Every 10 year note option tenor prices above the 4.59% vol delivered over 30 days. IV is flat, 6.39% at 7 days and 6.51% at 77. Forward vol from day 30 to 77 is 6.52%, no calmer later. $ZN_F holds 0.41 points above the 104.29 flip where dealer hedging stops damping moves.

$ZN_F options price a 0.42 point day over 30 days against the 0.31 point day the note has delivered. Even today's 0.28 point rally, 0.66 of the priced day, fell short of that realized day. Below the 104.70 gamma flip, dealer hedging tends to add to moves.

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Forward vol for the day 30 to day 83 stretch on $ZN_F is 6.52%, still above 4.78% realized, so the premium outlasts month one. Term structure is inverted, 6.99% at 7 days down to 6.65% at 83 days, so nearer dates carry more risk. The Fed decides Oct 28.

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$ZN_F options price a 0.45 point day for the next 30 days against 0.31 points delivered, 6.81% implied over 4.70% realized. Today's 0.22 point drop to 104.20 is 0.49 of the priced day. Payrolls Friday Oct 2 and the Fed Oct 28 sit inside that window.

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