Which leg did the work: 2-year and 10-year moves over the 91 days before each crossing
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 2026-09-19, from What Happens When the Yield Curve Un-Inverts.
| episode | crossed_on | y2_91d_before | y2_at_cross | y10_91d_before | y10_at_cross | y2_change_bp | y10_change_bp | steepener_type |
|---|---|---|---|---|---|---|---|---|
| May 1980 | 1980-05-02 | 12.04 | 10.04 | 11.29 | 10.24 | -200 | -105 | bull steepener (2-year fell most) |
| Oct 1981 | 1981-10-28 | 15.76 | 15.42 | 14.61 | 15.44 | -34 | 83 | bear steepener (10-year rose most) |
| Jul 1982 | 1982-07-19 | 14.18 | 13.52 | 13.66 | 13.68 | -66 | 2 | bull steepener (2-year fell most) |
| Jun 1989 | 1989-06-30 | 9.73 | 8.08 | 9.3 | 8.1 | -165 | -120 | bull steepener (2-year fell most) |
| Dec 2000 | 2000-12-27 | 6 | 5.1 | 5.83 | 5.11 | -90 | -72 | bull steepener (2-year fell most) |
| Mar 2007 | 2007-03-21 | 4.71 | 4.51 | 4.6 | 4.53 | -20 | -7 | bull steepener (2-year fell most) |
| Sep 2024 | 2024-09-04 | 4.72 | 3.76 | 4.29 | 3.77 | -96 | -52 | bull steepener (2-year fell most) |
- Rows × columns
- 7 × 9
- Period covered
- to
- 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 |
|---|---|---|---|
episode |
text | 7 distinct values (Dec 2000, Jul 1982, Jun 1989…) | |
crossed_on |
date | 1980-05-02 to 2024-09-04 | |
y2_91d_before |
number | 4.71 to 15.76 | |
y2_at_cross |
number | 3.76 to 15.42 | |
y10_91d_before |
number | 4.29 to 14.61 | |
y10_at_cross |
number | 3.77 to 15.44 | |
y2_change_bp |
number | -200 to -20 | |
y10_change_bp |
number | -120 to 83 | |
steepener_type |
text | 2 distinct values |
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.
the exact SQL behind every number
WITH
daily AS
(
SELECT
date,
dateDiff('day', toDate('1970-01-01'), date) AS dnum,
ifNull(toFloat64(max(yield_2_year)), 0.) AS y2,
ifNull(toFloat64(max(yield_10_year)), 0.) AS y10,
y10 - y2 AS spread
FROM global_markets.treasury_yields
WHERE yield_2_year > 0 AND yield_10_year > 0
GROUP BY date
),
scored AS
(
SELECT
date, dnum, y2, y10, spread,
count() OVER (ORDER BY date ROWS BETWEEN 60 PRECEDING AND 1 PRECEDING) AS rows_prior,
sum(spread < 0) OVER (ORDER BY date ROWS BETWEEN 60 PRECEDING AND 1 PRECEDING) AS neg_prior,
sum(spread > 0) OVER (ORDER BY date ROWS BETWEEN CURRENT ROW AND 20 FOLLOWING) AS pos_next
FROM daily
),
candidates AS
(
SELECT
date, dnum, y2, y10, spread,
lagInFrame(dnum, 1, toInt64(-100000)) OVER (ORDER BY dnum ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS prev_dnum
FROM scored
WHERE spread > 0 AND rows_prior = 60 AND neg_prior >= 35 AND pos_next >= 19
),
episodes AS
(
SELECT date AS cross_date, y2, y10, spread
FROM candidates
WHERE dnum - prev_dnum > 180
AND date <= today() - 380
)
SELECT
episode,
crossed_on,
y2_91d_before,
y2_at_cross,
y10_91d_before,
y10_at_cross,
y2_change_bp,
y10_change_bp,
multiIf(
y2_change_bp < 0 AND abs(y2_change_bp) >= abs(y10_change_bp), 'bull steepener (2-year fell most)',
y10_change_bp > 0 AND abs(y10_change_bp) > abs(y2_change_bp), 'bear steepener (10-year rose most)',
'mixed'
) AS steepener_type
FROM
(
SELECT
formatDateTime(e.cross_date, '%b %Y') AS episode,
toString(toDate(e.cross_date)) AS crossed_on,
round(argMinIf(d.y2, d.date, d.date >= addDays(e.cross_date, -91)), 2) AS y2_91d_before,
round(any(e.y2), 2) AS y2_at_cross,
round(argMinIf(d.y10, d.date, d.date >= addDays(e.cross_date, -91)), 2) AS y10_91d_before,
round(any(e.y10), 2) AS y10_at_cross,
round((any(e.y2) - argMinIf(d.y2, d.date, d.date >= addDays(e.cross_date, -91))) * 100) AS y2_change_bp,
round((any(e.y10) - argMinIf(d.y10, d.date, d.date >= addDays(e.cross_date, -91))) * 100) AS y10_change_bp
FROM episodes AS e
CROSS JOIN daily AS d
WHERE d.date BETWEEN addDays(e.cross_date, -100) AND e.cross_date
GROUP BY e.cross_date
)
ORDER BY crossed_on
Run your own version of this
The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.
More from this analysisWhat Happens When the Yield Curve Un-Inverts
Every 2s10s un-inversion: the crossing and the spread 3, 6 and 12 months later
table 7×8
→
SPY's change from the crossing-day close, 3, 6 and 12 months after each un-inversion
table 2×5
→
The 2s10s spread by month, full history
series 604×5
→
The 2s10s over the trailing six months, with the 2-year and 10-year moves that produced it
series 26×8
→
The 2s10s spread, every print of the half
table 124×2
→
Every half-year since 1976: the 2y and 10y change, the twist between them, and the half's lowest 2s10s print
table 100×7
→
See all 2,401 queries →