Bills · Volatility · 2 Oct 2026
3M vol 48bp
Realised volatility is the spread of a rate’s daily moves across the past month.
Treasury Bills realised volatility across 7 maturities on 2 Oct 2026: 48bp to 77bp annualised, peaking at 1Y.
Short-term Treasury bill rates from 4 weeks to 52 weeks, quoted coupon-equivalent so they compare with a coupon bond.
Realised volatility is the spread of a rate’s daily moves across the past month. Annualising the figure is how one maturity can be set beside another.
One mark per maturity, on an axis of annualised basis points. A taller mark means that stretch moved around more this past month.
The peak marks where the repricing is. Every bill is a policy story, so a tall mark says which meetings are argued over.
At 90bp a year, a maturity has been moving about 6bp in an average session; at 60bp, closer to 4bp.
Scrub the date and this profile barely changes, because consecutive readings share 20 of their 21 sessions. At the zero bound short maturities went quiet because policy was pinned. That is real.
US Treasury · daily bill rates, coupon-equivalent · volatility computed here
2 Oct 2026 · secondary-market bill rates, coupon-equivalent, Treasury’s own feed
| Tenor | Bill rate | 1D | 1W | 1M | 1Y | %ile 5y |
|---|---|---|---|---|---|---|
| SOFR (1 Oct) | 3.87% | −3 | −1 | +21 | −33 | |
| EFFR (1 Oct) | 3.88% | 0 | 0 | +25 | −21 | |
| IORB (1 Oct) | 3.90% | 0 | 0 | +25 | −25 | |
| ON RRP (1 Oct) | 3.75% | 0 | 0 | +25 | −25 | |
| 1M | 3.95% | −1 | −2 | +23 | −17 | 43 |
| 1.5M | 3.98% | −1 | −3 | +17 | −12 | — |
| 2M | 4.04% | −2 | −6 | +22 | −4 | 43 |
| 3M | 4.11% | +1 | −7 | +24 | +16 | 43 |
| 4M | 4.19% | 0 | −7 | +23 | +26 | — |
| 6M | 4.29% | +1 | −7 | +26 | +45 | 51 |
| 1Y | 4.46% | +2 | −2 | +30 | +78 | 63 |
tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar
| Pair | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M | +16bp | +2 | −5 | +1 | 73 |
| 1M/1.5M | +3bp | 0 | −1 | −6 | — |
| 1.5M/2M | +6bp | −1 | −3 | +5 | — |
| 2M/3M | +7bp | +3 | −1 | +2 | 71 |
| 3M/4M | +8bp | −1 | 0 | −1 | — |
| 4M/6M | +10bp | +1 | 0 | +3 | — |
| 6M/1Y | +17bp | +1 | +5 | +4 | 88 |
| 1M/1Y | +51bp | +3 | 0 | +7 | 79 |
long − short, in basis points
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M/1Y | −19bp | +1 | −10 | −5 | 15 |
2 × belly − wings, 50-50 weighted, not duration-neutral
| Fly | BP | 1D | 1W | 1M | %ile 5y |
|---|---|---|---|---|---|
| 1M/3M/1Y | −30bp | +1 | −10 | −5 | 4 |
the fly with 1M/3M regressed out over five years
| Line | Value | Detail |
|---|---|---|
| Inverted | 0 of 16 | pairs 2× apart in maturity |
| Deepest | — | nothing counted is inverted |
| Uncounted | — | no inversion between neighbours |
| 1M/3M | not inverted | |
| Month | Bear Steepener | Δ level +22bp · Δ slope +4bp over a month |
| Line | Value | Detail |
|---|---|---|
| Last episode | 89 sessions | 31 Jul 2025 → 8 Dec 2025 |
| Deepest (5 Sep 2025) | −20bp | |
| Area | 1,064 | basis points × sessions below zero |
| Un-inverted (9 Dec 2025) | 297 days ago | calendar days, not sessions |
| Precedent | 96d | median un-inversion to recession, 26 to 165, n=2. Not a forecast |
1M/3M episodes of 20 sessions or more, since 2 Jan 2002
| Line | Value | Detail |
|---|---|---|
| 3M vol | 48bp | annualised, 21 sessions |
| Rank · 5y | 68th | |
| Shape share | 1.36 | 1M/3M vol ÷ 3M vol |
realised standard deviation of daily changes, annualised
| Line | Value | Detail |
|---|---|---|
| 1y | +3.8% | |
| 5y | +20.0% | not annualised |
| Worst fall (17 Sep 2008) | −0.3% | peak to trough, bottoming 22 Sep 2008 |
| Since then | made back |
a rolling 3M par bond, coupon and price. Not a fund
| Line | Value | Detail |
|---|---|---|
| Four-week bill (1 Oct) | +15bp | |
| Thirteen-week bill (1 Oct) | +31bp | |
| Rank · 5y | 87th |
the bill's yield minus the ON RRP award, award restated on 365
| Anchor | Value | 1D | 1W | 1M | 1Y | Detail |
|---|---|---|---|---|---|---|
| SOFR (1 Oct) | 3.87% | −3 | −1 | +21 | −33 | |
| EFFR (1 Oct) | 3.88% | 0 | 0 | +25 | −21 | |
| IORB (1 Oct) | 3.90% | 0 | 0 | +25 | −25 | |
| ON RRP (1 Oct) | 3.75% | 0 | 0 | +25 | −25 | |
| SOFR−BGCR (1 Oct) | +3bp | +1 | +1 | 0 | −1 | what bilateral cleared repo adds to the broad GC rate inside SOFR |
| NBER (dated to 1 Sep 2026) | not in a dated recession | NBER dates turning points about a year late |
Spreads and butterflies are derived here from the published bill rate curve. They are not published by any source. A dash means the value could not be computed or was too thin to rank, never zero.