Skewed Signals: What Treasury Options Are Telling Us Ahead of June Macro Catalysts
Implied volatility in options on Treasury futures has drifted lower since April, but the skew—particularly in the belly of the curve—remains a focal point. As traders prepare for a data-heavy June, including Non-Farm Payrolls, CPI and the FOMC, the behavior of skew and CVOL in the Ultra 10-Year (UXY) futures complex offers a revealing lens into how rate risk is being priced.
What you need to know
Downside skew in Treasury options—especially on 5-Year (FV), 10-Year (TY) and Ultra 10-Year (UXY) futures—remains elevated. TYVY, the CVOL Index for 10-Year Treasury options, has declined from April highs but is still holding in the 115–120 range.
Key macro events ahead:
- Non-Farm Payrolls – Friday, June 6 .
- Consumer Price Index (CPI) – Wednesday, June 12.
- FOMC Statement – Wednesday, June 18, 2:00 p.m. ET; press conference at 2:30 p.m. ET.
- PCE Price Index – Friday, June 27.
Reading the skew
Despite the decline in overall volatility, downside skew remains persistent, particularly in UXY and FV options. Traders continue to assign higher premiums to puts relative to calls, reflecting structural demand for downside hedges or latent concerns about fiscal risk, policy missteps or supply shocks.
As we approach the June 6 jobs report, and especially the June 18 FOMC decision, this skew could be tested. Traders can use CVOL to see TVL or volatility indices for 2-, 5-, 10-Year and Bond futures. For volatility on options like the growing option volume on Ultra 10-Year futures consider QuikVol’s QuikSkew analytics.
Curve shape and conditional curve trades
The 2s10s curve steepened in May, reviving interest in conditional curve trades using options to express directional views on curve shape. Options are increasingly being used to express conditional curve trades.
- Call spreads in FV versus put spreads in UXY.
- Butterfly structures around inflection points in UXY to capture steepening potential without excessive Vega exposure.
TYVY skew, built on deep liquidity from options on 10-Year Note futures, supports this theme. Depending on one’s risk management strategy, options on 10-Year Note futures or options on Ultra 10-Year futures retain more downside premium relative to other tenors.
New tools for event-driven volatility: Tuesday and Thursday expiries
We have expanded our suite of Treasury options with the addition of Tuesday and Thursday expiries, significantly enhancing the flexibility of short-dated hedging strategies. This update allows market participants to position tactically around high-impact economic releases such as Non-Farm Payrolls, CPI and FOMC decisions, by accessing expiries available every trading day of the week, two weeks forward.
This enhancement is especially valuable in environments with compressed risk windows, intraday volatility bursts, or when event timing doesn't align neatly with the traditional Monday/Wednesday/Friday expiration schedule. The change was detailed in CME Group SER-9566R.
June: a month to watch
With the macro spotlight on June 6 and June 18, options on Treasury futures offer deep insight into how rate risk is being repriced. Skews in UXY options, the behavior of TVL and renewed activity in curve-based option structures all point to a market that sees risk beneath the surface. Whether you're watching TVL or the new Tuesday and Thursday expiries, June will be a month to track the message inside the vol surface.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
