Lets look at FVX - the 5 year note T yield. FVX JUN 40 P = 9.00 x 10.20 FVX = 25.35 I do not understand the reason that these options trade below (what would be) parity if it were an equity put. I think it has something to do with the yield curve, the fact that these cannot be early exercised, and the future expectation of interest rates going up. But I have almost no understanding of these type of options. Please enlighten me (and others I am sure) with any details you can provide.