# 2026-12525: Options Clearing Adds Implied Rates to Pricing Curve

2026-12525, Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing of Proposed Rule Change by The Options Clearing Corporation To Amend Its System for Theoretical Analysis and Numerical Simulation Methodology Description To Incorporate Options Implied Interest Rates as an Additional Source of Interest Rates Inputs for Constructing the Interest Rate Discount Curve Used in Options Pricing., is a Federal Register notice from Securities and Exchange Commission published 2026-06-23; PRIA reads it as touching household money (as of 2026-06-30).

- Canonical: https://policyrisk.com/federal-register/2026-12525
- As of: 2026-06-30
- Plain-text twin of the page above; the HTML and this file carry the same facts.

## Facts
- Document number: 2026-12525
- Title: Self-Regulatory Organizations; The Options Clearing Corporation; Notice of Filing of Proposed Rule Change by The Options Clearing Corporation To Amend Its System for Theoretical Analysis and Numerical Simulation Methodology Description To Incorporate Options Implied Interest Rates as an Additional Source of Interest Rates Inputs for Constructing the Interest Rate Discount Curve Used in Options Pricing.
- Type: Notice
- Agencies: Securities and Exchange Commission
- Citation: 91 FR 37461
- Published: 2026-06-23
- Effective: unknown
- Comments close: not stated
- Significant: no
- Touches household money: yes
- Regulation identifier numbers: none
- Last updated: 2026-06-30

## In one line

Options Clearing Adds Implied Rates to Pricing Curve

## 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.

## Effects PRIA read

- OCC adds options-implied rates: benefit, medium. 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…
- Modest aggregate margin reduction: benefit, medium. 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 require…
- Box rates ~20–40 basis points higher: benefit, medium. 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.

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## Sources
- [2026-12525 on federalregister.gov](https://www.federalregister.gov/documents/2026/06/23/2026-12525/self-regulatory-organizations-the-options-clearing-corporation-notice-of-filing-of-proposed-rule)
- [2026-12525 as published (PDF)](https://www.govinfo.gov/content/pkg/FR-2026-06-23/pdf/2026-12525.pdf)

## Related
- [Previous: 2026-12524, Self-Regulatory Organizations; Cboe BZX Exchange, Inc.; Notice of Filing of a P…](https://policyrisk.com/federal-register/2026-12524)
- [Next: 2026-12526, Self-Regulatory Organizations; Municipal Securities Rulemaking Board; Order Gra…](https://policyrisk.com/federal-register/2026-12526)
- [All Federal Register documents](https://policyrisk.com/federal-register)

Source: PRIA, https://policyrisk.com/federal-register/2026-12525 (as of 2026-06-30).