12/31/2025 9/30/2026 10/31/2026 MoM Chg. S&P 500 6,845.50 7,651.54 7,580.07 -0.93% VIX Index1 14.95 16.34 19.42 3.08 S&P 500 30-day Realized Volatility 11.23% 10.15% 10.79% 0.64 pts MOVE Index1 63.96 110.45 100.20 -10.25 1-year Financing Levels vs. SOFR Bloomberg U.S. Agg TR Index (Ticker: LBUSTRUU) +23 bps +19 bps +20 bps +1 bp Bloomberg U.S. Tsy 20+ Year TR Index (Ticker: LT11TRUU) +23 bps +24 bps +25 bps +1 bp S&P 500 TR Index (Ticker: SPTR) +69 bps +79 bps +75 bps -4 bps MSCI ACWI Net TR USD Index (Ticker: NDUEACWF) +35 bps +45 bps +39 bps -6 bps
Financing Markets
U.S. equity financing term structure was inverted at the end of October, as the front end of the curve captured the increased cost of financing long positions over year-end. The balance of the curve shifted lower as financing levels continued their downward trend and, for the first time since May, traded in line with their two-year medians. Fixed income financing levels remained steady and traded near their two-year medians.
SPTR Financing Curve
Spread to SOFR in bps
SPTR Financing Curve, spread to SOFR in bps, September and October
Line chart of the SPTR financing curve, showing the spread to SOFR in basis points by maturity from 3 months to 5 years, for September and October. Both curves slope upward beyond one year. September rises from 79 bps at 1 year to 98 bps at 5 years, and October from 75 bps to 93 bps, so the October curve sits below September at every maturity from 1 year out. At the 3-month point, October is higher, at 82 bps versus 59 bps.
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Maturity
September
October
1-Year Swap Level | 2-Year History
1-Year Swap Level, 2-Year History
Range bars showing where each index's current 1-year swap level sits within its 2-year history. Bloomberg U.S. Agg TR Index: low 6, median 19, current 20, high 55. S&P 500 TR Index: low 60, median 74, current 74, high 118. MSCI ACWI Net TR USD Index: low 18, median 38, current 39, high 65. All three are at or within one point of their medians.
Bloomberg U.S. Agg TR Index
Low 6
High 55
Median 19
Current 20
S&P 500 TR Index
Low 60
High 118
Median 74
Current 74
MSCI ACWI Net TR USD Index
Low 18
High 65
Median 38
Current 39
Year-End Financing
Year-end financing spreads have fallen below the levels seen at this point in the prior two years after running above them for much of the summer. Spreads continued to normalize following the June squeeze, with several factors easing pressure on bank balance sheets. Asset manager net S&P 500 futures positioning, measured in notional value, fell 8.6% from its May high, and U.S. levered equity ETF AUM declined 25% from its June peak. Questions remain over IPOs slated for the rest of the year as heavy issuance could weigh on dealer balance sheets and reduce financing appetite.
SPTR December/March Implied Financing Spread to SOFR in bps
SPTR December/March Implied Financing, spread to SOFR in bps, by days until year end, 2020 to 2026 Line chart of SPTR December/March implied financing, as a spread to SOFR in basis points, against days until year end, for 2026, 2025, 2024 and a group of 2020 through 2023. Most years trade between about 40 and 120 bps. The 2024 line is the outlier, climbing to a peak near 173 bps about two weeks before year end and then falling to about 88. The 2025 line ends near 54 bps. The 2026 line currently runs to about 60 days before year end, at about 72 bps. 200 160 120 80 40 0 360 330 300 270 240 210 180 150 120 90 60 30 0 Days Until Year End 2026 2024 2025 2020–2023 360 days until year end 202674 bps 202580 bps 202445 bps 2020–2023 range43–64 bps 358 days until year end 202675 bps 202580 bps 202445 bps 2020–2023 range54–59 bps 356 days until year end 202675 bps 202580 bps 202448 bps 2020–2023 range26–59 bps 354 days until year end 202675 bps 202580 bps 202451 bps 2020–2023 range30–58 bps 352 days until year end 202677 bps 202580 bps 202452 bps 2020–2023 range34–93 bps 350 days until year end 202678 bps 202584 bps 202452 bps 2020–2023 range39–88 bps 348 days until year end 202678 bps 202589 bps 202453 bps 2020–2023 range43–83 bps 346 days until year end 202679 bps 202593 bps 202453 bps 2020–2023 range44–78 bps 344 days until year end 202680 bps 202597 bps 202449 bps 2020–2023 range45–74 bps 342 days until year end 202681 bps 2025100 bps 202457 bps 2020–2023 range46–72 bps 340 days until year end 202682 bps 2025101 bps 202465 bps 2020–2023 range44–71 bps 338 days until year end 202683 bps 2025102 bps 202460 bps 2020–2023 range44–69 bps 336 days until year end 202683 bps 2025102 bps 202460 bps 2020–2023 range48–70 bps 334 days until year end 202682 bps 2025102 bps 202465 bps 2020–2023 range49–71 bps 332 days until year end 202680 bps 2025101 bps 202463 bps 2020–2023 range49–73 bps 330 days until year end 202680 bps 2025100 bps 202455 bps 2020–2023 range48–76 bps 328 days until year end 202681 bps 202599 bps 202459 bps 2020–2023 range48–81 bps 326 days until year end 202682 bps 202598 bps 202466 bps 2020–2023 range44–87 bps 324 days until year end 202689 bps 202597 bps 202459 bps 2020–2023 range41–92 bps 322 days until year end 202690 bps 202595 bps 202457 bps 2020–2023 range48–89 bps 320 days until year end 202689 bps 202594 bps 202458 bps 2020–2023 range52–86 bps 318 days until year end 202687 bps 202593 bps 202459 bps 2020–2023 range53–83 bps 316 days until year end 202685 bps 202592 bps 202459 bps 2020–2023 range53–80 bps 314 days until year end 202684 bps 202590 bps 202460 bps 2020–2023 range53–77 bps 312 days until year end 202682 bps 202589 bps 202460 bps 2020–2023 range47–73 bps 310 days until year end 202681 bps 202588 bps 202461 bps 2020–2023 range51–70 bps 308 days until year end 202679 bps 202596 bps 202461 bps 2020–2023 range51–67 bps 306 days until year end 202678 bps 202595 bps 202461 bps 2020–2023 range51–64 bps 304 days until year end 202677 bps 202594 bps 202460 bps 2020–2023 range51–66 bps 302 days until year end 202676 bps 202593 bps 202459 bps 2020–2023 range52–68 bps 300 days until year end 202675 bps 202592 bps 202461 bps 2020–2023 range53–69 bps 298 days until year end 202674 bps 202592 bps 202464 bps 2020–2023 range50–70 bps 296 days until year end 202674 bps 202592 bps 202467 bps 2020–2023 range52–70 bps 294 days until year end 202674 bps 202591 bps 202467 bps 2020–2023 range52–71 bps 292 days until year end 202675 bps 202590 bps 202472 bps 2020–2023 range51–71 bps 290 days until year end 202675 bps 202590 bps 202472 bps 2020–2023 range50–72 bps 288 days until year end 202675 bps 202589 bps 202468 bps 2020–2023 range53–73 bps 286 days until year end 202675 bps 202588 bps 202467 bps 2020–2023 range53–73 bps 284 days until year end 202675 bps 202588 bps 202466 bps 2020–2023 range52–74 bps 282 days until year end 202674 bps 202587 bps 202465 bps 2020–2023 range49–75 bps 280 days until year end 202673 bps 202586 bps 202465 bps 2020–2023 range45–78 bps 278 days until year end 202672 bps 202585 bps 202465 bps 2020–2023 range44–81 bps 276 days until year end 202672 bps 202585 bps 202465 bps 2020–2023 range46–84 bps 274 days until year end 202670 bps 202585 bps 202465 bps 2020–2023 range38–75 bps 272 days until year end 202669 bps 202584 bps 202466 bps 2020–2023 range30–66 bps 270 days until year end 202668 bps 202584 bps 202470 bps 2020–2023 range34–66 bps 268 days until year end 202668 bps 202584 bps 202467 bps 2020–2023 range36–69 bps 266 days until year end 202670 bps 202583 bps 202465 bps 2020–2023 range38–70 bps 264 days until year end 202672 bps 202583 bps 202465 bps 2020–2023 range39–68 bps 262 days until year end 202674 bps 202583 bps 202467 bps 2020–2023 range39–67 bps 260 days until year end 202678 bps 202582 bps 202471 bps 2020–2023 range40–64 bps 258 days until year end 202681 bps 202582 bps 202469 bps 2020–2023 range40–65 bps 256 days until year end 202684 bps 202582 bps 202470 bps 2020–2023 range40–66 bps 254 days until year end 202685 bps 202581 bps 202473 bps 2020–2023 range41–67 bps 252 days until year end 202685 bps 202582 bps 202474 bps 2020–2023 range41–67 bps 250 days until year end 202685 bps 202582 bps 202468 bps 2020–2023 range41–66 bps 248 days until year end 202685 bps 202583 bps 202467 bps 2020–2023 range42–66 bps 246 days until year end 202682 bps 202583 bps 202469 bps 2020–2023 range44–66 bps 244 days until year end 202679 bps 202583 bps 202471 bps 2020–2023 range47–67 bps 242 days until year end 202677 bps 202583 bps 202473 bps 2020–2023 range50–67 bps 240 days until year end 202678 bps 202583 bps 202475 bps 2020–2023 range50–68 bps 238 days until year end 202679 bps 202583 bps 202475 bps 2020–2023 range48–69 bps 236 days until year end 202679 bps 202583 bps 202473 bps 2020–2023 range47–69 bps 234 days until year end 202679 bps 202582 bps 202472 bps 2020–2023 range46–68 bps 232 days until year end 202678 bps 202581 bps 202471 bps 2020–2023 range46–67 bps 230 days until year end 202679 bps 202581 bps 202471 bps 2020–2023 range40–68 bps 228 days until year end 202685 bps 202580 bps 202471 bps 2020–2023 range44–68 bps 226 days until year end 202690 bps 202580 bps 202471 bps 2020–2023 range43–67 bps 224 days until year end 202692 bps 202584 bps 202471 bps 2020–2023 range42–67 bps 222 days until year end 202694 bps 202585 bps 202472 bps 2020–2023 range42–67 bps 220 days until year end 202697 bps 202585 bps 202473 bps 2020–2023 range41–65 bps 218 days until year end 2026100 bps 202586 bps 202474 bps 2020–2023 range35–64 bps 216 days until year end 2026102 bps 202586 bps 202475 bps 2020–2023 range29–64 bps 214 days until year end 2026103 bps 202586 bps 202477 bps 2020–2023 range49–66 bps 212 days until year end 202691 bps 202585 bps 202481 bps 2020–2023 range54–73 bps 210 days until year end 202693 bps 202583 bps 202481 bps 2020–2023 range51–70 bps 208 days until year end 202699 bps 202580 bps 202482 bps 2020–2023 range59–72 bps 206 days until year end 2026102 bps 202577 bps 202483 bps 2020–2023 range61–72 bps 204 days until year end 2026102 bps 202574 bps 202485 bps 2020–2023 range60–71 bps 202 days until year end 2026102 bps 202571 bps 202485 bps 2020–2023 range59–72 bps 200 days until year end 2026102 bps 202567 bps 202485 bps 2020–2023 range61–68 bps 198 days until year end 2026104 bps 202564 bps 202484 bps 2020–2023 range58–69 bps 196 days until year end 2026104 bps 202561 bps 202480 bps 2020–2023 range53–71 bps 194 days until year end 2026106 bps 202558 bps 202473 bps 2020–2023 range57–72 bps 192 days until year end 2026107 bps 202554 bps 202481 bps 2020–2023 range55–73 bps 190 days until year end 2026108 bps 202551 bps 202484 bps 2020–2023 range54–73 bps 188 days until year end 2026110 bps 202548 bps 202481 bps 2020–2023 range53–73 bps 186 days until year end 2026111 bps 202545 bps 202479 bps 2020–2023 range50–73 bps 184 days until year end 2026108 bps 202541 bps 202476 bps 2020–2023 range48–70 bps 182 days until year end 2026100 bps 202539 bps 202476 bps 2020–2023 range45–68 bps 180 days until year end 202693 bps 202550 bps 202478 bps 2020–2023 range42–67 bps 178 days until year end 202692 bps 202558 bps 202479 bps 2020–2023 range38–66 bps 176 days until year end 2026100 bps 202569 bps 202480 bps 2020–2023 range37–68 bps 174 days until year end 2026100 bps 202574 bps 202479 bps 2020–2023 range35–71 bps 172 days until year end 2026100 bps 202573 bps 202477 bps 2020–2023 range36–74 bps 170 days until year end 202685 bps 202574 bps 202477 bps 2020–2023 range38–74 bps 168 days until year end 202697 bps 202578 bps 202478 bps 2020–2023 range38–74 bps 166 days until year end 2026109 bps 202582 bps 202479 bps 2020–2023 range44–74 bps 164 days until year end 2026110 bps 202582 bps 202481 bps 2020–2023 range44–72 bps 162 days until year end 2026104 bps 202583 bps 202485 bps 2020–2023 range44–68 bps 160 days until year end 2026105 bps 202583 bps 202488 bps 2020–2023 range44–70 bps 158 days until year end 2026107 bps 202583 bps 202491 bps 2020–2023 range44–77 bps 156 days until year end 2026108 bps 202583 bps 202494 bps 2020–2023 range42–72 bps 154 days until year end 2026110 bps 202583 bps 202495 bps 2020–2023 range37–74 bps 152 days until year end 2026112 bps 202583 bps 202494 bps 2020–2023 range38–74 bps 150 days until year end 2026113 bps 202583 bps 202492 bps 2020–2023 range45–73 bps 148 days until year end 2026115 bps 202583 bps 202490 bps 2020–2023 range41–74 bps 146 days until year end 2026115 bps 202587 bps 202490 bps 2020–2023 range36–78 bps 144 days until year end 2026115 bps 202592 bps 202489 bps 2020–2023 range43–73 bps 142 days until year end 2026114 bps 202592 bps 202488 bps 2020–2023 range42–71 bps 140 days until year end 2026111 bps 202583 bps 202488 bps 2020–2023 range40–70 bps 138 days until year end 2026109 bps 202587 bps 202487 bps 2020–2023 range43–72 bps 136 days until year end 2026102 bps 202587 bps 202486 bps 2020–2023 range47–72 bps 134 days until year end 202693 bps 202587 bps 202486 bps 2020–2023 range42–71 bps 132 days until year end 202698 bps 202589 bps 202484 bps 2020–2023 range37–72 bps 130 days until year end 2026103 bps 202591 bps 202483 bps 2020–2023 range44–72 bps 128 days until year end 2026102 bps 202592 bps 202481 bps 2020–2023 range46–73 bps 126 days until year end 2026103 bps 202592 bps 202482 bps 2020–2023 range46–74 bps 124 days until year end 2026106 bps 202592 bps 202483 bps 2020–2023 range49–73 bps 122 days until year end 2026106 bps 202593 bps 202485 bps 2020–2023 range53–72 bps 120 days until year end 202698 bps 202594 bps 202487 bps 2020–2023 range50–72 bps 118 days until year end 202692 bps 202595 bps 202488 bps 2020–2023 range45–71 bps 116 days until year end 202677 bps 202596 bps 202489 bps 2020–2023 range47–70 bps 114 days until year end 202667 bps 202599 bps 202490 bps 2020–2023 range49–69 bps 112 days until year end 202675 bps 2025102 bps 202490 bps 2020–2023 range51–70 bps 110 days until year end 202691 bps 2025104 bps 202491 bps 2020–2023 range54–72 bps 108 days until year end 202699 bps 2025106 bps 202491 bps 2020–2023 range58–74 bps 106 days until year end 202693 bps 2025105 bps 202491 bps 2020–2023 range57–75 bps 104 days until year end 202687 bps 2025103 bps 202491 bps 2020–2023 range56–78 bps 102 days until year end 202694 bps 2025101 bps 202490 bps 2020–2023 range53–82 bps 100 days until year end 202692 bps 202598 bps 202490 bps 2020–2023 range50–75 bps 98 days until year end 202693 bps 202598 bps 202490 bps 2020–2023 range47–72 bps 96 days until year end 2026101 bps 202598 bps 202489 bps 2020–2023 range43–73 bps 94 days until year end 2026100 bps 202593 bps 202487 bps 2020–2023 range35–68 bps 92 days until year end 202689 bps 202588 bps 202486 bps 2020–2023 range27–58 bps 90 days until year end 202672 bps 202582 bps 202485 bps 2020–2023 range18–49 bps 88 days until year end 202664 bps 202577 bps 202484 bps 2020–2023 range22–48 bps 86 days until year end 202664 bps 202574 bps 202483 bps 2020–2023 range33–50 bps 84 days until year end 202668 bps 202578 bps 202484 bps 2020–2023 range36–58 bps 82 days until year end 202672 bps 202576 bps 202486 bps 2020–2023 range40–59 bps 80 days until year end 202675 bps 202577 bps 202489 bps 2020–2023 range43–59 bps 78 days until year end 202677 bps 202579 bps 202492 bps 2020–2023 range34–60 bps 76 days until year end 202680 bps 202582 bps 202495 bps 2020–2023 range31–59 bps 74 days until year end 202683 bps 202585 bps 202497 bps 2020–2023 range33–58 bps 72 days until year end 202675 bps 202586 bps 202494 bps 2020–2023 range38–60 bps 70 days until year end 202673 bps 202585 bps 202492 bps 2020–2023 range37–64 bps 68 days until year end 202675 bps 202589 bps 2024102 bps 2020–2023 range36–66 bps 66 days until year end 202675 bps 202592 bps 2024108 bps 2020–2023 range41–67 bps 64 days until year end 202674 bps 202591 bps 2024112 bps 2020–2023 range41–64 bps 62 days until year end 2026— 202593 bps 2024112 bps 2020–2023 range41–67 bps 60 days until year end 2026— 202597 bps 2024112 bps 2020–2023 range43–69 bps 58 days until year end 2026— 202596 bps 2024110 bps 2020–2023 range46–69 bps 56 days until year end 2026— 202598 bps 2024118 bps 2020–2023 range40–69 bps 54 days until year end 2026— 202598 bps 2024127 bps 2020–2023 range41–70 bps 52 days until year end 2026— 202598 bps 2024131 bps 2020–2023 range42–70 bps 50 days until year end 2026— 202592 bps 2024136 bps 2020–2023 range41–70 bps 48 days until year end 2026— 202594 bps 2024140 bps 2020–2023 range40–71 bps 46 days until year end 2026— 202596 bps 2024147 bps 2020–2023 range47–71 bps 44 days until year end 2026— 202597 bps 2024154 bps 2020–2023 range48–71 bps 42 days until year end 2026— 202593 bps 2024144 bps 2020–2023 range52–71 bps 40 days until year end 2026— 202590 bps 2024130 bps 2020–2023 range45–71 bps 38 days until year end 2026— 202590 bps 2024128 bps 2020–2023 range35–73 bps 36 days until year end 2026— 202590 bps 2024132 bps 2020–2023 range44–78 bps 34 days until year end 2026— 202590 bps 2024136 bps 2020–2023 range48–78 bps 32 days until year end 2026— 202590 bps 2024139 bps 2020–2023 range45–74 bps 30 days until year end 2026— 202587 bps 2024141 bps 2020–2023 range45–79 bps 28 days until year end 2026— 202583 bps 2024138 bps 2020–2023 range45–81 bps 26 days until year end 2026— 202584 bps 2024135 bps 2020–2023 range42–81 bps 24 days until year end 2026— 202587 bps 2024138 bps 2020–2023 range39–79 bps 22 days until year end 2026— 202585 bps 2024144 bps 2020–2023 range41–76 bps 20 days until year end 2026— 202587 bps 2024143 bps 2020–2023 range44–74 bps 18 days until year end 2026— 202591 bps 2024151 bps 2020–2023 range50–68 bps 16 days until year end 2026— 202580 bps 2024162 bps 2020–2023 range40–78 bps 14 days until year end 2026— 202562 bps 2024163 bps 2020–2023 range31–75 bps 12 days until year end 2026— 202558 bps 2024138 bps 2020–2023 range21–73 bps 10 days until year end 2026— 202557 bps 2024127 bps 2020–2023 range20–70 bps 8 days until year end 2026— 202556 bps 2024120 bps 2020–2023 range19–55 bps 6 days until year end 2026— 202555 bps 2024108 bps 2020–2023 range19–61 bps 4 days until year end 2026— 202555 bps 2024102 bps 2020–2023 range18–68 bps 2 days until year end 2026— 202554 bps 202495 bps 2020–2023 range17–48 bps 0 days until year end 2026— 202554 bps 202488 bps 2020–2023 range51–51 bps Volatility Markets
Equity volatility diverged in October, with the technology sector leading the equity market selloff. The S&P 500 Index (SPX) fell nearly 1%, while the Nasdaq-100 Index (NDX) declined 6.65% and ended nearly 10% below its October high. On October 30 alone, the NDX fell 3.5%, its worst day since June. One-month NDX implied volatility rose more than four volatility points and closed at the 85th percentile on a one-year lookback. Options activity increased as volume on the Invesco QQQ Trust (QQQ) rose 12% from September and surged 66% on October 30 versus the prior five-day average. The NDX-SPX volatility spread widened to nearly 10 volatility points, close to double its early-October level, as both implied and realized volatility rose faster for NDX than for SPX, highlighting the NDX’s greater sensitivity to the AI theme versus the SPX.
NDX Index 30-Day ATM Implied Volatility vs. 30-Day Realized Volatility
NDX Index, 30-day at-the-money implied volatility versus 30-day realized volatility, percent, October 2025 to October 2026 Line chart of 30-day at-the-money implied volatility and 30-day realized volatility for the Nasdaq-100 Index, in percent, from October 31, 2025 to October 31, 2026. Implied volatility mostly ranged between 16% and 30%. Realized volatility fell to about 13% in December and again in September, rose to a high near 31% in late June, and ended the period at about 20.5%. Implied volatility ended higher, at about 25.4%. 35% 30% 25% 20% 15% 10% Oct-25 Dec-25 Feb-26 Apr-26 Jun-26 Aug-26 Oct-26 Implied Volatility Realized Volatility October 31, 2025 Implied Volatility19.4% Realized Volatility17.5% Implied minus realized+1.9 pts November 2, 2025 Implied Volatility19.4% Realized Volatility17.7% Implied minus realized+1.7 pts November 4, 2025 Implied Volatility20.0% Realized Volatility18.2% Implied minus realized+1.8 pts November 6, 2025 Implied Volatility21.1% Realized Volatility19.1% Implied minus realized+2.0 pts November 8, 2025 Implied Volatility21.3% Realized Volatility19.8% Implied minus realized+1.5 pts November 10, 2025 Implied Volatility20.8% Realized Volatility20.4% Implied minus realized+0.4 pts November 12, 2025 Implied Volatility21.7% Realized Volatility21.0% Implied minus realized+0.7 pts November 14, 2025 Implied Volatility23.0% Realized Volatility21.4% Implied minus realized+1.7 pts November 16, 2025 Implied Volatility24.5% Realized Volatility21.5% Implied minus realized+3.0 pts November 18, 2025 Implied Volatility25.9% Realized Volatility21.2% Implied minus realized+4.7 pts November 20, 2025 Implied Volatility26.6% Realized Volatility20.3% Implied minus realized+6.3 pts November 22, 2025 Implied Volatility25.8% Realized Volatility19.7% Implied minus realized+6.2 pts November 24, 2025 Implied Volatility22.9% Realized Volatility20.0% Implied minus realized+2.9 pts November 26, 2025 Implied Volatility20.4% Realized Volatility20.4% Implied minus realized-0.0 pts November 28, 2025 Implied Volatility19.4% Realized Volatility20.5% Implied minus realized-1.1 pts November 30, 2025 Implied Volatility19.0% Realized Volatility20.4% Implied minus realized-1.4 pts December 2, 2025 Implied Volatility18.7% Realized Volatility20.2% Implied minus realized-1.6 pts December 4, 2025 Implied Volatility18.2% Realized Volatility20.0% Implied minus realized-1.9 pts December 6, 2025 Implied Volatility17.9% Realized Volatility19.6% Implied minus realized-1.7 pts December 8, 2025 Implied Volatility18.1% Realized Volatility19.3% Implied minus realized-1.2 pts December 10, 2025 Implied Volatility18.0% Realized Volatility19.0% Implied minus realized-1.0 pts December 12, 2025 Implied Volatility18.0% Realized Volatility19.1% Implied minus realized-1.1 pts December 14, 2025 Implied Volatility18.3% Realized Volatility19.2% Implied minus realized-0.9 pts December 16, 2025 Implied Volatility18.8% Realized Volatility19.2% Implied minus realized-0.4 pts December 18, 2025 Implied Volatility18.1% Realized Volatility19.1% Implied minus realized-1.0 pts December 20, 2025 Implied Volatility16.8% Realized Volatility18.8% Implied minus realized-2.0 pts December 22, 2025 Implied Volatility15.9% Realized Volatility18.4% Implied minus realized-2.4 pts December 24, 2025 Implied Volatility15.5% Realized Volatility17.7% Implied minus realized-2.2 pts December 26, 2025 Implied Volatility15.5% Realized Volatility17.2% Implied minus realized-1.7 pts December 28, 2025 Implied Volatility15.9% Realized Volatility16.8% Implied minus realized-1.0 pts December 30, 2025 Implied Volatility16.7% Realized Volatility16.7% Implied minus realized+0.0 pts January 1, 2026 Implied Volatility17.5% Realized Volatility16.5% Implied minus realized+0.9 pts January 3, 2026 Implied Volatility17.6% Realized Volatility15.9% Implied minus realized+1.6 pts January 5, 2026 Implied Volatility17.5% Realized Volatility14.8% Implied minus realized+2.6 pts January 7, 2026 Implied Volatility17.4% Realized Volatility13.6% Implied minus realized+3.8 pts January 9, 2026 Implied Volatility17.2% Realized Volatility12.9% Implied minus realized+4.3 pts January 11, 2026 Implied Volatility16.9% Realized Volatility12.8% Implied minus realized+4.1 pts January 13, 2026 Implied Volatility17.3% Realized Volatility12.8% Implied minus realized+4.5 pts January 15, 2026 Implied Volatility18.0% Realized Volatility12.9% Implied minus realized+5.1 pts January 17, 2026 Implied Volatility19.0% Realized Volatility13.2% Implied minus realized+5.8 pts January 19, 2026 Implied Volatility20.0% Realized Volatility13.9% Implied minus realized+6.1 pts January 21, 2026 Implied Volatility19.6% Realized Volatility14.6% Implied minus realized+5.0 pts January 23, 2026 Implied Volatility18.6% Realized Volatility15.0% Implied minus realized+3.6 pts January 25, 2026 Implied Volatility18.0% Realized Volatility14.9% Implied minus realized+3.1 pts January 27, 2026 Implied Volatility18.0% Realized Volatility14.5% Implied minus realized+3.4 pts January 29, 2026 Implied Volatility18.5% Realized Volatility13.8% Implied minus realized+4.7 pts January 31, 2026 Implied Volatility19.3% Realized Volatility13.4% Implied minus realized+5.9 pts February 2, 2026 Implied Volatility19.8% Realized Volatility13.2% Implied minus realized+6.6 pts February 4, 2026 Implied Volatility21.5% Realized Volatility14.0% Implied minus realized+7.5 pts February 6, 2026 Implied Volatility22.1% Realized Volatility15.2% Implied minus realized+6.9 pts February 8, 2026 Implied Volatility20.9% Realized Volatility16.1% Implied minus realized+4.8 pts February 10, 2026 Implied Volatility21.1% Realized Volatility16.3% Implied minus realized+4.8 pts February 12, 2026 Implied Volatility22.1% Realized Volatility16.7% Implied minus realized+5.4 pts February 14, 2026 Implied Volatility23.1% Realized Volatility17.1% Implied minus realized+6.0 pts February 16, 2026 Implied Volatility22.5% Realized Volatility17.0% Implied minus realized+5.4 pts February 18, 2026 Implied Volatility21.7% Realized Volatility17.0% Implied minus realized+4.7 pts February 20, 2026 Implied Volatility21.5% Realized Volatility17.1% Implied minus realized+4.4 pts February 22, 2026 Implied Volatility21.7% Realized Volatility17.3% Implied minus realized+4.4 pts February 24, 2026 Implied Volatility21.1% Realized Volatility17.6% Implied minus realized+3.5 pts February 26, 2026 Implied Volatility20.4% Realized Volatility17.9% Implied minus realized+2.4 pts February 28, 2026 Implied Volatility20.6% Realized Volatility18.0% Implied minus realized+2.5 pts March 2, 2026 Implied Volatility21.4% Realized Volatility17.8% Implied minus realized+3.5 pts March 4, 2026 Implied Volatility23.1% Realized Volatility17.6% Implied minus realized+5.5 pts March 6, 2026 Implied Volatility24.0% Realized Volatility17.6% Implied minus realized+6.4 pts March 8, 2026 Implied Volatility24.5% Realized Volatility17.9% Implied minus realized+6.6 pts March 10, 2026 Implied Volatility24.0% Realized Volatility18.0% Implied minus realized+5.9 pts March 12, 2026 Implied Volatility24.3% Realized Volatility18.1% Implied minus realized+6.2 pts March 14, 2026 Implied Volatility24.4% Realized Volatility18.3% Implied minus realized+6.1 pts March 16, 2026 Implied Volatility23.3% Realized Volatility18.2% Implied minus realized+5.1 pts March 18, 2026 Implied Volatility23.5% Realized Volatility17.7% Implied minus realized+5.8 pts March 20, 2026 Implied Volatility24.4% Realized Volatility17.2% Implied minus realized+7.2 pts March 22, 2026 Implied Volatility25.1% Realized Volatility17.0% Implied minus realized+8.1 pts March 24, 2026 Implied Volatility25.0% Realized Volatility17.2% Implied minus realized+7.8 pts March 26, 2026 Implied Volatility26.8% Realized Volatility17.8% Implied minus realized+9.1 pts March 28, 2026 Implied Volatility28.7% Realized Volatility18.3% Implied minus realized+10.4 pts March 30, 2026 Implied Volatility27.7% Realized Volatility19.3% Implied minus realized+8.4 pts April 1, 2026 Implied Volatility25.7% Realized Volatility20.5% Implied minus realized+5.2 pts April 3, 2026 Implied Volatility23.8% Realized Volatility21.3% Implied minus realized+2.5 pts April 5, 2026 Implied Volatility23.5% Realized Volatility21.3% Implied minus realized+2.3 pts April 7, 2026 Implied Volatility22.6% Realized Volatility21.5% Implied minus realized+1.2 pts April 9, 2026 Implied Volatility21.1% Realized Volatility21.8% Implied minus realized-0.7 pts April 11, 2026 Implied Volatility19.7% Realized Volatility22.2% Implied minus realized-2.4 pts April 13, 2026 Implied Volatility18.8% Realized Volatility22.4% Implied minus realized-3.6 pts April 15, 2026 Implied Volatility18.8% Realized Volatility22.4% Implied minus realized-3.7 pts April 17, 2026 Implied Volatility18.9% Realized Volatility22.3% Implied minus realized-3.4 pts April 19, 2026 Implied Volatility19.0% Realized Volatility22.1% Implied minus realized-3.2 pts April 21, 2026 Implied Volatility19.6% Realized Volatility22.1% Implied minus realized-2.5 pts April 23, 2026 Implied Volatility20.2% Realized Volatility22.1% Implied minus realized-1.8 pts April 25, 2026 Implied Volatility20.3% Realized Volatility22.0% Implied minus realized-1.7 pts April 27, 2026 Implied Volatility20.3% Realized Volatility22.1% Implied minus realized-1.7 pts April 29, 2026 Implied Volatility20.2% Realized Volatility21.8% Implied minus realized-1.6 pts May 1, 2026 Implied Volatility20.0% Realized Volatility21.2% Implied minus realized-1.2 pts May 3, 2026 Implied Volatility19.7% Realized Volatility20.5% Implied minus realized-0.7 pts May 5, 2026 Implied Volatility20.0% Realized Volatility19.9% Implied minus realized+0.1 pts May 7, 2026 Implied Volatility20.8% Realized Volatility18.8% Implied minus realized+2.0 pts May 9, 2026 Implied Volatility21.3% Realized Volatility17.7% Implied minus realized+3.6 pts May 11, 2026 Implied Volatility21.5% Realized Volatility16.9% Implied minus realized+4.6 pts May 13, 2026 Implied Volatility22.0% Realized Volatility16.5% Implied minus realized+5.4 pts May 15, 2026 Implied Volatility22.1% Realized Volatility16.6% Implied minus realized+5.5 pts May 17, 2026 Implied Volatility22.0% Realized Volatility17.1% Implied minus realized+4.9 pts May 19, 2026 Implied Volatility21.5% Realized Volatility17.0% Implied minus realized+4.4 pts May 21, 2026 Implied Volatility21.2% Realized Volatility16.7% Implied minus realized+4.5 pts May 23, 2026 Implied Volatility21.1% Realized Volatility16.5% Implied minus realized+4.5 pts May 25, 2026 Implied Volatility21.1% Realized Volatility16.5% Implied minus realized+4.6 pts May 27, 2026 Implied Volatility20.9% Realized Volatility16.4% Implied minus realized+4.5 pts May 29, 2026 Implied Volatility20.7% Realized Volatility16.3% Implied minus realized+4.4 pts May 31, 2026 Implied Volatility20.6% Realized Volatility16.1% Implied minus realized+4.5 pts June 2, 2026 Implied Volatility21.0% Realized Volatility15.9% Implied minus realized+5.2 pts June 4, 2026 Implied Volatility23.1% Realized Volatility17.7% Implied minus realized+5.4 pts June 6, 2026 Implied Volatility24.8% Realized Volatility20.2% Implied minus realized+4.6 pts June 8, 2026 Implied Volatility26.1% Realized Volatility21.7% Implied minus realized+4.4 pts June 10, 2026 Implied Volatility26.6% Realized Volatility23.1% Implied minus realized+3.4 pts June 12, 2026 Implied Volatility26.3% Realized Volatility24.5% Implied minus realized+1.9 pts June 14, 2026 Implied Volatility24.7% Realized Volatility25.6% Implied minus realized-0.9 pts June 16, 2026 Implied Volatility24.4% Realized Volatility26.2% Implied minus realized-1.9 pts June 18, 2026 Implied Volatility24.5% Realized Volatility26.6% Implied minus realized-2.2 pts June 20, 2026 Implied Volatility24.3% Realized Volatility26.9% Implied minus realized-2.6 pts June 22, 2026 Implied Volatility25.3% Realized Volatility27.1% Implied minus realized-1.8 pts June 24, 2026 Implied Volatility26.8% Realized Volatility27.6% Implied minus realized-0.8 pts June 26, 2026 Implied Volatility27.5% Realized Volatility28.1% Implied minus realized-0.6 pts June 28, 2026 Implied Volatility26.5% Realized Volatility28.5% Implied minus realized-2.0 pts June 30, 2026 Implied Volatility25.2% Realized Volatility28.9% Implied minus realized-3.8 pts July 2, 2026 Implied Volatility24.7% Realized Volatility29.3% Implied minus realized-4.6 pts July 4, 2026 Implied Volatility24.4% Realized Volatility29.5% Implied minus realized-5.1 pts July 6, 2026 Implied Volatility23.9% Realized Volatility29.7% Implied minus realized-5.8 pts July 8, 2026 Implied Volatility23.4% Realized Volatility29.8% Implied minus realized-6.5 pts July 10, 2026 Implied Volatility23.0% Realized Volatility30.0% Implied minus realized-7.1 pts July 12, 2026 Implied Volatility22.8% Realized Volatility30.2% Implied minus realized-7.4 pts July 14, 2026 Implied Volatility22.9% Realized Volatility30.5% Implied minus realized-7.5 pts July 16, 2026 Implied Volatility23.8% Realized Volatility30.5% Implied minus realized-6.6 pts July 18, 2026 Implied Volatility24.6% Realized Volatility29.5% Implied minus realized-4.9 pts July 20, 2026 Implied Volatility24.3% Realized Volatility28.2% Implied minus realized-3.9 pts July 22, 2026 Implied Volatility24.2% Realized Volatility27.3% Implied minus realized-3.0 pts July 24, 2026 Implied Volatility24.6% Realized Volatility26.5% Implied minus realized-1.9 pts July 26, 2026 Implied Volatility25.0% Realized Volatility25.3% Implied minus realized-0.3 pts July 28, 2026 Implied Volatility25.1% Realized Volatility25.4% Implied minus realized-0.4 pts July 30, 2026 Implied Volatility24.2% Realized Volatility25.4% Implied minus realized-1.2 pts August 1, 2026 Implied Volatility22.6% Realized Volatility25.5% Implied minus realized-2.9 pts August 3, 2026 Implied Volatility21.7% Realized Volatility25.5% Implied minus realized-3.8 pts August 5, 2026 Implied Volatility21.1% Realized Volatility25.7% Implied minus realized-4.6 pts August 7, 2026 Implied Volatility20.5% Realized Volatility25.5% Implied minus realized-5.0 pts August 9, 2026 Implied Volatility19.7% Realized Volatility25.1% Implied minus realized-5.4 pts August 11, 2026 Implied Volatility19.2% Realized Volatility24.4% Implied minus realized-5.3 pts August 13, 2026 Implied Volatility18.6% Realized Volatility23.8% Implied minus realized-5.2 pts August 15, 2026 Implied Volatility18.4% Realized Volatility23.2% Implied minus realized-4.9 pts August 17, 2026 Implied Volatility18.4% Realized Volatility23.0% Implied minus realized-4.6 pts August 19, 2026 Implied Volatility19.0% Realized Volatility22.8% Implied minus realized-3.8 pts August 21, 2026 Implied Volatility19.4% Realized Volatility22.6% Implied minus realized-3.2 pts August 23, 2026 Implied Volatility19.3% Realized Volatility22.3% Implied minus realized-3.0 pts August 25, 2026 Implied Volatility18.7% Realized Volatility22.0% Implied minus realized-3.3 pts August 27, 2026 Implied Volatility17.8% Realized Volatility21.7% Implied minus realized-3.9 pts August 29, 2026 Implied Volatility17.0% Realized Volatility21.4% Implied minus realized-4.4 pts August 31, 2026 Implied Volatility17.1% Realized Volatility21.0% Implied minus realized-4.0 pts September 2, 2026 Implied Volatility17.1% Realized Volatility20.6% Implied minus realized-3.6 pts September 4, 2026 Implied Volatility17.2% Realized Volatility20.3% Implied minus realized-3.1 pts September 6, 2026 Implied Volatility17.3% Realized Volatility20.1% Implied minus realized-2.7 pts September 8, 2026 Implied Volatility18.2% Realized Volatility18.8% Implied minus realized-0.7 pts September 10, 2026 Implied Volatility18.4% Realized Volatility17.5% Implied minus realized+0.9 pts September 12, 2026 Implied Volatility18.3% Realized Volatility16.3% Implied minus realized+2.0 pts September 14, 2026 Implied Volatility18.1% Realized Volatility15.1% Implied minus realized+3.1 pts September 16, 2026 Implied Volatility17.5% Realized Volatility13.9% Implied minus realized+3.6 pts September 18, 2026 Implied Volatility16.9% Realized Volatility13.8% Implied minus realized+3.1 pts September 20, 2026 Implied Volatility16.7% Realized Volatility14.8% Implied minus realized+2.0 pts September 22, 2026 Implied Volatility17.2% Realized Volatility15.6% Implied minus realized+1.6 pts September 24, 2026 Implied Volatility17.6% Realized Volatility15.8% Implied minus realized+1.8 pts September 26, 2026 Implied Volatility17.9% Realized Volatility15.8% Implied minus realized+2.1 pts September 28, 2026 Implied Volatility18.4% Realized Volatility15.6% Implied minus realized+2.8 pts September 30, 2026 Implied Volatility18.7% Realized Volatility15.3% Implied minus realized+3.5 pts October 2, 2026 Implied Volatility18.6% Realized Volatility15.0% Implied minus realized+3.7 pts October 4, 2026 Implied Volatility18.4% Realized Volatility14.9% Implied minus realized+3.5 pts October 6, 2026 Implied Volatility18.2% Realized Volatility14.9% Implied minus realized+3.4 pts October 8, 2026 Implied Volatility18.2% Realized Volatility14.9% Implied minus realized+3.2 pts October 10, 2026 Implied Volatility17.9% Realized Volatility15.0% Implied minus realized+2.9 pts October 12, 2026 Implied Volatility18.1% Realized Volatility15.2% Implied minus realized+2.9 pts October 14, 2026 Implied Volatility19.3% Realized Volatility15.5% Implied minus realized+3.8 pts October 16, 2026 Implied Volatility20.4% Realized Volatility16.5% Implied minus realized+3.9 pts October 18, 2026 Implied Volatility21.1% Realized Volatility17.3% Implied minus realized+3.7 pts October 20, 2026 Implied Volatility21.4% Realized Volatility18.0% Implied minus realized+3.4 pts October 22, 2026 Implied Volatility22.4% Realized Volatility18.7% Implied minus realized+3.7 pts October 24, 2026 Implied Volatility23.0% Realized Volatility19.4% Implied minus realized+3.6 pts October 26, 2026 Implied Volatility22.0% Realized Volatility19.7% Implied minus realized+2.3 pts October 28, 2026 Implied Volatility21.8% Realized Volatility19.8% Implied minus realized+2.1 pts October 30, 2026 Implied Volatility23.9% Realized Volatility20.1% Implied minus realized+3.8 pts NDX-SPX Volatility Spread 30-Day Realized and 30-Day ATM Implied
NDX-SPX Volatility Spread, 30-day realized and 30-day at-the-money implied, percent, October 2025 to October 2026 Line chart of the Nasdaq-100 minus S&P 500 volatility spread, in percent, for 30-day implied (at the money) and 30-day realized volatility, from October 31, 2025 to October 31, 2026. Both spreads stayed between about 2 and 7 percentage points through spring 2026, with implied bottoming near 2 in March 2026. They then climbed sharply, with the realized spread peaking near 15 in July 2026, fell back to about 4 by September, and rose again to roughly 10 (implied) and 9 (realized) by the end of October. 16% 12% 8% 4% 0% Oct-25 Dec-25 Feb-26 Apr-26 Jun-26 Aug-26 Oct-26 Implied Spread Realized Spread October 31, 2025 4.9% 5.3% November 2, 2025 4.9% 5.3% November 4, 2025 5.1% 5.5% November 6, 2025 5.6% 5.8% November 8, 2025 6.0% 6.1% November 10, 2025 6.1% 6.3% November 12, 2025 6.4% 6.4% November 14, 2025 6.8% 6.4% November 16, 2025 7.0% 6.3% November 18, 2025 6.8% 6.2% November 20, 2025 6.8% 6.1% November 22, 2025 6.6% 6.2% November 24, 2025 6.2% 6.2% November 26, 2025 5.7% 6.4% November 28, 2025 5.5% 6.4% November 30, 2025 5.2% 6.4% December 2, 2025 5.0% 6.4% December 4, 2025 4.8% 6.3% December 6, 2025 4.7% 6.2% December 8, 2025 4.6% 6.0% December 10, 2025 4.6% 5.8% December 12, 2025 5.0% 5.8% December 14, 2025 5.0% 5.8% December 16, 2025 5.1% 5.8% December 18, 2025 4.8% 5.7% December 20, 2025 4.5% 5.6% December 22, 2025 4.2% 5.4% December 24, 2025 4.0% 5.3% December 26, 2025 4.0% 5.3% December 28, 2025 4.1% 5.3% December 30, 2025 4.5% 5.4% January 1, 2026 5.0% 5.3% January 3, 2026 5.2% 5.1% January 5, 2026 5.1% 4.7% January 7, 2026 5.1% 4.3% January 9, 2026 5.1% 4.2% January 11, 2026 4.9% 4.3% January 13, 2026 4.8% 4.4% January 15, 2026 4.9% 4.4% January 17, 2026 5.1% 4.3% January 19, 2026 5.2% 4.1% January 21, 2026 5.0% 3.9% January 23, 2026 5.0% 4.0% January 25, 2026 5.0% 3.9% January 27, 2026 4.7% 3.7% January 29, 2026 4.8% 3.4% January 31, 2026 5.0% 3.3% February 2, 2026 5.5% 3.3% February 4, 2026 6.1% 3.6% February 6, 2026 6.4% 3.9% February 8, 2026 6.4% 4.1% February 10, 2026 6.3% 4.2% February 12, 2026 6.4% 4.3% February 14, 2026 6.4% 4.4% February 16, 2026 6.0% 4.4% February 18, 2026 5.6% 4.4% February 20, 2026 5.4% 4.3% February 22, 2026 5.4% 4.3% February 24, 2026 5.4% 4.3% February 26, 2026 5.3% 4.5% February 28, 2026 5.0% 4.7% March 2, 2026 4.6% 4.8% March 4, 2026 4.4% 5.0% March 6, 2026 4.2% 5.2% March 8, 2026 3.8% 5.3% March 10, 2026 3.4% 5.3% March 12, 2026 3.4% 5.1% March 14, 2026 3.3% 4.9% March 16, 2026 2.9% 4.6% March 18, 2026 2.8% 4.2% March 20, 2026 2.9% 4.0% March 22, 2026 2.8% 3.9% March 24, 2026 2.7% 3.9% March 26, 2026 2.9% 4.0% March 28, 2026 3.2% 4.1% March 30, 2026 3.3% 4.2% April 1, 2026 3.4% 4.3% April 3, 2026 3.5% 4.4% April 5, 2026 3.6% 4.4% April 7, 2026 3.9% 4.4% April 9, 2026 4.1% 4.3% April 11, 2026 4.1% 4.3% April 13, 2026 4.1% 4.2% April 15, 2026 4.3% 4.1% April 17, 2026 4.5% 4.0% April 19, 2026 4.4% 4.0% April 21, 2026 4.5% 3.9% April 23, 2026 4.8% 4.1% April 25, 2026 5.1% 4.3% April 27, 2026 5.3% 4.6% April 29, 2026 5.2% 4.6% May 1, 2026 5.2% 4.6% May 3, 2026 4.9% 4.5% May 5, 2026 5.2% 4.4% May 7, 2026 5.9% 4.2% May 9, 2026 6.6% 4.0% May 11, 2026 6.7% 4.0% May 13, 2026 6.8% 4.2% May 15, 2026 7.0% 4.6% May 17, 2026 7.0% 4.7% May 19, 2026 6.6% 5.0% May 21, 2026 6.4% 5.3% May 23, 2026 6.6% 5.6% May 25, 2026 6.9% 5.7% May 27, 2026 7.2% 5.8% May 29, 2026 7.4% 5.9% May 31, 2026 7.6% 6.0% June 2, 2026 7.8% 6.0% June 4, 2026 8.3% 6.4% June 6, 2026 8.8% 7.4% June 8, 2026 9.4% 8.5% June 10, 2026 9.8% 9.1% June 12, 2026 10.3% 9.7% June 14, 2026 10.0% 10.4% June 16, 2026 10.0% 11.0% June 18, 2026 10.2% 11.4% June 20, 2026 10.0% 11.6% June 22, 2026 10.3% 11.7% June 24, 2026 11.2% 12.1% June 26, 2026 11.6% 12.6% June 28, 2026 11.7% 12.9% June 30, 2026 11.1% 13.4% July 2, 2026 11.0% 13.9% July 4, 2026 11.4% 14.2% July 6, 2026 11.1% 14.4% July 8, 2026 10.8% 14.5% July 10, 2026 10.4% 14.6% July 12, 2026 10.0% 14.7% July 14, 2026 9.8% 14.8% July 16, 2026 10.1% 14.9% July 18, 2026 10.3% 14.8% July 20, 2026 10.2% 14.4% July 22, 2026 10.1% 14.0% July 24, 2026 10.1% 13.8% July 26, 2026 10.2% 13.5% July 28, 2026 9.9% 13.1% July 30, 2026 9.8% 12.9% August 1, 2026 9.7% 12.9% August 3, 2026 9.0% 12.7% August 5, 2026 8.5% 12.7% August 7, 2026 8.0% 12.6% August 9, 2026 7.6% 12.4% August 11, 2026 7.1% 11.9% August 13, 2026 6.7% 11.3% August 15, 2026 6.4% 10.8% August 17, 2026 6.4% 10.5% August 19, 2026 6.6% 10.2% August 21, 2026 6.8% 10.0% August 23, 2026 6.7% 9.6% August 25, 2026 6.4% 9.4% August 27, 2026 5.9% 9.4% August 29, 2026 5.3% 9.2% August 31, 2026 5.0% 9.1% September 2, 2026 5.0% 8.7% September 4, 2026 5.0% 8.3% September 6, 2026 5.2% 8.0% September 8, 2026 5.3% 7.5% September 10, 2026 5.3% 6.7% September 12, 2026 5.2% 6.2% September 14, 2026 5.0% 5.7% September 16, 2026 4.7% 5.5% September 18, 2026 4.5% 5.2% September 20, 2026 4.9% 5.5% September 22, 2026 5.2% 5.5% September 24, 2026 5.6% 5.5% September 26, 2026 5.7% 5.5% September 28, 2026 5.7% 5.4% September 30, 2026 5.8% 5.2% October 2, 2026 5.9% 5.0% October 4, 2026 6.0% 4.9% October 6, 2026 6.1% 4.7% October 8, 2026 6.1% 4.7% October 10, 2026 6.0% 4.8% October 12, 2026 6.1% 5.0% October 14, 2026 6.3% 5.3% October 16, 2026 6.9% 6.1% October 18, 2026 7.4% 6.8% October 20, 2026 7.7% 7.3% October 22, 2026 8.6% 7.8% October 24, 2026 9.0% 8.3% October 26, 2026 8.5% 8.8% October 28, 2026 8.2% 9.1% October 30, 2026 9.1% 9.1% Treasury yields retraced much of their September increase, with the 2-year yield ending the month 30 bps lower. Rate volatility eased as well, with the MOVE Index falling 10 index points. The USD swaption skew surface repriced, led by short-dated expiries on short tails, where receivers traded at a premium to payers. The 3-month expiry 1-year tail (3Mx1Y) and 3Mx2Y 25-bp risk reversals both turned negative, a sign of growing demand for protection against lower yields. The 3Mx5Y risk reversal remained near zero, highlighting that the repricing was concentrated in the shortest tails. This suggests demand was tied to the near-term policy path rather than a broader reassessment of long-term rates.
USD Swaption Skew Payer Minus Receiver Volatility, ATMF +/- 25 bps, Normal bp
USD Swaption Skew, payer minus receiver volatility, ATMF plus or minus 25 bps, normal bp, October 2025 to October 2026 Line chart of USD swaption skew, measured as payer minus receiver normal volatility in basis points, for 3-month expiry options on 1-, 2- and 5-year tails, from October 2025 to October 2026. All three skews were negative through the winter, with the 1-year tail as low as about -32 bps. They rose sharply around March 2026, with the 5-year tail turning positive, and stepped higher again in April 2026. After a spike in September 2026, they fell back in October: the 5-year tail ended near 0 bps, the 2-year near -8.5 bps and the 1-year near -13 bps. 10 5 0 -5 -10 -15 -20 -25 -30 -35 Oct-25 Dec-25 Feb-26 Apr-26 Jun-26 Aug-26 Oct-26 3Mx5Y RR 3Mx2Y RR 3Mx1Y RR October 30, 2025 3Mx5Y RR-5.2 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-19.9 bps November 1, 2025 3Mx5Y RR-5.2 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-19.9 bps November 3, 2025 3Mx5Y RR-5.1 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-19.9 bps November 5, 2025 3Mx5Y RR-5.1 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-19.8 bps November 7, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-19.8 bps November 9, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-22.6 bps November 11, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-22.5 bps November 13, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-22.5 bps November 15, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-22.4 bps November 17, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-21.7 bps November 19, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-21.7 bps November 21, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-21.7 bps November 23, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-21.7 bps November 25, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-12.9 bps 3Mx1Y RR-21.7 bps November 27, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-21.7 bps November 29, 2025 3Mx5Y RR-5.0 bps 3Mx2Y RR-14.0 bps 3Mx1Y RR-21.7 bps December 1, 2025 3Mx5Y RR-4.2 bps 3Mx2Y RR-14.0 bps 3Mx1Y RR-21.7 bps December 3, 2025 3Mx5Y RR-3.4 bps 3Mx2Y RR-14.0 bps 3Mx1Y RR-21.7 bps December 5, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.8 bps 3Mx1Y RR-24.7 bps December 7, 2025 3Mx5Y RR-3.2 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.7 bps December 9, 2025 3Mx5Y RR-3.2 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.7 bps December 11, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.7 bps December 13, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 15, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 17, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 19, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 21, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 23, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 25, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 27, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.6 bps December 29, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.5 bps December 31, 2025 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.5 bps January 2, 2026 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.5 bps January 4, 2026 3Mx5Y RR-3.3 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.5 bps January 6, 2026 3Mx5Y RR-3.9 bps 3Mx2Y RR-13.5 bps 3Mx1Y RR-24.5 bps January 8, 2026 3Mx5Y RR-5.0 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.5 bps January 10, 2026 3Mx5Y RR-6.2 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.5 bps January 12, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.5 bps January 14, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 16, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 18, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 20, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 22, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 24, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 26, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 28, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.4 bps January 30, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.3 bps February 1, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.3 bps February 3, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-24.3 bps February 5, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-28.2 bps February 7, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-13.4 bps 3Mx1Y RR-28.2 bps February 9, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-15.0 bps 3Mx1Y RR-28.2 bps February 11, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-15.0 bps 3Mx1Y RR-28.2 bps February 13, 2026 3Mx5Y RR-7.5 bps 3Mx2Y RR-15.0 bps 3Mx1Y RR-28.2 bps February 15, 2026 3Mx5Y RR-10.7 bps 3Mx2Y RR-23.0 bps 3Mx1Y RR-28.2 bps February 17, 2026 3Mx5Y RR-11.0 bps 3Mx2Y RR-23.0 bps 3Mx1Y RR-22.8 bps February 19, 2026 3Mx5Y RR-10.7 bps 3Mx2Y RR-23.0 bps 3Mx1Y RR-28.5 bps February 21, 2026 3Mx5Y RR-10.6 bps 3Mx2Y RR-23.0 bps 3Mx1Y RR-31.8 bps February 23, 2026 3Mx5Y RR-10.5 bps 3Mx2Y RR-23.0 bps 3Mx1Y RR-19.9 bps February 25, 2026 3Mx5Y RR-10.4 bps 3Mx2Y RR-23.0 bps 3Mx1Y RR-17.3 bps February 27, 2026 3Mx5Y RR-10.4 bps 3Mx2Y RR-22.9 bps 3Mx1Y RR-17.3 bps March 1, 2026 3Mx5Y RR-10.3 bps 3Mx2Y RR-22.9 bps 3Mx1Y RR-21.2 bps March 3, 2026 3Mx5Y RR-10.3 bps 3Mx2Y RR-22.9 bps 3Mx1Y RR-21.2 bps March 5, 2026 3Mx5Y RR-10.3 bps 3Mx2Y RR-22.9 bps 3Mx1Y RR-19.2 bps March 7, 2026 3Mx5Y RR-10.2 bps 3Mx2Y RR-22.9 bps 3Mx1Y RR-13.7 bps March 9, 2026 3Mx5Y RR0.8 bps 3Mx2Y RR-12.0 bps 3Mx1Y RR-7.2 bps March 11, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-7.3 bps 3Mx1Y RR-7.3 bps March 13, 2026 3Mx5Y RR1.1 bps 3Mx2Y RR-5.0 bps 3Mx1Y RR-7.4 bps March 15, 2026 3Mx5Y RR1.2 bps 3Mx2Y RR-5.0 bps 3Mx1Y RR-7.5 bps March 17, 2026 3Mx5Y RR1.2 bps 3Mx2Y RR-5.0 bps 3Mx1Y RR-7.5 bps March 19, 2026 3Mx5Y RR1.2 bps 3Mx2Y RR-5.0 bps 3Mx1Y RR-7.5 bps March 21, 2026 3Mx5Y RR1.2 bps 3Mx2Y RR-3.5 bps 3Mx1Y RR-7.5 bps March 23, 2026 3Mx5Y RR1.1 bps 3Mx2Y RR-2.8 bps 3Mx1Y RR-7.5 bps March 25, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-2.8 bps 3Mx1Y RR-7.5 bps March 27, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-2.9 bps 3Mx1Y RR-7.5 bps March 29, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-2.9 bps 3Mx1Y RR-7.5 bps March 31, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-2.9 bps 3Mx1Y RR-7.5 bps April 2, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-2.9 bps 3Mx1Y RR-7.5 bps April 4, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-3.0 bps 3Mx1Y RR-7.4 bps April 6, 2026 3Mx5Y RR0.9 bps 3Mx2Y RR-3.0 bps 3Mx1Y RR-7.4 bps April 8, 2026 3Mx5Y RR0.9 bps 3Mx2Y RR-3.0 bps 3Mx1Y RR-7.4 bps April 10, 2026 3Mx5Y RR0.9 bps 3Mx2Y RR-3.0 bps 3Mx1Y RR-7.4 bps April 12, 2026 3Mx5Y RR0.9 bps 3Mx2Y RR-3.1 bps 3Mx1Y RR-7.4 bps April 14, 2026 3Mx5Y RR0.9 bps 3Mx2Y RR-3.1 bps 3Mx1Y RR-7.4 bps April 16, 2026 3Mx5Y RR0.9 bps 3Mx2Y RR-3.1 bps 3Mx1Y RR-7.4 bps April 18, 2026 3Mx5Y RR0.9 bps 3Mx2Y RR-3.1 bps 3Mx1Y RR-7.4 bps April 20, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-3.2 bps 3Mx1Y RR-7.4 bps April 22, 2026 3Mx5Y RR1.0 bps 3Mx2Y RR-3.2 bps 3Mx1Y RR-7.4 bps April 24, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR-0.6 bps 3Mx1Y RR2.6 bps April 26, 2026 3Mx5Y RR5.5 bps 3Mx2Y RR2.0 bps 3Mx1Y RR2.6 bps April 28, 2026 3Mx5Y RR5.5 bps 3Mx2Y RR2.1 bps 3Mx1Y RR2.6 bps April 30, 2026 3Mx5Y RR5.5 bps 3Mx2Y RR2.2 bps 3Mx1Y RR2.5 bps May 2, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR2.2 bps 3Mx1Y RR2.5 bps May 4, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 6, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 8, 2026 3Mx5Y RR5.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 10, 2026 3Mx5Y RR5.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 12, 2026 3Mx5Y RR5.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 14, 2026 3Mx5Y RR5.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 16, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 18, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 20, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 22, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.5 bps May 24, 2026 3Mx5Y RR5.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps May 26, 2026 3Mx5Y RR5.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps May 28, 2026 3Mx5Y RR5.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps May 30, 2026 3Mx5Y RR5.2 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 1, 2026 3Mx5Y RR5.2 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 3, 2026 3Mx5Y RR5.2 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 5, 2026 3Mx5Y RR5.2 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 7, 2026 3Mx5Y RR5.2 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 9, 2026 3Mx5Y RR5.1 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 11, 2026 3Mx5Y RR5.1 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 13, 2026 3Mx5Y RR5.1 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 15, 2026 3Mx5Y RR5.0 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.4 bps June 17, 2026 3Mx5Y RR5.0 bps 3Mx2Y RR2.2 bps 3Mx1Y RR2.3 bps June 19, 2026 3Mx5Y RR5.0 bps 3Mx2Y RR2.2 bps 3Mx1Y RR2.3 bps June 21, 2026 3Mx5Y RR5.0 bps 3Mx2Y RR2.2 bps 3Mx1Y RR2.3 bps June 23, 2026 3Mx5Y RR4.9 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.8 bps June 25, 2026 3Mx5Y RR4.8 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.8 bps June 27, 2026 3Mx5Y RR4.5 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps June 29, 2026 3Mx5Y RR4.3 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 1, 2026 3Mx5Y RR4.3 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 3, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 5, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 7, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 9, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 11, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 13, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 15, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 17, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 19, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 21, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR0.9 bps July 23, 2026 3Mx5Y RR4.2 bps 3Mx2Y RR1.9 bps 3Mx1Y RR0.9 bps July 25, 2026 3Mx5Y RR4.1 bps 3Mx2Y RR1.7 bps 3Mx1Y RR0.9 bps July 27, 2026 3Mx5Y RR4.1 bps 3Mx2Y RR1.4 bps 3Mx1Y RR0.9 bps July 29, 2026 3Mx5Y RR4.1 bps 3Mx2Y RR1.3 bps 3Mx1Y RR0.9 bps July 31, 2026 3Mx5Y RR4.1 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 2, 2026 3Mx5Y RR4.0 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 4, 2026 3Mx5Y RR4.0 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 6, 2026 3Mx5Y RR4.0 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 8, 2026 3Mx5Y RR3.9 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 10, 2026 3Mx5Y RR3.9 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 12, 2026 3Mx5Y RR3.9 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 14, 2026 3Mx5Y RR3.9 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 16, 2026 3Mx5Y RR3.8 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 18, 2026 3Mx5Y RR3.8 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 20, 2026 3Mx5Y RR3.6 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 22, 2026 3Mx5Y RR3.3 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 24, 2026 3Mx5Y RR2.9 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 26, 2026 3Mx5Y RR2.9 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 28, 2026 3Mx5Y RR3.0 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps August 30, 2026 3Mx5Y RR3.0 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps September 1, 2026 3Mx5Y RR3.0 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps September 3, 2026 3Mx5Y RR3.0 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps September 5, 2026 3Mx5Y RR3.1 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps September 7, 2026 3Mx5Y RR3.1 bps 3Mx2Y RR1.2 bps 3Mx1Y RR0.9 bps September 9, 2026 3Mx5Y RR3.1 bps 3Mx2Y RR1.7 bps 3Mx1Y RR1.8 bps September 11, 2026 3Mx5Y RR3.2 bps 3Mx2Y RR2.2 bps 3Mx1Y RR2.7 bps September 13, 2026 3Mx5Y RR3.2 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.7 bps September 15, 2026 3Mx5Y RR3.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.7 bps September 17, 2026 3Mx5Y RR3.3 bps 3Mx2Y RR2.3 bps 3Mx1Y RR2.7 bps September 19, 2026 3Mx5Y RR3.4 bps 3Mx2Y RR2.4 bps 3Mx1Y RR2.8 bps September 21, 2026 3Mx5Y RR3.5 bps 3Mx2Y RR2.4 bps 3Mx1Y RR2.8 bps September 23, 2026 3Mx5Y RR3.7 bps 3Mx2Y RR2.5 bps 3Mx1Y RR2.8 bps September 25, 2026 3Mx5Y RR3.9 bps 3Mx2Y RR2.5 bps 3Mx1Y RR2.8 bps September 27, 2026 3Mx5Y RR7.6 bps 3Mx2Y RR4.4 bps 3Mx1Y RR4.5 bps September 29, 2026 3Mx5Y RR7.5 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.3 bps October 1, 2026 3Mx5Y RR5.5 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.3 bps October 3, 2026 3Mx5Y RR5.5 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.3 bps October 5, 2026 3Mx5Y RR5.5 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.3 bps October 7, 2026 3Mx5Y RR5.5 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.2 bps October 9, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.2 bps October 11, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.2 bps October 13, 2026 3Mx5Y RR5.4 bps 3Mx2Y RR5.3 bps 3Mx1Y RR6.2 bps October 15, 2026 3Mx5Y RR4.9 bps 3Mx2Y RR3.7 bps 3Mx1Y RR3.2 bps October 17, 2026 3Mx5Y RR4.0 bps 3Mx2Y RR0.5 bps 3Mx1Y RR-1.9 bps October 19, 2026 3Mx5Y RR2.0 bps 3Mx2Y RR-0.4 bps 3Mx1Y RR-4.1 bps October 21, 2026 3Mx5Y RR0.6 bps 3Mx2Y RR-0.4 bps 3Mx1Y RR-4.4 bps October 23, 2026 3Mx5Y RR0.5 bps 3Mx2Y RR-0.4 bps 3Mx1Y RR-4.7 bps October 25, 2026 3Mx5Y RR0.4 bps 3Mx2Y RR-0.5 bps 3Mx1Y RR-7.4 bps October 27, 2026 3Mx5Y RR0.3 bps 3Mx2Y RR-0.5 bps 3Mx1Y RR-10.8 bps October 29, 2026 3Mx5Y RR0.2 bps 3Mx2Y RR-0.5 bps 3Mx1Y RR-12.4 bps What Stands Out
Regulatory constraints can create persistent market dislocations by forcing certain behaviors. This can be seen in financing markets in China A-share indexes. A-shares are the shares of mainland China-based companies traded in the local currency, RMB. Initially, this market was restricted to local investors, but over time A-shares have opened to select foreign investors.
The graph below shows the spread to SOFR for a one-year total return swap (TRS) on the CSI 500 Index, which tracks the performance of small- and mid-cap companies listed in Shanghai and Shenzhen. A-shares are hard to borrow, so onshore market-neutral hedge funds that are long stocks will sell index futures to hedge factor exposure, creating persistent one-way flow. In a free market, arbitrageurs would buy these cheap futures and short the physical shares until the basis closed. However, since access to China A-share markets is limited and short selling is difficult, this basis persists. As a result, to go long a one-year TRS, an investor would “pay” SOFR minus 1086 bps, effectively collecting roughly 6.75% and receiving the performance of the CSI 500 Index. The same negative financing spreads are evident in the CSI 300 and the CSI 1000 to varying degrees.
CSI 500 Index Financing 1-Year TRS Spread to SOFR in bps
CSI 500 Index Financing, 1-year total return swap spread to SOFR in bps, October 2024 to October 2026 Line chart of the 1-year total return swap spread to SOFR on the CSI 500 Index, in basis points, from October 2024 to October 2026. The spread began near -300 bps, fell to about -800 bps within weeks, drifted lower to around -1,000 bps through 2025, rebounded sharply to about -400 bps in early 2026, then declined again, reaching roughly -1,070 bps in late October 2026. The widest negative readings, near -1,180 bps, came in September 2026. 0 -200 -400 -600 -800 -1,000 -1,200 Oct-24 Feb-25 Jun-25 Oct-25 Feb-26 Jun-26 Oct-26 October 30, 2024 Spread to SOFR-300 bps November 3, 2024 Spread to SOFR-140 bps November 7, 2024 Spread to SOFR-470 bps November 11, 2024 Spread to SOFR-800 bps November 15, 2024 Spread to SOFR-807 bps November 19, 2024 Spread to SOFR-814 bps November 23, 2024 Spread to SOFR-822 bps November 27, 2024 Spread to SOFR-830 bps December 1, 2024 Spread to SOFR-838 bps December 5, 2024 Spread to SOFR-820 bps December 9, 2024 Spread to SOFR-792 bps December 13, 2024 Spread to SOFR-765 bps December 17, 2024 Spread to SOFR-744 bps December 21, 2024 Spread to SOFR-738 bps December 25, 2024 Spread to SOFR-732 bps December 29, 2024 Spread to SOFR-726 bps January 2, 2025 Spread to SOFR-721 bps January 6, 2025 Spread to SOFR-715 bps January 10, 2025 Spread to SOFR-709 bps January 14, 2025 Spread to SOFR-693 bps January 18, 2025 Spread to SOFR-647 bps January 22, 2025 Spread to SOFR-624 bps January 26, 2025 Spread to SOFR-609 bps January 30, 2025 Spread to SOFR-605 bps February 3, 2025 Spread to SOFR-605 bps February 7, 2025 Spread to SOFR-605 bps February 11, 2025 Spread to SOFR-625 bps February 15, 2025 Spread to SOFR-649 bps February 19, 2025 Spread to SOFR-663 bps February 23, 2025 Spread to SOFR-697 bps February 27, 2025 Spread to SOFR-750 bps March 3, 2025 Spread to SOFR-791 bps March 7, 2025 Spread to SOFR-794 bps March 11, 2025 Spread to SOFR-800 bps March 15, 2025 Spread to SOFR-806 bps March 19, 2025 Spread to SOFR-812 bps March 23, 2025 Spread to SOFR-818 bps March 27, 2025 Spread to SOFR-809 bps March 31, 2025 Spread to SOFR-795 bps April 4, 2025 Spread to SOFR-818 bps April 8, 2025 Spread to SOFR-841 bps April 12, 2025 Spread to SOFR-864 bps April 16, 2025 Spread to SOFR-887 bps April 20, 2025 Spread to SOFR-910 bps April 24, 2025 Spread to SOFR-858 bps April 28, 2025 Spread to SOFR-843 bps May 2, 2025 Spread to SOFR-840 bps May 6, 2025 Spread to SOFR-833 bps May 10, 2025 Spread to SOFR-825 bps May 14, 2025 Spread to SOFR-830 bps May 18, 2025 Spread to SOFR-870 bps May 22, 2025 Spread to SOFR-910 bps May 26, 2025 Spread to SOFR-868 bps May 30, 2025 Spread to SOFR-850 bps June 3, 2025 Spread to SOFR-850 bps June 7, 2025 Spread to SOFR-870 bps June 11, 2025 Spread to SOFR-890 bps June 15, 2025 Spread to SOFR-913 bps June 19, 2025 Spread to SOFR-911 bps June 23, 2025 Spread to SOFR-835 bps June 27, 2025 Spread to SOFR-841 bps July 1, 2025 Spread to SOFR-846 bps July 5, 2025 Spread to SOFR-852 bps July 9, 2025 Spread to SOFR-857 bps July 13, 2025 Spread to SOFR-860 bps July 17, 2025 Spread to SOFR-891 bps July 21, 2025 Spread to SOFR-920 bps July 25, 2025 Spread to SOFR-940 bps July 29, 2025 Spread to SOFR-960 bps August 2, 2025 Spread to SOFR-963 bps August 6, 2025 Spread to SOFR-974 bps August 10, 2025 Spread to SOFR-1,008 bps August 14, 2025 Spread to SOFR-1,000 bps August 18, 2025 Spread to SOFR-950 bps August 22, 2025 Spread to SOFR-926 bps August 26, 2025 Spread to SOFR-903 bps August 30, 2025 Spread to SOFR-885 bps September 3, 2025 Spread to SOFR-907 bps September 7, 2025 Spread to SOFR-950 bps September 11, 2025 Spread to SOFR-970 bps September 15, 2025 Spread to SOFR-997 bps September 19, 2025 Spread to SOFR-1,031 bps September 23, 2025 Spread to SOFR-1,021 bps September 27, 2025 Spread to SOFR-995 bps October 1, 2025 Spread to SOFR-972 bps October 5, 2025 Spread to SOFR-962 bps October 9, 2025 Spread to SOFR-992 bps October 13, 2025 Spread to SOFR-961 bps October 17, 2025 Spread to SOFR-910 bps October 21, 2025 Spread to SOFR-982 bps October 25, 2025 Spread to SOFR-982 bps October 29, 2025 Spread to SOFR-964 bps November 2, 2025 Spread to SOFR-953 bps November 6, 2025 Spread to SOFR-946 bps November 10, 2025 Spread to SOFR-949 bps November 14, 2025 Spread to SOFR-971 bps November 18, 2025 Spread to SOFR-1,000 bps November 22, 2025 Spread to SOFR-1,032 bps November 26, 2025 Spread to SOFR-988 bps November 30, 2025 Spread to SOFR-965 bps December 4, 2025 Spread to SOFR-1,015 bps December 8, 2025 Spread to SOFR-995 bps December 12, 2025 Spread to SOFR-970 bps December 16, 2025 Spread to SOFR-944 bps December 20, 2025 Spread to SOFR-925 bps December 24, 2025 Spread to SOFR-925 bps December 28, 2025 Spread to SOFR-925 bps January 1, 2026 Spread to SOFR-909 bps January 5, 2026 Spread to SOFR-847 bps January 9, 2026 Spread to SOFR-752 bps January 13, 2026 Spread to SOFR-561 bps January 17, 2026 Spread to SOFR-465 bps January 21, 2026 Spread to SOFR-460 bps January 25, 2026 Spread to SOFR-439 bps January 29, 2026 Spread to SOFR-416 bps February 2, 2026 Spread to SOFR-430 bps February 6, 2026 Spread to SOFR-480 bps February 10, 2026 Spread to SOFR-506 bps February 14, 2026 Spread to SOFR-509 bps February 18, 2026 Spread to SOFR-510 bps February 22, 2026 Spread to SOFR-510 bps February 26, 2026 Spread to SOFR-510 bps March 2, 2026 Spread to SOFR-510 bps March 6, 2026 Spread to SOFR-778 bps March 10, 2026 Spread to SOFR-848 bps March 14, 2026 Spread to SOFR-850 bps March 18, 2026 Spread to SOFR-850 bps March 22, 2026 Spread to SOFR-856 bps March 26, 2026 Spread to SOFR-869 bps March 30, 2026 Spread to SOFR-875 bps April 3, 2026 Spread to SOFR-875 bps April 7, 2026 Spread to SOFR-875 bps April 11, 2026 Spread to SOFR-875 bps April 15, 2026 Spread to SOFR-848 bps April 19, 2026 Spread to SOFR-812 bps April 23, 2026 Spread to SOFR-778 bps April 27, 2026 Spread to SOFR-749 bps May 1, 2026 Spread to SOFR-720 bps May 5, 2026 Spread to SOFR-713 bps May 9, 2026 Spread to SOFR-707 bps May 13, 2026 Spread to SOFR-700 bps May 17, 2026 Spread to SOFR-740 bps May 21, 2026 Spread to SOFR-730 bps May 25, 2026 Spread to SOFR-730 bps May 29, 2026 Spread to SOFR-728 bps June 2, 2026 Spread to SOFR-726 bps June 6, 2026 Spread to SOFR-755 bps June 10, 2026 Spread to SOFR-811 bps June 14, 2026 Spread to SOFR-855 bps June 18, 2026 Spread to SOFR-900 bps June 22, 2026 Spread to SOFR-944 bps June 26, 2026 Spread to SOFR-905 bps June 30, 2026 Spread to SOFR-898 bps July 4, 2026 Spread to SOFR-1,025 bps July 8, 2026 Spread to SOFR-1,025 bps July 12, 2026 Spread to SOFR-1,025 bps July 16, 2026 Spread to SOFR-1,022 bps July 20, 2026 Spread to SOFR-1,011 bps July 24, 2026 Spread to SOFR-997 bps July 28, 2026 Spread to SOFR-982 bps August 1, 2026 Spread to SOFR-967 bps August 5, 2026 Spread to SOFR-966 bps August 9, 2026 Spread to SOFR-1,009 bps August 13, 2026 Spread to SOFR-1,027 bps August 17, 2026 Spread to SOFR-1,021 bps August 21, 2026 Spread to SOFR-948 bps August 25, 2026 Spread to SOFR-925 bps August 29, 2026 Spread to SOFR-1,024 bps September 2, 2026 Spread to SOFR-1,021 bps September 6, 2026 Spread to SOFR-1,033 bps September 10, 2026 Spread to SOFR-1,028 bps September 14, 2026 Spread to SOFR-1,078 bps September 18, 2026 Spread to SOFR-1,178 bps September 22, 2026 Spread to SOFR-1,174 bps September 26, 2026 Spread to SOFR-1,158 bps September 30, 2026 Spread to SOFR-1,108 bps October 4, 2026 Spread to SOFR-1,070 bps October 8, 2026 Spread to SOFR-1,070 bps October 12, 2026 Spread to SOFR-1,070 bps October 16, 2026 Spread to SOFR-1,070 bps October 20, 2026 Spread to SOFR-1,070 bps October 24, 2026 Spread to SOFR-1,070 bps October 28, 2026 Spread to SOFR-1,070 bps [1] Please refer to the glossary for more information.
Data as of October 30, 2026. Sources: Bloomberg Index Services Ltd., Bloomberg, iVolatility, dealer indications, NISA calculations.
Glossary
What is the MOVE Index? The ICE BofA MOVE Index measures U.S. bond market volatility by tracking a basket of OTC options on U.S. interest rate swaps. The index tracks implied normal yield volatility of a yield curve-weighted basket of at-the-money one-month options on the 2Y, 5Y, 10Y and 30Y constant maturity interest rate swaps. The index value is equal to the average of the implied normal yield volatility of the four options, where the 10Y option is given a 40% weight and the other components each hold a 20% weight.
What is the VIX Index? The VIX Index is a calculation designed to produce a measure of constant 30-day expected volatility of the U.S. stock market derived from mid-quote prices of the S&P500 Index call and put options.
This overview is for informational purposes only. The information has been obtained from sources considered to be reliable, but the accuracy and completeness are not guaranteed. There is no assurance that any economic trends mentioned will continue or that any forecasts will occur. Economic data are as of the dates noted.
