tenor_steps
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 2026-09-29, from off-the-run-vs-on-the-run-treasuries.
| tenor_pair | avg_gap_bps | abs_bps_per_year |
|---|---|---|
| 2-year to 10-year | 38.6 | 4.8 |
| 10-year to 30-year | 47.9 | 2.4 |
- Rows × columns
- 2 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
tenor_pair |
text | 2 distinct values (10-year to 30-year, 2-year to 10-year) | |
avg_gap_bps |
number | 38.6 to 47.9 | |
abs_bps_per_year |
number | 2.4 to 4.8 |
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 , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
SELECT
tenor_pair,
round(avg(gap_pct) * 100, 1) AS avg_gap_bps,
round(abs(avg(gap_pct)) * 100 / max(years), 1) AS abs_bps_per_year
FROM
(
SELECT
step.1 AS tenor_pair,
step.2 AS gap_pct,
step.3 AS years,
step.4 AS step_order
FROM
(
SELECT arrayJoin([
('2-year to 10-year', toFloat64(yield_10_year) - toFloat64(yield_2_year), 8.0, 1),
('10-year to 30-year', toFloat64(yield_30_year) - toFloat64(yield_10_year), 20.0, 2)
]) AS step
FROM global_markets.treasury_yields
WHERE date >= today() - 120
AND yield_2_year > 0
AND yield_10_year > 0
AND yield_30_year > 0
)
)
GROUP BY tenor_pair
HAVING count() > 0
ORDER BY max(step_order)
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