SPX Box Spread Rates

Box rates by expiration

Select an expiration to see its rate history and use it in the calculator.

Box rate: simple annualized interest, the contract-weighted average of that day's box trades. Treasury yield: the U.S. Treasury par yield curve at the same maturity. Spread: box rate minus Treasury yield, in basis points (100 basis points = 1%).

Box spread calculator

Price a box for the selected expiration. Change the rate or the limit price and the other one follows.

Sell 1 SPX Dec 19 2031 6000 CALL
Buy  1 SPX Dec 19 2031 6000 PUT
Buy  1 SPX Dec 19 2031 7000 CALL
Sell 1 SPX Dec 19 2031 7000 PUT

Box spreads explained

What is a box spread?

A box spread is four SPX options on the same expiration: a bull call spread and a bear put spread on the same two strikes. At expiration the box is always worth the distance between the strikes, so its price today works like a zero-coupon loan. Selling a box (a short box) brings in cash now and pays back the strike width at expiration, which is borrowing. Buying a box (a long box) pays cash now and gets the width back, which is lending.

Why SPX options?

SPX options are European-style, so they cannot be assigned before expiration, and they settle in cash, so no shares ever change hands. That removes the early assignment risk that makes boxes on stock or ETF options dangerous. SPX is also one of the most traded index option markets, so boxes trade across many expirations, out to about five years.

How is the rate calculated?

Rate = (width / price - 1) x 365 / days, where width is the distance between the strikes, price is what the box traded at and days is how long the loan runs: from the business day after the trade, when the cash moves, to the business day after expiration, when the box settles. That is simple annualized interest, the convention most box spread tools quote. Treasury yields are par yields with interest paid twice a year, so on very long boxes the simple rate reads a bit higher than the same loan quoted as a compounded rate. For example, a 1,000 point box at 748.50 with 1,880 days to go is 6.52% simple.

Why are box rates above Treasury yields?

Box rates usually sit a little above Treasury yields of the same maturity. Lenders earn a small premium for using options instead of buying a bond, and borrowers pay it for a loan with no credit check, no fixed payments and often a lower rate than a margin loan. The spread column shows that gap in basis points.

How are SPX box spreads taxed?

In the U.S., SPX options are Section 1256 contracts: gains and losses count as 60% long-term and 40% short-term no matter how long you held them, and open positions are marked to market at the end of each year. For a borrower the interest usually shows up as a capital loss, and for a lender as a capital gain. This is general information, not tax advice. Ask a tax professional about your situation.

What are the risks?

A short box uses margin, and a broker can close positions if the account falls short. Enter all four legs as one order with a limit price, never one leg at a time. Wide bid and ask prices on long expirations can cost more than the rate difference you are after. And the loan runs to expiration unless you close the box early at the market price.