The Treasury curve at each month-end of H1 2026: bill, 2-year, 10-year, and the spreads between them

Name: The Treasury curve at each month-end of H1 2026: bill, 2-year, 10-year, and the spreads between them
Creator: Strasmore
Published: 2026-08-11
License: https://www.strasmore.com/terms/

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-11, from Macro Picture Entering H2 2026, With Receipts.

as of 2026-08-11 table 6×8read in context →

The Treasury curve at each month-end of H1 2026: bill, 2-year, 10-year, and the spreads between them — 6 rows by 8 columns, computed 2026-08-11 from US exchange, SIP and OPRA data.
period_start	y3m_pct	y2_pct	y10_pct	spread_2s10s_pct	y2_minus_bill_pct	y2_chg_since_jan	y10_chg_since_jan
2026-01-01	3.67	3.52	4.26	0.74	-0.15	0	0
2026-02-01	3.67	3.38	3.97	0.59	-0.29	-0.14	-0.29
2026-03-01	3.7	3.79	4.3	0.51	0.09	0.27	0.04
2026-04-01	3.68	3.88	4.4	0.52	0.2	0.36	0.14
2026-05-01	3.69	3.98	4.45	0.47	0.29	0.46	0.19
2026-06-01	3.87	4.14	4.44	0.3	0.27	0.62	0.18

Rows × columns: 6 × 8
Period covered: 2026-01-01 to 2026-06-01
Computed: 2026-08-11
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for The Treasury curve at each month-end of H1 2026: bill, 2-year, 10-year, and the spreads between them, derived from the stored result.
Column	Type	Range	Notes
`period_start`	date	2026-01-01 to 2026-06-01
`y3m_pct`	number	3.67 to 3.87	percent
`y2_pct`	number	3.38 to 4.14	percent
`y10_pct`	number	3.97 to 4.45	percent
`spread_2s10s_pct`	number	0.3 to 0.74	percent
`y2_minus_bill_pct`	number	-0.29 to 0.29	percent
`y2_chg_since_jan`	number	-0.14 to 0.62
`y10_chg_since_jan`	number	-0.29 to 0.19

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on 2026-08-11, and the query below is what returned them.

the exact SQL behind every number

SELECT toString(toStartOfMonth(date)) AS period_start,
    round(argMax(yield_3_month, date), 2) AS y3m_pct,
    round(argMax(yield_2_year, date), 2) AS y2_pct,
    round(argMax(yield_10_year, date), 2) AS y10_pct,
    round(argMax(yield_10_year, date) - argMax(yield_2_year, date), 2) AS spread_2s10s_pct,
    round(argMax(yield_2_year, date) - argMax(yield_3_month, date), 2) AS y2_minus_bill_pct,
    round(round(argMax(yield_2_year, date), 2) - first_value(round(argMax(yield_2_year, date), 2)) OVER (ORDER BY toStartOfMonth(date)), 2) AS y2_chg_since_jan,
    round(round(argMax(yield_10_year, date), 2) - first_value(round(argMax(yield_10_year, date), 2)) OVER (ORDER BY toStartOfMonth(date)), 2) AS y10_chg_since_jan
FROM global_markets.treasury_yields
WHERE date >= toDate('2026-01-01') AND date < toDate('2026-07-01')
  AND yield_2_year IS NOT NULL AND yield_10_year IS NOT NULL AND yield_3_month IS NOT NULL
GROUP BY toStartOfMonth(date)
ORDER BY period_start

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