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2s10s inversion episodes: first close, last close, length, and depth

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 2026-09-26, from What Is the 2s10s Spread? Yield Curve Data.

as of ranking 11×4read in context →
2s10s inversion episodes: first close, last close, length, and depth — 11 rows by 4 columns, computed from US exchange, SIP and OPRA data.
first_inverted_closelast_inverted_closeinverted_closesdeepest_bps
1978-08-181980-05-01423-241
1980-09-121982-07-16400-170
1988-12-131989-11-06174-45
1990-03-081990-03-2916-14
1998-05-261998-07-2727-7
2000-02-022000-12-28227-52
2005-12-272006-03-2935-16
2006-06-082007-06-05203-19
2019-08-272019-08-293-4
2022-04-012022-04-042-5
2022-07-062024-09-05539-108
Rows × columns
11 × 4
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 2s10s inversion episodes: first close, last close, length, and depth, derived from the stored result.
ColumnTypeRangeNotes
first_inverted_close date 1978-08-18 to 2022-07-06
last_inverted_close date 1980-05-01 to 2024-09-05
inverted_closes number 2 to 539
deepest_bps number -241 to -4

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.

WITH inverted_closes AS
(
    SELECT
        date,
        round((yield_10_year - yield_2_year) * 100) AS spread_bps
    FROM global_markets.treasury_yields
    WHERE isNotNull(yield_10_year) AND isNotNull(yield_2_year)
      AND yield_10_year < yield_2_year
),
flagged AS
(
    SELECT
        date,
        spread_bps,
        if(dateDiff('day', lagInFrame(date, 1, date) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW), date) > 60, 1, 0) AS starts_new_episode
    FROM inverted_closes
),
episodes AS
(
    SELECT
        date,
        spread_bps,
        sum(starts_new_episode) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS episode_id
    FROM flagged
)
SELECT
    min(date) AS first_inverted_close,
    max(date) AS last_inverted_close,
    count() AS inverted_closes,
    min(spread_bps) AS deepest_bps
FROM episodes
GROUP BY episode_id
ORDER BY first_inverted_close
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