Options markets show some investors are taking out protection in case rates instead go negative. The implied probability of U.S. interest rates sinking below zero next year has risen above 10 percent, data compiled by Bloomberg show.

The bloomberg article was published on 27Jan2016.

  • $\begingroup$ It says right in the article : based on call options on futures contracts linked to LIBOR $\endgroup$ – Alex C Jan 27 '16 at 3:23

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