Here's the theory behind this trade. Say your broker gives you no interest on a credit balance in your account, but charges you 5% on a debit balance. Say you have $100,000 in your account and buy $400,000 worth of stock with some options in relatively hedged position. Your risk is limited, but you are paying 5% interest on that extra $300,000.
Now say you sell the 100/3100 box in the spx. You are bringing in almost $300,000 in credit balance so you no longer have to pay the broker any interest. The market maker who sold you the box may be happy making 2% on his money and will discount the price of the box to reflect this interest rate, so you are effectively borrowing money at 2%.
So what is the risk of this strategy? You are dealing with a cash settled, European exercise, so your only risk is that there may be a bad mark and your account balance may fluctuate a bit, but since you are only short 1 box here, that risk is negligible.
The market for boxes is really quite tight in the SPX. If you were to do this, Determine the max interest you want to pay (by what you are willing to sell the box for) and enter it as a spread, first at a slightly higher price and then walk it down.
Some brokers won't let you trade very expensive options, and there may be policies not allowing you to do this type of trade, as it reduces their profit center of high interest rates.
Whether it is worthwhile all depends on the interest rates you are being charged.
