The Treasury curve barely moved before CPI: what changes in the cost of term?
- Applies to:
- SPX box spread, American-style box spread, Half box
- Risk type:
- Financing cost
Fact
No material changes.
- Treasury curve as of October 13: 1 month — 4.10% (−3 bp from October 9), 3 months — 4.26% (+1 bp), 1 year — 4.48% (+1 bp), 2 years — 4.79% (−1 bp), 10 years — 5.21% (−3 bp).
- Overnight: SOFR — 3.87% and EFFR — 3.88% as of October 9; the Fed's range is 3.75–4.00%. The New York Fed publishes SOFR for October 13 on October 14 at around 8:00 ET; it was not in the morning data snapshot.
- ZMR is 5.11% per year (observed October 13, 01:01 ET, 367-day term). That is 2.86 percentage points below the average margin rate on $100 000 at four brokers (7.98%).
Sources: U.S. Treasury, Daily Treasury Par Yield Curve Rates (curve as of October 13, 2026, checked October 14, 2026); Federal Reserve Bank of New York, reference rates (SOFR and EFFR as of October 9, 2026); broker rates — pages of IBKR, Schwab, Robinhood, E*TRADE (checked October 14, 2026); ZMR — Zero Margin calculation.
Our reading
In the first session after the holiday the curve moved by no more than 3 bp across all terms: the shortest segment and the ten-year slightly lower, the 3-month to 1-year segment slightly higher. September CPI was released today at 8:30 ET; the curve move above is the backdrop before its release.
What to check
- Which term on the curve do you compare your financing with?
- Does your calculation account for the date of the latest available SOFR value?
Limits
A 1–3 bp move in one session does not indicate a trend. The entry does not analyze why rates moved. Treasury yields are coupon-equivalent par yields (par yield); ZMR is a simple annual rate; we do not compare them directly.
Next checkpoint
October 15, 8:30 ET — September PPI; October 16 — standard monthly options expiration; October 27–28 — FOMC meeting
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On X today
The first Treasury curve after Columbus Day, as of October 13, barely moved from October 9: 1 month 4.10% (−3 bp), 1 year 4.48% (+1 bp), 10 years 5.21% (−3 bp). Overnight: SOFR 3.87% and EFFR 3.88% as of October 9; the New York Fed publishes SOFR for October 13 on October 14 at around 8:00 ET. ZMR is 5.11% per year (observed October 13, 01:01 ET, 367-day term), 2.86 percentage points below the average margin rate on $100 000 at four brokers (7.98%). A move within 3 bp is not a change in financing costs. September CPI was released today at 8:30 ET; the curve move above is the backdrop before its release. Sources: U.S. Treasury (curve as of Oct 13); New York Fed; broker rate pages; ZMR — Zero Margin calculation.
An American-style option on a stock or ETF can be exercised on any day before expiration. For structures with such legs the nearest checkpoint is Friday, October 16: the standard monthly expiration. What this means for risk — without assessing anyone's positions: — a short American leg can be exercised early; most often this concerns a Call on the eve of an ex-dividend date and a deep in-the-money Put; — early exercise of one leg takes the structure apart: what remains is a position with a different risk and different collateral; — an SPX box does not carry this risk: SPX index options are European-style and are exercised only on the expiration date. Before October 16 it is worth checking: does the structure have American legs with this expiration, and does the underlying have an ex-dividend date before it. This series describes mechanics and gives no advice; decisions are the reader's. Sources: Cboe (SPX options specifications, expiration calendar); OCC (exercise rules).
The feed describes market events and does not assess any specific account or position. Decisions are yours.