They very well may end up with a bunch of positions, since they're boxes the risk is bounded to the effective interest so it costs them nothing to hold them except their cost of capital.
Selling SPX boxes for interest
- Thread starter FSU
- Start date
Do you guys have any statistics (# traded, value traded etc) on boxes?
I don't, but would also be interested in seeing them if anyone has them?
No statistics, but you can find them fairly easily. Just look for volume in deep options and see if its the same amount for puts and calls. Then go to time and sales and see if the trade took place at the same time. So for example I see volume of 250 in the Dec 2020 1000 calls, when I look at time and sales I see the Dec 2020 1000/2000 box traded this morning at 977.
So with a 977 investment, you make/lose 23 at expiration. So very easy to figure the implied interest rate of borrowing/lending money here.
so I guess the only reason to do BOX spreads at retail is to reduce the interest cost if you have other margin loan. For example IB charges 3.4% or something like that on Margin a/c and pays 1.6 % on cash balance ( I could be wrong) so by doing this one can have cash seating in the account offsetting some of the interest charges