One area that highlights how much traders are bracing for election drama is swaptions, or options on interest rate swaps, which typically mirror the overall direction of Treasury yields. Wells Fargo analysts found that Election Day is priced for four times the volatility of a “typical” trading day in this market, based on the difference between at-the-money volatility on two-month and three-month swaptions on 10-year interest rate swap contracts. That compares to roughly two times at a similar point in the 2016 election cycle and about 1.7 times during the 2012 campaign