Breakeven Inflation · Volatility · month move 0bp — Steepener

The read

Breakevens · Volatility · 2 Oct 2026

month move 0bp

month slope move: 0bp
10Y: 2.36%
5s30s: −8bp

Realised volatility is the spread of a rate’s daily moves across the past month.

Breakeven Inflation realised volatility across 5 maturities on 2 Oct 2026: 26bp to 42bp annualised, peaking at 5Y.

The market’s priced inflation rate, nominal Treasury yields minus their TIPS equivalent.

Angles

Change · +2bp on the month, most at the 5Y (+2bp) · on the month, in basis points; amber rose, blue fell
Moves · On the month the 5Y moved most, +2bp; on the year the 5Y, −5bp · signed change in bp, each row shaded against its own horizon; amber rose, blue fell
History · 10Y at or above its five-year median of 2.33% for 23 sessions, 106 of the last 250 at or above · the last year of sessions split by today’s five-year median
Curve · 2.48% at the 20Y falling to a low of 2.29% at the 30Y · level bars, shaded by five-year rank; the headline maturity is outlined

How to read this

What it is

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.

How to read the chart

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. No overnight rate reaches this axis, so a tall mark argues about inflation.

At 90bp a year, a maturity has been moving about 6bp in an average session; at 60bp, closer to 4bp.

Method

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.

Source

US Treasury · Dallas Fed · Atlanta Fed · Cleveland Fed · daily par and TIPS curves · volatility computed here

Breakeven Inflation in detail

2 Oct 2026 · par yields minus TIPS, both from Treasury, derived here

Curve

Tenor	Breakeven	1D	1W	1M	1Y	%ile 5y
5Y	2.37%	+1	+3	+2	−5	49
7Y	2.37%	+1	+4	+2	−1	56
10Y	2.36%	0	+2	+2	0	64
20Y	2.48%	0	+2	−1	+2	53
30Y	2.29%	−1	+2	0	+5	63

tenors 1, 5, 21, 252 trading days; anchors 1, 7, 30, 365 calendar

Slope

Pair	BP	1D	1W	1M	%ile 5y
5s10s	−1bp	−1	−1	0	70
5s30s	−8bp	−2	−1	−2	59
10s30s	−7bp	−1	0	−2	40

long − short, in basis points

Curvature

Fly	BP	1D	1W	1M	%ile 5y
5s10s30s	+6bp	0	−1	+2	83

2 × belly − wings, 50-50 weighted, not duration-neutral

Slope-neutral

Fly	BP	1D	1W	1M	%ile 5y
5s10s30s	+6bp	0	−1	+2	77

the fly with 5s30s regressed out over five years

State

Line	Value	Detail
5s30s	−8bp	30Y below 5Y
Month level	0bp	mean of 5Y and 30Y, over 31 calendar days
Month slope	0bp	change in 5s30s, over 31 calendar days

Priced ahead

Line	Value	Detail
5y5y	2.35%	five years of inflation, priced to start in five years
5Y→10Y	−1bp	nearer-term inflation priced above longer-term
5Y→30Y	−8bp	nearer-term inflation priced above longer-term

compounded from the 5Y and 10Y breakevens, as FRED builds T5YIFR

Against realised

Line	Value	Detail
Trimmed mean PCE (Aug)	2.19%	year over year, tail movers dropped, and the 10Y breakeven prices 17bp above it
Sticky-price core (Aug)	2.70%	year over year, only the slow-repricing half, and the 10Y breakeven prices 34bp below it
Median CPI (Aug)	2.58%	year over year, built from each month’s middle of the basket, and the 10Y breakeven prices 22bp below it
16% trimmed CPI (Aug)	2.57%	year over year, each month with both tails dropped by weight, and the 10Y breakeven prices 21bp below it

all four are underlying cuts, year over year, so each trails the curve

Anchors

Anchor	Value	Detail
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 breakeven curve, which is itself derived here from Treasury par yields and TIPS. They are not published by any source. A dash means the value could not be computed or was too thin to rank, never zero.