Matthew 27:65 - Ellicott's Commentary On The Whole Bible

Ye have a watch. — Better, Take ye a guard. The Greek verb may be either imperative or indicative. The former gives the better meaning. The “watch,” or “guard,” was a body of Roman soldiers (St. Matthew uses the Latin term custodia), who could not be set to such a task without Pilate’s permission. If the priests had had such a “guard” at their disposal before, there would have been no need for them to apply to Pilate.