{
  "name": "Haven SPX Box Rate Historical Dataset",
  "creator": "Haven Systems LLC",
  "methodologyVersion": "bt-ema-360-v2",
  "historicalMethodologyVersion": "cm-360-v1",
  "temporalCoverage": "2012-01-03/2026-10-22",
  "frequency": "Daily trading days",
  "variables": [
    "1M",
    "3M",
    "6M",
    "1Y",
    "2Y"
  ],
  "tenorDays": {
    "1M": 30,
    "3M": 90,
    "6M": 180,
    "1Y": 365,
    "2Y": 730
  },
  "latest": {
    "1M": {
      "date": "2026-10-20",
      "rate": 0.04601745,
      "confidence": "Moderate"
    },
    "3M": {
      "date": "2026-10-22",
      "rate": 0.04578302,
      "confidence": "trade"
    },
    "6M": {
      "date": "2026-10-22",
      "rate": 0.04718159,
      "confidence": "trade"
    },
    "1Y": {
      "date": "2026-10-22",
      "rate": 0.04950434,
      "confidence": "trade"
    },
    "2Y": {
      "date": "2026-10-22",
      "rate": 0.05078311,
      "confidence": "trade"
    }
  },
  "oneYearAverage2020Through2025": {
    "average": 0.030647,
    "observations": 1506,
    "start": "2020-01-01",
    "end": "2025-12-31"
  },
  "yearlyAverages": [
    {
      "year": 2012,
      "1M": {
        "average": null,
        "observations": 0
      },
      "3M": {
        "average": 0.005046,
        "observations": 26
      },
      "6M": {
        "average": 0.004642,
        "observations": 215
      },
      "1Y": {
        "average": 0.004672,
        "observations": 250
      },
      "2Y": {
        "average": 0.005139,
        "observations": 248
      }
    },
    {
      "year": 2013,
      "1M": {
        "average": null,
        "observations": 3
      },
      "3M": {
        "average": 0.003569,
        "observations": 55
      },
      "6M": {
        "average": 0.004327,
        "observations": 185
      },
      "1Y": {
        "average": 0.004599,
        "observations": 252
      },
      "2Y": {
        "average": 0.005446,
        "observations": 249
      }
    },
    {
      "year": 2014,
      "1M": {
        "average": 0.004849,
        "observations": 39
      },
      "3M": {
        "average": 0.004189,
        "observations": 134
      },
      "6M": {
        "average": 0.004169,
        "observations": 246
      },
      "1Y": {
        "average": 0.004499,
        "observations": 252
      },
      "2Y": {
        "average": 0.007263,
        "observations": 248
      }
    },
    {
      "year": 2015,
      "1M": {
        "average": 0.006317,
        "observations": 157
      },
      "3M": {
        "average": 0.005614,
        "observations": 251
      },
      "6M": {
        "average": 0.005717,
        "observations": 252
      },
      "1Y": {
        "average": 0.006802,
        "observations": 252
      },
      "2Y": {
        "average": 0.009851,
        "observations": 248
      }
    },
    {
      "year": 2016,
      "1M": {
        "average": 0.008017,
        "observations": 163
      },
      "3M": {
        "average": 0.008295,
        "observations": 252
      },
      "6M": {
        "average": 0.008873,
        "observations": 252
      },
      "1Y": {
        "average": 0.009217,
        "observations": 252
      },
      "2Y": {
        "average": 0.010525,
        "observations": 252
      }
    },
    {
      "year": 2017,
      "1M": {
        "average": 0.015159,
        "observations": 143
      },
      "3M": {
        "average": 0.014679,
        "observations": 251
      },
      "6M": {
        "average": 0.015108,
        "observations": 251
      },
      "1Y": {
        "average": 0.015717,
        "observations": 251
      },
      "2Y": {
        "average": 0.016906,
        "observations": 251
      }
    },
    {
      "year": 2018,
      "1M": {
        "average": 0.024081,
        "observations": 217
      },
      "3M": {
        "average": 0.024545,
        "observations": 251
      },
      "6M": {
        "average": 0.025627,
        "observations": 251
      },
      "1Y": {
        "average": 0.026844,
        "observations": 251
      },
      "2Y": {
        "average": 0.027867,
        "observations": 248
      }
    },
    {
      "year": 2019,
      "1M": {
        "average": 0.025414,
        "observations": 240
      },
      "3M": {
        "average": 0.024003,
        "observations": 251
      },
      "6M": {
        "average": 0.023219,
        "observations": 251
      },
      "1Y": {
        "average": 0.022348,
        "observations": 251
      },
      "2Y": {
        "average": 0.021032,
        "observations": 249
      }
    },
    {
      "year": 2020,
      "1M": {
        "average": 0.009243,
        "observations": 233
      },
      "3M": {
        "average": 0.007328,
        "observations": 252
      },
      "6M": {
        "average": 0.00711,
        "observations": 252
      },
      "1Y": {
        "average": 0.006977,
        "observations": 252
      },
      "2Y": {
        "average": 0.007007,
        "observations": 251
      }
    },
    {
      "year": 2021,
      "1M": {
        "average": 0.005177,
        "observations": 250
      },
      "3M": {
        "average": 0.004782,
        "observations": 252
      },
      "6M": {
        "average": 0.004998,
        "observations": 252
      },
      "1Y": {
        "average": 0.005313,
        "observations": 252
      },
      "2Y": {
        "average": 0.006938,
        "observations": 252
      }
    },
    {
      "year": 2022,
      "1M": {
        "average": 0.021236,
        "observations": 246
      },
      "3M": {
        "average": 0.023899,
        "observations": 250
      },
      "6M": {
        "average": 0.027184,
        "observations": 251
      },
      "1Y": {
        "average": 0.031159,
        "observations": 251
      },
      "2Y": {
        "average": 0.032562,
        "observations": 250
      }
    },
    {
      "year": 2023,
      "1M": {
        "average": 0.052048,
        "observations": 246
      },
      "3M": {
        "average": 0.052955,
        "observations": 250
      },
      "6M": {
        "average": 0.053124,
        "observations": 250
      },
      "1Y": {
        "average": 0.051504,
        "observations": 249
      },
      "2Y": {
        "average": 0.043774,
        "observations": 229
      }
    },
    {
      "year": 2024,
      "1M": {
        "average": 0.054351,
        "observations": 239
      },
      "3M": {
        "average": 0.053824,
        "observations": 250
      },
      "6M": {
        "average": 0.051602,
        "observations": 252
      },
      "1Y": {
        "average": 0.04819,
        "observations": 252
      },
      "2Y": {
        "average": 0.044022,
        "observations": 251
      }
    },
    {
      "year": 2025,
      "1M": {
        "average": 0.045688,
        "observations": 229
      },
      "3M": {
        "average": 0.044962,
        "observations": 247
      },
      "6M": {
        "average": 0.043222,
        "observations": 250
      },
      "1Y": {
        "average": 0.041071,
        "observations": 250
      },
      "2Y": {
        "average": 0.038993,
        "observations": 248
      }
    },
    {
      "year": 2026,
      "1M": {
        "average": 0.040981,
        "observations": 178
      },
      "3M": {
        "average": 0.041709,
        "observations": 203
      },
      "6M": {
        "average": 0.042344,
        "observations": 203
      },
      "1Y": {
        "average": 0.042818,
        "observations": 203
      },
      "2Y": {
        "average": 0.043026,
        "observations": 203
      }
    }
  ],
  "notes": "Effective 2026-10-21, Haven converts the BoxTrades smoothed yield into a compounded ACT/360 rate. The term is the calendar days from premium settlement to exercise-settlement cash, not the days remaining until expiration. Premium settles the next business day after the source session. Exercise cash settles the next business day after expiration for both AM-settled SPX and PM-settled SPXW, and a holiday moves that cash date to the following business day. A standard tenor is exact only when a cash-flow maturity lands on it; otherwise it is log-discount interpolated, and a front contract off that tenor is labeled approximately one month with its expiration and cash dates. The source session and the publication date are stored separately. Observations through October 20, 2026 keep their synthetic four-leg prices. Rates are indicative, exclude Haven fees and execution costs, and are not guaranteed executable quotes. Source: BoxTrades. Effective October 21, 2026, Haven converts the BoxTrades smoothed yield into a compounded ACT/360 rate. The term is the calendar days from premium settlement to exercise-settlement cash, not the days remaining until expiration. Premium settles the next business day after the source session. Exercise cash settles the next business day after expiration for both AM-settled SPX and PM-settled SPXW, and a holiday moves that cash date to the following business day. A standard tenor is exact only when a cash-flow maturity lands on it; otherwise it is log-discount interpolated, and a front contract off that tenor is labeled approximately one month with its expiration and cash dates. The source session and the publication date are stored separately. Observations through October 20, 2026 keep their synthetic four-leg prices. Rates are indicative, exclude Haven fees and execution costs, and are not guaranteed executable quotes. Source: BoxTrades.",
  "methodologyTransition": "2026-10-21",
  "currentMethodology": "bt-ema-360-v2",
  "approximateOneMonth": {
    "tenorDays": 32,
    "label": "≈1M",
    "rate": 0.04310092066866389,
    "expiry": "2026-11-20",
    "calendarDays": 30,
    "settlementDays": 32,
    "premiumSettlement": "2026-10-22",
    "exerciseSettlement": "2026-11-23",
    "exact": false,
    "sourceAsOf": "2026-10-21",
    "publishedOn": "2026-10-22"
  },
  "feedStatus": {
    "sourceAsOf": "2026-10-21",
    "lastCheckedAt": "2026-10-23T03:16:36.302Z",
    "lastPublishedAt": "2026-10-23T03:16:36.302Z",
    "freshness": "fresh",
    "publishedThrough": "2026-10-22",
    "detail": "Published 2026-10-22 from BoxTrades 2026-10-21."
  },
  "disclosure": "Effective October 21, 2026, Haven converts the BoxTrades smoothed yield into a compounded ACT/360 rate. The term is the calendar days from premium settlement to exercise-settlement cash, not the days remaining until expiration. Premium settles the next business day after the source session. Exercise cash settles the next business day after expiration for both AM-settled SPX and PM-settled SPXW, and a holiday moves that cash date to the following business day. A standard tenor is exact only when a cash-flow maturity lands on it; otherwise it is log-discount interpolated, and a front contract off that tenor is labeled approximately one month with its expiration and cash dates. The source session and the publication date are stored separately. Observations through October 20, 2026 keep their synthetic four-leg prices. Rates are indicative, exclude Haven fees and execution costs, and are not guaranteed executable quotes. Source: BoxTrades."
}