STRASMORE/EXPLORE 2,401 QUERIES

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.

as of table 7×9read in context →
Which leg did the work: 2-year and 10-year moves over the 91 days before each crossing — 7 rows by 9 columns, computed from US exchange, SIP and OPRA data.
episodecrossed_ony2_91d_beforey2_at_crossy10_91d_beforey10_at_crossy2_change_bpy10_change_bpsteepener_type
May 19801980-05-0212.0410.0411.2910.24-200-105bull steepener (2-year fell most)
Oct 19811981-10-2815.7615.4214.6115.44-3483bear steepener (10-year rose most)
Jul 19821982-07-1914.1813.5213.6613.68-662bull steepener (2-year fell most)
Jun 19891989-06-309.738.089.38.1-165-120bull steepener (2-year fell most)
Dec 20002000-12-2765.15.835.11-90-72bull steepener (2-year fell most)
Mar 20072007-03-214.714.514.64.53-20-7bull steepener (2-year fell most)
Sep 20242024-09-044.723.764.293.77-96-52bull 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
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Which leg did the work: 2-year and 10-year moves over the 91 days before each crossing, derived from the stored result.
ColumnTypeRangeNotes
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

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