After having an order entered for about 3 days, I got an execution today (Jan 22 2021) on a SPX 1000/2000 15DEC23 box for 0.65%, which is 0.46% above the 3 year treasury yield. This was using IB's smart routing (manual routing not available).
What box spread upper and lower bounds have you been using? Are you using IB's smart routing or manual routing?
This is a really valuable article! Thank you for writing it.
For me, trying to execute on this strategy has hit and miss. Using Interactive Brokers, I was able to execute a Dec14'23 3500/4000 box spread on Jan 12th 2021 (1066 days before expiration) for a cost of $488.50, generating an effective interest rate of 0.81%. This isn't a horrible interest rate, but the 3 year treasury yield on Jan 12th was 0.23%. Adding 0.3% to the treasury yield, I would have expected this transaction to go through at 0.53%, not 0.81%. Since then, I've tried different types of box spreads (3000/4000 box, 3000/5000 box, 1000/2000 box), and I can't get an execution at (three year treasury yield + 0.4%) or lower.
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