SPX Box Spreads
What is an SPX box spread?
A box combines a bull call spread and a bear put spread at the same two strikes and the same expiration. At expiration the package is worth the distance between the strikes. The price paid or received today implies a yield over the time remaining.
Key takeaway
At expiration an SPX box is worth the distance between its two strikes. The price paid or received today is what implies the Haven SPX Box Rate.
The four legs
Same expiration on every leg. Hover a cell. SPX and SPXW options are cash-settled, so none of these legs delivers shares.
| Lower strike | Higher strike | |
|---|---|---|
| Calls | Buy | Sell |
| Puts | Sell | Buy |
A 1,000-point box
At expiration the package is worth the distance between the strikes. A 1,000-point box is worth 1,000. A credit of 980 today leaves 20 points of financing cost over the days that remain. That single price is not the Haven SPX Box Rate. The rate is the curve built from many boxes.
What this means
The end value is fixed by the strikes. The start value is the market. The gap is a rate. It is not a mortgage, not a margin schedule, and not a Truth in Lending APR.
Haven Funding LLC is owned by Haven Systems LLC. Neither firm is a bank or a registered broker-dealer. Securities and execution services are provided through Interactive Brokers LLC. The Haven SPX Box Rate is a constant-maturity reference rate. It is not a Truth in Lending APR and not a commitment to lend.