Options Clearing Adds Implied Rates to Pricing Curve
Published Date: 6/23/2026
Notice
Summary
The Options Clearing Corporation (OCC) is updating how it calculates interest rates used in pricing options by adding a new source called 'options implied interest rates.' This change helps make option prices more accurate and affects traders and investors who rely on OCC’s pricing models. The update is under review now, and it could impact how options are valued and traded soon.
Analyzed Economic Effects
3 provisions identified: 3 benefits, 0 costs, 0 mixed.
OCC adds options-implied rates
OCC will add options-implied interest rates (box rates) from the SPX options market as an additional input when building the interest rate discount curve used in options pricing. This aims to make option valuations, especially for deep-in-the-money and medium- to long-term expirations, more in line with market quotations.
Modest aggregate margin reduction
OCC's analysis showed the proposed change produced a modest total margin reduction in one example: about $141 million (approximately 0.27%) on a typical business date in November 2025. Individual portfolios with concentrated deep-in-the-money options could see larger changes in their margin requirements.
Box rates ~20–40 basis points higher
OCC observed that box rates derived from SPX options generally exceed SOFR-based rates by about 20 to 40 basis points across tenors. Incorporating these box rates will most strongly affect deep-in-the-money options and longer-dated expirations where discounting matters more.
Your PRIA Score
Personalized for You
How does this regulation affect your finances?
Sign up for a PRIA Policy Scan to see your personalized alignment score for this federal register document and every other regulation we track. We analyze your financial profile against policy provisions to show you exactly what matters to your wallet.
Key Dates
Department and Agencies
Related Federal Register Documents
2026-12163 — The Trade-Through Rule and Locked and Crossed Markets Provisions of Regulation NMS
The SEC wants to scrap some old rules that stop stocks from being traded at worse prices and prevent confusing market quotes. This change affects stock traders and exchanges, aiming to simplify trading and possibly speed things up. If you want to share your thoughts, you’ve got until August 17, 2026, so don’t miss out!
2026-10373 — Registered Offering Reform
The SEC wants to make it easier and cheaper for more companies to sell their stocks and bonds to the public. They’re opening up special forms and benefits to more businesses, updating rules to be more modern, and cutting red tape by overriding some state rules. If you’re a company planning to raise money, these changes could speed things up and save you money, with feedback due by July 27, 2026.
2026-10222 — Enhancement of Emerging Growth Company Accommodations and Simplification of Filer Status for Reporting Companies
The SEC is making it easier for companies that report their finances by simplifying their categories into just two groups: big and small filers. Smaller companies, including emerging growth ones, will get more time to file reports and enjoy simpler rules, while big companies keep stricter standards. These changes aim to save time and money, with feedback open until July 20, 2026.
2026-07651 — Concept Release on Consolidated Audit Trail and Other Audit Trails and Data Sources
The SEC wants your thoughts on how it tracks stock market trades using the Consolidated Audit Trail and other data tools. They’re thinking about updating rules to keep up with new tech, privacy, and security needs, and to make sure the system is fair and cost-effective. If you’re involved in the stock market or data tracking, speak up by June 22, 2026!
2026-12524 — Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Amend Rule 11.9(d) To Permit an Intermarket Sweep Order (“ISO”) To Be Entered as a Non-Displayed Order and To Establish the Price Level at Which the System Will Consider an ISO Available for Other Orders To Be Entered
Cboe BZX Exchange is updating its rules to let a special type of order called an Intermarket Sweep Order (ISO) be hidden from view when entered. They’re also setting clear price rules for when these orders can be matched with others, and allowing hidden orders to adjust prices more aggressively. This change affects traders using the BZX Exchange and aims to make trading faster and smarter, with the new rules kicking in soon after approval.
2026-12607 — The RBB Fund Trust and Seven Post Investment Office LP
The RBB Fund Trust and Seven Post Investment Office LP want permission to change their subadvisory agreements without asking shareholders first and to keep some fee details private. This could speed up how they manage investments and handle fees. If no one objects by July 13, 2026, the SEC will approve these changes.
Previous / Next Documents
Previous: 2026-12524 — Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing of a Proposed Rule Change To Amend Rule 11.9(d) To Permit an Intermarket Sweep Order (“ISO”) To Be Entered as a Non-Displayed Order and To Establish the Price Level at Which the System Will Consider an ISO Available for Other Orders To Be Entered
Cboe BZX Exchange is updating its rules to let a special type of order called an Intermarket Sweep Order (ISO) be hidden from view when entered. They’re also setting clear price rules for when these orders can be matched with others, and allowing hidden orders to adjust prices more aggressively. This change affects traders using the BZX Exchange and aims to make trading faster and smarter, with the new rules kicking in soon after approval.
Next: 2026-12526 — Self-Regulatory Organizations; Municipal Securities Rulemaking Board; Order Granting Approval of a Proposed Rule Change To Amend MSRB Rule G-12(c) To Codify and Retire or Revise Certain Existing Interpretive Guidance on Confirmation Requirements for Those Inter-Dealer Municipal Securities Transactions That are Ineligible for Automated Comparison
The Municipal Securities Rulemaking Board (MSRB) is updating Rule G-12 to simplify and clarify how dealers confirm certain municipal securities trades that can’t be checked automatically. This change affects brokers and dealers by retiring old confusing guidance and making the rules clearer. The new rules will kick in within a year, with no extra costs expected.