nickkral

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The Box Spread Trick: Get rich slightly faster

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). 

The Box Spread Trick: Get rich slightly faster

What box spread upper and lower bounds have you been using? Are you using IB's smart routing or manual routing?

The Box Spread Trick: Get rich slightly faster

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.

Questions for the group:

  1. This article says executions should occur at 0.29% above treasury yields. Is anyone able to consistently get executions at that rate?
  2. In Interactive Brokers' TWS software, only "Smart" routing is available to me for building these 4 option legs. Customer service confirmed that only smart routing is available. I can't select manual routing. Can someone confirm that they can manually route 4 legged options using Interactive Brokers, and if so, how?
  3. What is the best broker for doing these kinds of transactions?