Volatility and ratesOct 17, 2026, 9:30 AM ET

VIX rose to 19.99 on expiration day: what changed in the cost of money this week?

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

Fact

VIX closed October 16 at 19.99 (October 15: 16.46): +3.53 points, +21%. Intraday high: 22.31. On October 9: 14.84.
October 16 was the standard monthly options expiration (third Friday).
Treasury curve on October 16 vs October 15: 1M 4.12% (−5 bp), 3M 4.26% (−2), 1Y 4.46% (−3), 2Y 4.74% (−3), 10Y 5.09% (−1). Week vs October 9: 2Y −6 bp, 10Y −15 bp.
SOFR 3.89%, EFFR 3.88% on October 15; Fed target range 3.75–4.00%.
ZMR 5.11% (observed October 13, 01:01 ET, 367-day term), 2.86 pp below the four-broker average margin rate on $100,000 (7.98%; broker pages as of October 3).

Sources: Cboe VIX Index history (close October 16, 2026); U.S. Treasury Daily Par Yield Curve Rates (October 16, 2026); Federal Reserve Bank of New York reference rates (SOFR, EFFR on October 15, 2026); IBKR, Schwab, Robinhood, E*TRADE pages (as of October 3, 2026, checked October 17, 2026, 01:46 ET); ZMR — Zero Margin calculation.

Our reading

Friday's main change was volatility, not rates: the curve moved no more than 5 bp, while VIX rose by about a fifth. Over the week the long end of the curve fell and the short end barely changed. There is no new ZMR point after October 13.

What to check

Does your collateral-requirement estimate account for days with a sharp rise in volatility?
Which dates of ZMR and broker rates are you comparing your financing cost against?

Limits

A one-day rise in VIX does not indicate a trend; we do not analyze the reasons for the move. Treasury yields are par yields, ZMR is a simple annual rate; we do not compare them directly. This entry describes market data and is not individual advice.

Next checkpoint

October 19 — SOFR and EFFR for October 16; October 27–28 — FOMC meeting

On X today

VIX closed October 16 at 19.99 (+3.53 pts, +21% vs October 15), intraday high 22.31; it was monthly options expiration day. The Treasury curve barely moved: 1M 4.12% (−5 bp), 2Y 4.74% (−3), 10Y 5.09% (−1). ZMR 5.11% (October 13); broker margin average 7.98% (pages as of October 3).

View on X

The week, October 9 → 16: volatility rose, the long end of the curve fell, broker rates and ZMR have no new points. VIX (Cboe, close): 14.84 → 19.99 (+5.15 pts). U.S. Treasury curve: — 1M: 4.13% → 4.12% (−1 bp); — 3M: 4.25% → 4.26% (+1); — 1Y: 4.47% → 4.46% (−1); — 2Y: 4.80% → 4.74% (−6); — 10Y: 5.24% → 5.09% (−15). SOFR: 3.87% (October 9) → 3.89% (October 15); EFFR 3.88% (October 15); Fed target range 3.75–4.00%. Freddie Mac 30-year PMMS on October 15: 7.40% (same as October 8). ZMR is 5.11% as of October 13 (01:01 ET, 367-day term), 2.86 pp below the four-broker $100k margin average (7.98%; pages as of October 3). Compare the full economics of each financing path, not a single number.