Event driven volatility

Of all the economic reports that hit the interest rate products which ones really have a large impact on the IV of the IR options ???
 
I have to agree with Dottom. If the spread doesn't kill you the collapse in volatility will once the "unknown" event becomes "known" and the uncertanty is gone.
 
Quote from white17:

I have to agree with Dottom. If the spread doesn't kill you the collapse in volatility will once the "unknown" event becomes "known" and the uncertanty is gone.
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The options won't decay as fast in the lead up to the event. It won't last so sell them before the event.
 
Thanks guys.

Trying to work out this approach. Think it has some promise, but those damn spreads can really wreck things.

I used to work in the FCOJ option pit and I now recall how big a thieves those option MM's were. I figured with a contract like the 10 year note and its vast difference in liquidity compared to the BS FCOJ contract, that the spreads would be somewhat tighter.

J-Law
 
Anyone ever trade the options on Eurodollar contracts. There seems to be alot of volume there.

How are the spreads ??? Does the underlying respond to the same stimulus as the 10 year Note ???
 
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