Rates and calendarOct 7, 2026, 10:00 AM ET

The ten-year yield eased from the year's high and short rates held: what is on the calendar through October 16?

Applies to:: SPX box spread, American-style box spread, Half box
Risk type:: Financing cost

Fact

No significant changes.

The 10-year U.S. Treasury par yield was 5.27% on October 6 (5.31% on October 5, the 2026 high in the Treasury's series). The two-year was 4.79% (4.84%).
The short end barely moved: 3 months 4.21%, 6 months 4.28%, 1 year 4.46%.
Overnight rates on October 5: SOFR 3.89%, EFFR 3.88%; the Fed's target range is 3.75–4.00%.

Sources: U.S. Treasury, Daily Treasury Par Yield Curve Rates (data as of October 6, 2026, checked October 7, 2026); Federal Reserve Bank of New York, reference rates (data as of October 5, 2026).

Our reading

The long end of the curve pulled back by 0.04 percentage points after the previous day's high; the segment up to one year, which matters when comparing with the cost of a one-year box, did not move. One session is not a reversal.

What to check

Does the term of your financing match the part of the curve you compare it with?
Does your structure have legs expiring on October 16?

Limits

The entry does not analyze why rates moved. Treasury yields are coupon-equivalent par yields; ZMR is a simple ACT/360 rate.

Next checkpoint

October 9 — ZMR update (latest 4.85% as of October 2, 363-day term); October 12 — U.S. bond market closed (SIFMA recommendation); October 14, 8:30 ET — September CPI; October 16 — standard monthly options expiration; October 27–28 — FOMC meeting

On X today

No significant changes. The 10-year U.S. Treasury yield was 5.27% on October 6, 0.04 percentage points below the year's high (5.31% the day before). Rates up to one year held steady: 3 months 4.21%, 1 year 4.46%. For a one-year box, what matters is the part of the curve that matches its term, and it did not move on the day. One session is not a reversal. Calendar: October 9 — ZMR update (currently 4.85% as of October 2, 363-day term); October 12 — U.S. bond market closed; October 14 — September CPI; October 16 — monthly options expiration; October 27–28 — FOMC. Sources: U.S. Treasury (curve as of Oct 6), SIFMA, BLS, Cboe, Federal Reserve.

View on X

October 16 is the standard monthly options expiration. For structures built on American-style options (SPY, single stocks), a nearby expiration is a reason to look at the short legs again: early exercise is possible on any day before expiration, while European-style SPX options cannot be exercised early. What to look at for each short American-style leg: where it sits relative to the current price of the underlying, how much time value it has left, how many days remain to expiration, and whether an ex-dividend date falls before it. The answer comes from the makeup of the specific position, not from the general market backdrop. The backdrop is calm: VIX was 15.52 on October 5 (Cboe via FRED). But low volatility on its own does not say whether a particular leg will be exercised, and it does not make a position safe. Our daily snapshot does not include option quotes or a dividend calendar — check them with your broker and the issuer. Why we use SPX as the benchmark and how American-style legs differ: zeromargin.loans/research/spx-vs-spy-why-cheaper-financing-requires-active-management Sources: Cboe (2026 expiration calendar), Cboe VIX via FRED.