavily studied; options on Treasuries less so. This note compares the nature of the implied volatility surfaces for these two options products, to see what can be learned about the dynamics of the underlying markets.

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