Box Spreads as Loans - Interactive Brokers IBKR - 2021 [and later]

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adamhg
Posts: 218
Joined: Sat Apr 10, 2021 8:40 am

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by adamhg »

DMoogle wrote: Mon Sep 20, 2021 3:18 pm I'm not quite following how those rates calculated though. For the most recent one, it's 815 days to expiration, so I'm getting =(1/815)*(100000/98450)*365 = 0.70%, not 0.44%. What am I missing?
I think you're right in that it should be 0.70%. I was using the annual compounding interest rate (pv/fv) with an ugly typo - I should have had 0.45%.

It looks like the margin rate calculated with simple interest. So I think your method is more apples to apples to quoted margin rate. I updated the post above which also fixed the bad looking rates.

I think you still did quite well, the lower rates are all for shorter term loans
adamhg
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by adamhg »

JSandler wrote: Mon Sep 20, 2021 3:23 pm
adamhg wrote: Mon Sep 20, 2021 2:43 pm I got curious what others were getting for their boxes and ran a quick query against all index options and caught/confirmed 3/4 of your box spreads. You'll be happy to know that you did quite well!
@adamhg: How are you able to query the index options? Just curious.
I just downloaded all the 1min bars and loaded them into a database. I'm only using the bar if the open and close are the same (i.e. same price for the duration of the bar, or more likely only one trade represented in the bar) and then match that against other trades within the same bar. So there's a chance that these aren't "real" box spreads and just happened to be trades that fit a box spread setup that happened in the same minute.

I can automate it if people find seeing the current rates helpful.
parval
Posts: 153
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by parval »

adamhg wrote: Mon Sep 20, 2021 4:19 pm
JSandler wrote: Mon Sep 20, 2021 3:23 pm
adamhg wrote: Mon Sep 20, 2021 2:43 pm I got curious what others were getting for their boxes and ran a quick query against all index options and caught/confirmed 3/4 of your box spreads. You'll be happy to know that you did quite well!
@adamhg: How are you able to query the index options? Just curious.
I just downloaded all the 1min bars and loaded them into a database. I'm only using the bar if the open and close are the same (i.e. same price for the duration of the bar, or more likely only one trade represented in the bar) and then match that against other trades within the same bar. So there's a chance that these aren't "real" box spreads and just happened to be trades that fit a box spread setup that happened in the same minute.

I can automate it if people find seeing the current rates helpful.
This would be extremely helpful if you don't mind. Planning to open some boxes soon.
majasan
Posts: 38
Joined: Mon Oct 12, 2020 12:09 am

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by majasan »

adamhg wrote: Mon Sep 20, 2021 4:19 pm
JSandler wrote: Mon Sep 20, 2021 3:23 pm
adamhg wrote: Mon Sep 20, 2021 2:43 pm I got curious what others were getting for their boxes and ran a quick query against all index options and caught/confirmed 3/4 of your box spreads. You'll be happy to know that you did quite well!
@adamhg: How are you able to query the index options? Just curious.
I just downloaded all the 1min bars and loaded them into a database. I'm only using the bar if the open and close are the same (i.e. same price for the duration of the bar, or more likely only one trade represented in the bar) and then match that against other trades within the same bar. So there's a chance that these aren't "real" box spreads and just happened to be trades that fit a box spread setup that happened in the same minute.

I can automate it if people find seeing the current rates helpful.
Thanks ..yes...I'd find it helpful to see rates. And also if possible the range and the bid/ask that is optimal.
econalex
Posts: 75
Joined: Fri Aug 31, 2018 9:44 am

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by econalex »

adamhg wrote: Mon Sep 20, 2021 2:43 pm @DMoogle thanks for sharing those numbers. I got curious what others were getting for their boxes and ran a quick query against all index options and caught/confirmed 3/4 of your box spreads. You'll be happy to know that you did quite well!

Though, I'm quite surprised that this trade isn't more popular. In the last week, I could only find 9 boxes using the most conservative method to match spreads (exact timestamp match on the minute bar).

Code: Select all

Date                 Rate    Credit  Amount Vol LowK  HighK Und Expiry     Dte   
9/20/2021 3:24:00 PM 0.6943% -98450  100000 1   4000  5000  SPX 12/15/2023 815.36
9/17/2021 8:09:39 PM 0.4940% -409500 410000 126 2000  6100  SPX 12/17/2021 90.16 
9/17/2021 7:59:00 PM 0.7008% -98430  100000 1   3000  4000  SPX 12/15/2023 818.17
9/17/2021 7:57:00 PM 0.7008% -98430  100000 1   3000  4000  SPX 12/15/2023 818.17
9/17/2021 7:48:00 PM 0.7365% -98350  100000 1   3000  4000  SPX 12/15/2023 818.18
9/17/2021 6:33:00 PM 0.7142% -19680  20000  1   4400  4600  SPX 12/15/2023 818.23
9/17/2021 4:21:14 PM 0.5015% -99751  100000 1   15500 16500 NDX 3/18/2022  181.32
9/16/2021 2:24:00 PM 0.6909% -19690  20000  1   4400  4600  SPX 12/15/2023 819.40
9/13/2021 7:55:51 PM 0.6058% -9924   10000  2   400   500   XSP 12/16/2022 458.17
8/20/2021 8:10:43 PM 0.5122% -499515 500000 1   800   5800  SPX 10/29/2021 69.16 
Rate above is the annualized rate ex fees using the fractional DTE from the trade timestamp. I can "find" more boxes if I relax the criteria (i.e. +/- 3-5 sec from the trade print adds several more, but makes it hard to match high/low strikes for the box).

ETA: fixed table
You got me here in the table! Unfortunately I got one of the higher rate :oops:
DMoogle
Posts: 549
Joined: Sat Oct 31, 2020 10:24 pm

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

econalex wrote: Tue Sep 21, 2021 10:49 am
adamhg wrote: Mon Sep 20, 2021 2:43 pm @DMoogle thanks for sharing those numbers. I got curious what others were getting for their boxes and ran a quick query against all index options and caught/confirmed 3/4 of your box spreads. You'll be happy to know that you did quite well!

Though, I'm quite surprised that this trade isn't more popular. In the last week, I could only find 9 boxes using the most conservative method to match spreads (exact timestamp match on the minute bar).

Code: Select all

Date                 Rate    Credit  Amount Vol LowK  HighK Und Expiry     Dte   
9/20/2021 3:24:00 PM 0.6943% -98450  100000 1   4000  5000  SPX 12/15/2023 815.36
9/17/2021 8:09:39 PM 0.4940% -409500 410000 126 2000  6100  SPX 12/17/2021 90.16 
9/17/2021 7:59:00 PM 0.7008% -98430  100000 1   3000  4000  SPX 12/15/2023 818.17
9/17/2021 7:57:00 PM 0.7008% -98430  100000 1   3000  4000  SPX 12/15/2023 818.17
9/17/2021 7:48:00 PM 0.7365% -98350  100000 1   3000  4000  SPX 12/15/2023 818.18
9/17/2021 6:33:00 PM 0.7142% -19680  20000  1   4400  4600  SPX 12/15/2023 818.23
9/17/2021 4:21:14 PM 0.5015% -99751  100000 1   15500 16500 NDX 3/18/2022  181.32
9/16/2021 2:24:00 PM 0.6909% -19690  20000  1   4400  4600  SPX 12/15/2023 819.40
9/13/2021 7:55:51 PM 0.6058% -9924   10000  2   400   500   XSP 12/16/2022 458.17
8/20/2021 8:10:43 PM 0.5122% -499515 500000 1   800   5800  SPX 10/29/2021 69.16 
Rate above is the annualized rate ex fees using the fractional DTE from the trade timestamp. I can "find" more boxes if I relax the criteria (i.e. +/- 3-5 sec from the trade print adds several more, but makes it hard to match high/low strikes for the box).

ETA: fixed table
You got me here in the table! Unfortunately I got one of the higher rate :oops:
Eh, it looks like the 0.5% and 0.6% ones are shorter-term, which would naturally have a lower rate. Beyond that, we're only talking hundredths of a percent. In the grander scheme of things, it doesn't really matter.
JSandler
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by JSandler »

I have a very basic question - how are the box spreads taxed? How much of the loan is realized gain for 1256 contract?
calwatch
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Joined: Wed Oct 02, 2013 1:48 am

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

JSandler wrote: Tue Sep 21, 2021 11:36 am I have a very basic question - how are the box spreads taxed? How much of the loan is realized gain for 1256 contract?
If it's SPX it's marked to market at the end of the year and whatever the gain or loss is will be what is reported on Form 6781, taxed at the 40/60 rate (40% short term, 60% long term). There are no wash sales and although the IRS has never given guidance on substantial equivalency I would argue that a SPX position is not equivalent to SPY because it's a cash settled European option, never mind any other broad market ETF one may hold.
calwatch
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

I don't show up there but I sold a 4000/4300 box yesterday for December 2022, for an all in cost of $204.96. The annualized rate is 0.55%. I was surprised it filled so quickly though, given what I read on this thread - it filled roughly two hours after order, which leads me to believe that I might have done better on the rate. I have a couple of other boxes for longer durations with good to cancel orders. I am using TD Ameritrade/Think or Swim which calls these "iron condors" but on the confirm screen, correctly notes an "always loss" for profit and a maximum loss of the amount paid for the box.
bling
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by bling »

how do you select the strikes?

e.g. if you want to borrow $1000 you can basically sell the box for 4300/4310, or 4310/4320, or 4320/4330, etc. they all yield roughly a $1000 credit to your balance.
nalor511
Posts: 5015
Joined: Mon Jul 27, 2015 1:00 am

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by nalor511 »

adamhg wrote: Mon Sep 20, 2021 2:43 pm @DMoogle thanks for sharing those numbers. I got curious what others were getting for their boxes and ran a quick query against all index options and caught/confirmed 3/4 of your box spreads. You'll be happy to know that you did quite well!

Though, I'm quite surprised that this trade isn't more popular. In the last week, I could only find 9 boxes using the most conservative method to match spreads (exact timestamp match on the minute bar).

Code: Select all

Date                 Rate    Credit  Amount Vol LowK  HighK Und Expiry     Dte   
9/20/2021 3:24:00 PM 0.6943% -98450  100000 1   4000  5000  SPX 12/15/2023 815.36
9/17/2021 8:09:39 PM 0.4940% -409500 410000 126 2000  6100  SPX 12/17/2021 90.16 
9/17/2021 7:59:00 PM 0.7008% -98430  100000 1   3000  4000  SPX 12/15/2023 818.17
9/17/2021 7:57:00 PM 0.7008% -98430  100000 1   3000  4000  SPX 12/15/2023 818.17
9/17/2021 7:48:00 PM 0.7365% -98350  100000 1   3000  4000  SPX 12/15/2023 818.18
9/17/2021 6:33:00 PM 0.7142% -19680  20000  1   4400  4600  SPX 12/15/2023 818.23
9/17/2021 4:21:14 PM 0.5015% -99751  100000 1   15500 16500 NDX 3/18/2022  181.32
9/16/2021 2:24:00 PM 0.6909% -19690  20000  1   4400  4600  SPX 12/15/2023 819.40
9/13/2021 7:55:51 PM 0.6058% -9924   10000  2   400   500   XSP 12/16/2022 458.17
8/20/2021 8:10:43 PM 0.5122% -499515 500000 1   800   5800  SPX 10/29/2021 69.16 
Rate above is the annualized rate ex fees using the fractional DTE from the trade timestamp. I can "find" more boxes if I relax the criteria (i.e. +/- 3-5 sec from the trade print adds several more, but makes it hard to match high/low strikes for the box).

ETA: fixed table
I can (roughly) understand it, but not well enough to execute it without a tutorial, and as far as I can tell there is no tutorial for doing this at say Schwab or fidelity. I'm not willing to use IB, but would love to do this 😋
parval
Posts: 153
Joined: Tue Oct 22, 2019 9:23 pm

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by parval »

What's the plan when it come to expiration?

I assume we can't just open 8 leg order to roll like we do for single option into spreads.

Do we just let it expire? Afaik SPX is cash settled, so just pay margin interest until we open the next box?
DMoogle
Posts: 549
Joined: Sat Oct 31, 2020 10:24 pm

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

bling wrote: Wed Sep 22, 2021 6:31 pm how do you select the strikes?

e.g. if you want to borrow $1000 you can basically sell the box for 4300/4310, or 4310/4320, or 4320/4330, etc. they all yield roughly a $1000 credit to your balance.
Honestly, I don't think it matters at all. adamhg's post clearly shows that strike prices that aren't close to actual price will still get filled. It's only the spread that matters, not the strikes themselves.
nalor511 wrote: Wed Sep 22, 2021 6:50 pmI can (roughly) understand it, but not well enough to execute it without a tutorial, and as far as I can tell there is no tutorial for doing this at say Schwab or fidelity. I'm not willing to use IB, but would love to do this 😋
I followed the post here, which was very helpful: https://www.lesswrong.com/posts/8NSKMMD ... tly-faster. The linked spreadsheet is legit, but it's clearly not a tutorial. This... isn't for the faint of heart. I mean there's certainly a chance of messing up and paying big time. I had personally NEVER touched options before, much less an options "combo," so I checked, double-checked, and triple-checked what I was doing before setting it up, and you can see I posted here asking for someone else to verify I was doing it correctly. But yeah, not for the faint of heart.

FWIW I majored in finance though (although I'm 10 years out of school and I don't work in finance), so a lot of these concepts are familiar to me.
parval wrote: Wed Sep 22, 2021 7:50 pm What's the plan when it come to expiration?

I assume we can't just open 8 leg order to roll like we do for single option into spreads.

Do we just let it expire? Afaik SPX is cash settled, so just pay margin interest until we open the next box?
If it's cash settled, then yeah, just open up new boxes ASAP (assuming investment objectives/strategy hasn't changed). I paid interest on margin for years. It's only like 1% higher than the rates on these boxes, not going to hurt to do that again for a few days at most.
calwatch
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

nalor511 wrote: Wed Sep 22, 2021 6:50 pm I can (roughly) understand it, but not well enough to execute it without a tutorial, and as far as I can tell there is no tutorial for doing this at say Schwab or fidelity. I'm not willing to use IB, but would love to do this 😋
On Fidelity and Ameritrade the box is identified as an iron condor, because there are four legs. It's fairly easy to do on Fidelity. Below is how to replicate the trade I listed above. Use the "new options experience" and select "iron condor" in the "more strategies" drop down.

Image

Note that, due to exchange and "proprietary index" fees, the actual amount received is off by a few bucks. This is how the actual trade looked on my trade confirmations on Ameritrade:

Image

Apparently Fidelity does not charge the "proprietary index" fees, which end up doubling the commission when you use Ameritrade or IB. So you may save a few bucks with Fidelity.
econalex
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by econalex »

@calwatch Apparently commission is $6 on IB for each of my 2 boxes. No other fees.

@DMoogle I went through the exact link and thought process :beer Used the spreadsheet too but think the apr should be simple interest rather than daily compounding? I also studied quantitative finance in school extensively, but never worked in finance :twisted:
Last edited by econalex on Thu Sep 23, 2021 9:45 am, edited 1 time in total.
DMoogle
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

econalex wrote: Thu Sep 23, 2021 8:56 am @calwatch Apparently commission is $6 on IB for each of my 2 boxes. No other fees.

@DMoogle I went through the exact link and though process :beer Used the spreadsheet too but think the apr should be simple interest rather than daily compounding? I also studied quantitative finance in school extensively, but never worked in finance :twisted:
Oh good catch, you're absolutely right, it should be. Didn't really think too hard about that. Applies to the formula I posted above as well - simple interest is the way to go. So ((future value / current value) - 1) / (DTE / 365).
nalor511
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by nalor511 »

Thanks so much for those Fidelity screenshots. I keep reading that you need Margin enabled in order to do these boxes, but if a box ends up with a cash credit in your account (because it's a loan to you from the parties buying your box), where would the margin be necessary? Thanks!
DMoogle
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

nalor511 wrote: Thu Sep 23, 2021 4:02 pm Thanks so much for those Fidelity screenshots. I keep reading that you need Margin enabled in order to do these boxes, but if a box ends up with a cash credit in your account (because it's a loan to you from the parties buying your box), where would the margin be necessary? Thanks!
I'd suggest reading earlier in the thread on this. My understanding is that, while yes you do get the cash, risk restrictions would essentially limit that cash from being spent because your buying power is based on your overall net equity, not actual cash.

There's no cost with simply enabling margin in your account, and I think no restriction as long as it's not an IRA. So no reason not to do it. I'm also not sure how portfolio margin would factor into this (which DOES have restrictions, like >$100k balance).
calwatch
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

I believe that the net impact on margin would be similar, box or margin loan. So you could hypothetically take out 75% of account value under Regulation T and whatever the portfolio margin algorithm says you can take out (perhaps 90% or more) under portfolio margin.
nalor511
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by nalor511 »

calwatch wrote: Thu Sep 23, 2021 5:17 pm I believe that the net impact on margin would be similar, box or margin loan. So you could hypothetically take out 75% of account value under Regulation T and whatever the portfolio margin algorithm says you can take out (perhaps 90% or more) under portfolio margin.
See this is the part I don't understand. You're not borrowing from your broker, you're borrowing from other parties in the market, so their loan to me is offset by a credit in my account, and a debit at a future date. I don't get where margin comes into play at all
DMoogle
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

nalor511 wrote: Thu Sep 23, 2021 5:37 pm
calwatch wrote: Thu Sep 23, 2021 5:17 pm I believe that the net impact on margin would be similar, box or margin loan. So you could hypothetically take out 75% of account value under Regulation T and whatever the portfolio margin algorithm says you can take out (perhaps 90% or more) under portfolio margin.
See this is the part I don't understand. You're not borrowing from your broker, you're borrowing from other parties in the market, so their loan to me is offset by a credit in my account, and a debit at a future date. I don't get where margin comes into play at all
Well think about it this way, more from an accounting perspective: say you have $10k cash in your account and you sell a box to get another $10k. Your broker sees that you have $20k, but you owe $10k (even though it's not to the broker, they still see that it's a "debt"), so the value of your account is $10k, therefore they're only going to let you spend $10k.

Unless you have margin turned on, in which case they're like "OK well the value of your account is $10k, but because it's a margin account, you're allowed to have more exposure than just your raw equity." Even though you're not using a margin loan itself, just being a margin account relaxes the risk limitations.

Bottom line, just enable margin in your account. There isn't really a downside... unless you have like a gambling problem.
bling
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by bling »

nalor511 wrote: Thu Sep 23, 2021 5:37 pm
calwatch wrote: Thu Sep 23, 2021 5:17 pm I believe that the net impact on margin would be similar, box or margin loan. So you could hypothetically take out 75% of account value under Regulation T and whatever the portfolio margin algorithm says you can take out (perhaps 90% or more) under portfolio margin.
See this is the part I don't understand. You're not borrowing from your broker, you're borrowing from other parties in the market, so their loan to me is offset by a credit in my account, and a debit at a future date. I don't get where margin comes into play at all
you sell a box. $100k enters your account. you withdrawal that money. options expire, and you need to pay back that $100k, but your account balance is $0. who's on the hook?
calwatch
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

Now that I know about it and successfully have executed it, I'm surprised more high net worth people don't use this as a strategy for cheap loans or to manage estate taxes. Perhaps the risk of blowing themselves up with an incorrect trade or the delay in execution time is scaring them off? A few use cases:
  • Instead of selling stocks or taking a margin loan to purchase real estate or personal items, sell boxes. To reduce interest rate risk and/or the risk of not being able to re-roll a large amount at once you could build a ladder of positions, over each quarter in the out years. You might want to also take a HELOC so that you could rapidly transfer money to meet a margin call if needed. Currently, on Ameritrade my maintenance margin for an account consisting of broad market stock and high yield corporate ETFs is about 13% of the "margin equity total", which appears to be roughly the market value minus the amount of the box. I suppose that, as I sell more boxes, the margin equity total would also deteriorate but I see no reason why you couldn't sell 50% or 60% of market value as boxes and take out the cash from the account.
  • A high net worth widow has highly appreciated stock she wants to pass on, but also has high expenses (like for a maid or personal assistance). Rather than sell the stock to pay for this (and realize capital gains), she sells boxes using the stock as collateral. When she dies the basis steps up and the heirs can either pay off the loan at expiration with their own cash and keep the stock with the higher basis, or sell the stock to pay the box. Either way capital gains taxes are avoided. Risk is the complexity of rolling over/selling boxes as needed and possible margin call if the stock is deemed too volatile or if a 2008 or 2020-like crisis occurs. Risk would be reduced if the highly appreciated stock above was a broad market ETF, since the cushion would be greater.
  • This also seems useful for bridge loans or to replace HELOCs, although the ease of using a HELOC and the relatively good rates make me not rushing to pay off a 2.24% loan with a 0.6% one.
Assuming tax laws stay the same 10-20 years from now I am thinking of using strategy 1 to purchase a retirement property. I could immediately get a HELOC afterward as contingency, probably using tax deferred funds to qualify. I could adjust my asset allocation in my tax deferred and Roth accounts to compensate so that my overall asset allocation is maintained as if I paid cash for the home, by moving them to a short term bond fund that would offset the implied box interest. Rather than realizing hundreds of thousands of capital gains at once if I sold and paid cash, I would be able to systematically reduce my stocks in a taxable account and use fewer boxes over time, to reduce risk.

So far the main risks I see are user complexity/execution errors (need to always use European index options and never anything else, botching the dates and/or strikes so that the position is not delta neutral), liquidation risk due to a bad algorithm (especially true with IBKR, although possible in any broker), markets in a financial crisis right as your boxes expire leading to high interest rates, getting antsy about boxes not getting filled on the roll and paying 8%+ margin interest while you wait, opaqueness of how box prices are determined, and this being inscrutable or hard to explain to heirs and anyone who might need to know about the account. Are there others I'm missing?
DMoogle
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

calwatch wrote: Fri Sep 24, 2021 4:16 amgetting antsy about boxes not getting filled on the roll and paying 8%+ margin interest while you wait
Think you hit the nail on the head with all your points. Wanted to call this out though: if using IB, their margin rate is 1.5%+benchmark for margin <$100k, so that's only like 1.6% now. Another risk you could add would be regulatory risk that closes the ability to use box spreads. It's possible you could be forced to liquidate if margin or other loan options aren't available. But yeah, overall I agree that, theoretically, this should be a very attractive option for high net worth individuals.

One other thing I noticed: my taxable portfolio now includes equities, treasury futures, and box spreads. I aimed for a balance just above $0, but with the poor-performing past week, my cash balance has dropped into the negatives. TBH I'm not entirely sure why my cash balance has changed at all, but I assume it has to due with the margin requirements for the futures. But regardless, looks like I'm back to carrying some margin balance. I'm not going to sweat it though - think I'll just reevaluate quarterly when I do my rebalancing.
Kbg
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by Kbg »

.757 today on a 4300/4500 Dec 23
skierincolorado
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by skierincolorado »

bling wrote: Thu Sep 23, 2021 7:22 pm
nalor511 wrote: Thu Sep 23, 2021 5:37 pm
calwatch wrote: Thu Sep 23, 2021 5:17 pm I believe that the net impact on margin would be similar, box or margin loan. So you could hypothetically take out 75% of account value under Regulation T and whatever the portfolio margin algorithm says you can take out (perhaps 90% or more) under portfolio margin.
See this is the part I don't understand. You're not borrowing from your broker, you're borrowing from other parties in the market, so their loan to me is offset by a credit in my account, and a debit at a future date. I don't get where margin comes into play at all
you sell a box. $100k enters your account. you withdrawal that money. options expire, and you need to pay back that $100k, but your account balance is $0. who's on the hook?
You would not be able to withdraw the money in your scenario. Account balances cannot go negative.

If you started with 10k, and wrote a 40k box, you would only be allowed to withdraw 10k - and that assumes the remaining 40k were 100% in cash. If the 40k were in stocks, you would not be allowed to withdraw anything at all because the 10k of equity is the margin requirement to own 40k of stock under reg T. If the 40k in stocks declined in value, you would get a margin call auto-liquidating some of the stock.
nalor511
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by nalor511 »

DMoogle wrote: Wed Sep 22, 2021 10:09 pm I followed the post here, which was very helpful: https://www.lesswrong.com/posts/8NSKMMD ... tly-faster. The linked spreadsheet is legit, but it's clearly not a tutorial. This... isn't for the faint of heart. I mean there's certainly a chance of messing up and paying big time. I had personally NEVER touched options before, much less an options "combo," so I checked, double-checked, and triple-checked what I was doing before setting it up, and you can see I posted here asking for someone else to verify I was doing it correctly. But yeah, not for the faint of heart.

FWIW I majored in finance though (although I'm 10 years out of school and I don't work in finance), so a lot of these concepts are familiar to me.
I sort of understand that spreadsheet, and I understand how to get the target APY, and I understand enough about puts/calls to see how they all balance out negating market movement, BUT I don't see how once you have the target APY (e.g. for today 0.42 + 0.29 = 0.71%) that you'd calculate the prices using that spreadsheet
DMoogle
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

nalor511 wrote: Fri Sep 24, 2021 6:26 pm
DMoogle wrote: Wed Sep 22, 2021 10:09 pm I followed the post here, which was very helpful: https://www.lesswrong.com/posts/8NSKMMD ... tly-faster. The linked spreadsheet is legit, but it's clearly not a tutorial. This... isn't for the faint of heart. I mean there's certainly a chance of messing up and paying big time. I had personally NEVER touched options before, much less an options "combo," so I checked, double-checked, and triple-checked what I was doing before setting it up, and you can see I posted here asking for someone else to verify I was doing it correctly. But yeah, not for the faint of heart.

FWIW I majored in finance though (although I'm 10 years out of school and I don't work in finance), so a lot of these concepts are familiar to me.
I sort of understand that spreadsheet, and I understand how to get the target APY, and I understand enough about puts/calls to see how they all balance out negating market movement, BUT I don't see how once you have the target APY (e.g. for today 0.42 + 0.29 = 0.71%) that you'd calculate the prices using that spreadsheet
I'd suggest using Excel's goal seek.
calwatch
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

Sold a 4000/4300 for December 2022 for 298.25. With commission it’s 0.49% APR. I still have a December 2023 at about this rate working.
sc9182
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by sc9182 »

Pardon my Complete Ignorance on Box Spreads topic - trying to read thru the the thread and figure-out Box-Spreads.

Are the Box spreads are as risk-free as the purportes/users are saying !? Searched a few bad stories, could those be fake !? Or could it be because they may have used spreads on non-SPY !?

https://www.marketwatch.com/story/trade ... 2019-01-22

After the Dec 2023, how are we supposed to come up with monies to payoff the loan we borrowed (say, $300k ) !?

Not saying Margin loans are Anointed, but at very least, the Brokerages (big ones anyway) don’t demand return of the loan unless portfolio goes down big., or yourself want to get out of margin loan as interest rates go thru the roof ..
Last edited by sc9182 on Sat Sep 25, 2021 1:51 pm, edited 1 time in total.
calwatch
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

They used American not European options. No risk of early assignment if you use European options on SPX, DJX, etc.
Kbg
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by Kbg »

I don’t think the stories are fake but one does need to prepare their order properly and understand the nuances of their brokerage’s margin policies and procedures. On a pure box spread that is European exercise the net risk is 0. Now if you withdraw funds you are throwing pure risk on to your broker and you better understand the above thoroughly. My thought is use them as a cheaper form of margin and buy assets in your brokerage.

For IB I did a 150 point spread, was credited $15K and margin buffer went down $15K. So even though the spread value is $150K, prudently I now have a 15K loan which was used to buy some preferred stock for the same amount.
nalor511
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by nalor511 »

Kbg wrote: Sat Sep 25, 2021 12:59 pm I don’t think the stories are fake but one does need to prepare their order properly and understand the nuances of their brokerage’s margin policies and procedures. On a pure box spread that is European exercise the net risk is 0. Now if you withdraw funds you are throwing pure risk on to your broker and you better understand the above thoroughly. My thought is use them as a cheaper form of margin and buy assets in your brokerage.

For IB I did a 150 point spread, was credited $15K and margin buffer went down $15K. So even though the spread value is $150K, prudently I now have a 15K loan which was used to buy some preferred stock for the same amount.
What do you plan to do with the stock in dec 23 if the rate is then 3% and you've got 100% in capital gains? (serious question)
DMoogle
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

sc9182 wrote: Sat Sep 25, 2021 10:38 am Pardon my Complete Ignorance on Box Spreads topic - trying to read thru the the thread and figure-out Box-Spreads.

Are the Box spreads are as risk-free as the purportes/users are saying !? Searched a few bad stories, could those be fake !? Or could it be because they may have used spreads on non-SPY !?

https://www.marketwatch.com/story/trade ... 2019-01-22

After the Dec 2023, how are we supposed to come up with monies to payoff the loan we borrowed (say, $300k ) !?

Not saying Margin loans are Anointed, but at very least, the Brokerages (big ones anyway) don’t demand return of the loan unless portfolio goes down big., or yourself want to get out of margin loan as interest rates go thru the roof ..
I'd suggest reading calwatch's longer post above - he articulates the risks pretty well at the end of the post. Basically, it's not so much the box spread itself, but rather more "meta" risks, like executing the order wrong, or your broker freaking out and forcing a margin call early.

Taking a loan out to invest the money (i.e. using leverage) is inherently riskier than traditional investing. If you're not comfortable using margin, then you have absolutely no business using box spreads. Personally, I only think of box spreads as a cheaper (albeit more complicated) way of using margin.
nalor511 wrote: Sat Sep 25, 2021 1:38 pm
Kbg wrote: Sat Sep 25, 2021 12:59 pm I don’t think the stories are fake but one does need to prepare their order properly and understand the nuances of their brokerage’s margin policies and procedures. On a pure box spread that is European exercise the net risk is 0. Now if you withdraw funds you are throwing pure risk on to your broker and you better understand the above thoroughly. My thought is use them as a cheaper form of margin and buy assets in your brokerage.

For IB I did a 150 point spread, was credited $15K and margin buffer went down $15K. So even though the spread value is $150K, prudently I now have a 15K loan which was used to buy some preferred stock for the same amount.
What do you plan to do with the stock in dec 23 if the rate is then 3% and you've got 100% in capital gains? (serious question)
I'm not KBG, but I'm using box spreads as well. If rates go up too much, I'm reducing my leverage. At a 3% rate, I'd probably still use some leverage... around 4.5% is my (arbitrarily chosen) cutoff. So in other words, I'd realize some gains.
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by drk »

nalor511 wrote: Sat Sep 25, 2021 1:38 pm What do you plan to do with the stock in dec 23 if the rate is then 3% and you've got 100% in capital gains? (serious question)
You can just deposit cash into the account to "repay" the loan come settlement time. That could come from cash accounts (likely to pay a good interest rate if T-bills hit 3%), selling other investments (e.g., a bond fund), or income/cash-flow.
A useful razor: anyone asking about speculative strategies on Bogleheads.org has no business using them.
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by whodidntante »

DMoogle wrote: Sat Sep 25, 2021 2:47 pm If rates go up too much, I'm reducing my leverage. At a 3% rate, I'd probably still use some leverage... around 4.5% is my (arbitrarily chosen) cutoff. So in other words, I'd realize some gains.
I used to have similar thoughts, but after full fermentation I decided it was not a good idea. If the risk free rate is low then future equity returns should be muted as well. Also you might get caught in a period of negative momentum if rates make their way back up. But leverage has worked fantastically recently.
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by nalor511 »

What options level did you have at fidelity? Level 2 is puts&calls and level 3 is spreads. Thanks!
calwatch
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

nalor511 wrote: Sat Sep 25, 2021 4:41 pm What options level did you have at fidelity? Level 2 is puts&calls and level 3 is spreads. Thanks!
The above account has Level 3, although it does not have enough equity to sell or buy anything. On Ameritrade I'm at the "advanced" level.
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by Kbg »

drk wrote: Sat Sep 25, 2021 3:25 pm
nalor511 wrote: Sat Sep 25, 2021 1:38 pm What do you plan to do with the stock in dec 23 if the rate is then 3% and you've got 100% in capital gains? (serious question)
You can just deposit cash into the account to "repay" the loan come settlement time. That could come from cash accounts (likely to pay a good interest rate if T-bills hit 3%), selling other investments (e.g., a bond fund), or income/cash-flow.
That would be a good problem to have. 😄 Likely, one of the options drk mentioned.

The preferreds I bought are banks. In a rising interest rate scenario, the preferred will get hit due to rising interest rates. However, the associated stock itself would likely go up which would be a factor pushing the preferreds in a different direction. I’ll just have to cross that bridge when I get to it based on the facts at the time.

Ultimately I’m doing an interest rate arbitrage. All things being equal, and they might not be, I’d expect the dividend yield to adjust on the preferred stock upward as well…which means I’m sitting on a cap loss of course.
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by adamhg »

I got this working from a streaming API which really helps catches these better. It provides down to ms granularity, but I'm truncating down to the second (vs min level in the previous data dump). I only have data sporadically throughout Friday, but I'll try to keep it running 100% this week to see the results.

Code: Select all

Date                Rate   Dte   Credit  Amount Vol LowS High Und Expiry     LowCall LowPut HighCa HighPut
2021-09-24 14:51:01 0.0072 811.4 -14760  15000  1   4350 4500 SPX 2023-12-15 556.52  511.59 470.89 573.56 
2021-09-24 14:44:24 0.0084 811.4 -98145  100000 1   5000 6000 SPX 2023-12-15 236.00  831.96 42.08  1619.49
2021-09-24 14:40:01 0.0054 811.4 -98810  100000 1   4500 5500 SPX 2023-12-15 470.44  573.08 100.27 1191.01
2021-09-24 13:22:02 0.0047 447.4 -99420  100000 500 3000 4000 SPX 2022-12-16 1476.57 83.76  659.86 261.25 
2021-09-24 13:13:18 0.0062 237.4 -29880  30000  1   4250 4550 SPX 2022-05-20 384.35  213.77 189.06 317.28 
2021-09-24 11:17:35 0.0045 265.5 -99675  100000 50  3375 4375 SPX 2022-06-17 1118.75 75.10  317.55 270.65 
2021-09-24 10:59:03 0.0043 265.5 -102180 102500 80  3100 4125 SPX 2022-06-17 1367.05 51.25  494.15 200.15 
2021-09-24 10:00:31 0.0077 811.6 -98300  100000 1   2700 3700 SPX 2023-12-15 1764.12 111.97 973.89 304.74 
Unless Friday was just a big day, these are more popular than I originally thought. There's also some pretty big size doing these as well catching 50M, 5M and 8M boxes while only casually watching.
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by skierincolorado »

nalor511 wrote: Sat Sep 25, 2021 1:38 pm
Kbg wrote: Sat Sep 25, 2021 12:59 pm I don’t think the stories are fake but one does need to prepare their order properly and understand the nuances of their brokerage’s margin policies and procedures. On a pure box spread that is European exercise the net risk is 0. Now if you withdraw funds you are throwing pure risk on to your broker and you better understand the above thoroughly. My thought is use them as a cheaper form of margin and buy assets in your brokerage.

For IB I did a 150 point spread, was credited $15K and margin buffer went down $15K. So even though the spread value is $150K, prudently I now have a 15K loan which was used to buy some preferred stock for the same amount.
What do you plan to do with the stock in dec 23 if the rate is then 3% and you've got 100% in capital gains? (serious question)
First of all celebrate my 100% captial gain! Second, probably write another box at 3% interest rate.
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by Kbg »

For IB traders:

When I did my box the routing was SMART(CBOE) and there wasn't another choice. This makes sense as there's only one market for SPX options. Did I miss something?

Clearly my .757% wasn't that great compared to those who got something in the .6 or .5 area...but it does seem to be averageish for single boxes per adamhg's data. I wanted it to close quickly so I moved the dial until I got a trade.

For those who did do better, what did you do? Set it per the spreadsheet and then just let it sit until you got a trade?

On my IB I'm not showing any entry in the US Commodities side of the account which I thought I would. The margin is completely recorded on the US Securities side...same for others?

Tks!

P.S. I AM showing a $17 profit, LOL
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

Securities seems to be right, it isn't a commodity per se. I have an order on TOS right now which I am dropping by a quarter every day until it gets filled. It is still a couple of dollars away from the hypothetical midpoint.
nalor511
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by nalor511 »

What's the longest you guys have been doing this?
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by adamhg »

Was able to capture most of the week. Not sure if it was the full week or end of quarter but quite a few more boxes sold this week, including a massive 100MM box at the very end of the month :o

Code: Select all

Date                Rate   Dte   Credit  Amount Volu LowS High Und Expiry     LowCall LowPut HighCal HighPut
2021-10-01 16:04:34 0.0073 804.2 -49200  50000  1    4000 4500 SPX 2023-12-15 707.26  416.57 416.27  617.58 
2021-10-01 14:51:22 0.0069 804.2 -98470  100000 1    5000 6000 SPX 2023-12-15 200.67  898.99 37.60   1720.62
2021-10-01 12:19:21 0.0070 804.3 -98450  100000 2    3000 4000 SPX 2023-12-15 1410.08 170.82 684.60  429.84 
2021-10-01 11:57:24 0.0047 349.3 -42310  42500  1    2650 3075 SPX 2022-09-16 1684.90 46.90  1299.20 84.30  
2021-10-01 11:37:48 0.0065 475.3 -49575  50000  1    4000 4500 SPX 2023-01-20 588.10  307.87 281.16  496.68 
2021-10-01 09:58:09 0.0066 440.4 -4960   5000   1    4300 4350 SPX 2022-12-16 371.21  409.03 341.78  429.20 
2021-10-01 09:32:12 0.0070 804.4 -14770  15000  7    4350 4500 SPX 2023-12-15 477.43  561.68 397.79  629.74 
2021-10-01 09:32:04 0.0062 622.4 -19790  20000  1    4200 4400 SPX 2023-06-16 505.80  436.40 389.60  518.10 
2021-09-30 15:54:03 0.0051 441.2 -99390  100000 1000 3000 4000 SPX 2022-12-16 1365.93 97.95  577.04  302.96 
2021-09-30 15:38:11 0.0064 623.2 -9890   10000  3    4400 4500 SPX 2023-06-16 398.97  516.42 344.91  561.26 
2021-09-30 14:20:56 0.0079 805.2 -9825   10000  1    4300 4400 SPX 2023-12-15 514.76  542.03 459.43  584.95 
2021-09-30 13:01:47 0.0025 441.3 -4985   5000   1    3175 3225 SPX 2022-12-16 1217.43 123.60 1175.23 131.25 
2021-09-30 11:53:01 0.0071 805.3 -49220  50000  1    4000 4500 SPX 2023-12-15 695.43  429.03 407.04  632.84 
2021-09-30 10:58:48 0.0065 805.4 -19715  20000  2    4400 4600 SPX 2023-12-15 467.76  578.19 363.80  671.38 
2021-09-30 09:54:23 0.0045 441.4 -99460  100000 5    2000 3000 SPX 2022-12-16 2343.21 21.50  1418.07 90.96  
2021-09-29 13:47:59 0.0044 351.3 -89620  90000  1    4200 5100 SPX 2022-09-16 434.41  312.27 40.80   814.86 
2021-09-29 13:44:58 0.0044 351.3 -69705  70000  1    4400 5100 SPX 2022-09-16 307.04  384.01 40.80   814.82 
2021-09-29 12:23:19 0.0066 442.3 -2480   2500   1    4275 4300 SPX 2022-12-16 423.47  382.39 407.89  391.61 
2021-09-28 16:08:17 0.0063 625.2 -19785  20000  1    4200 4400 SPX 2023-06-16 531.35  435.63 413.33  515.46 
2021-09-28 15:59:39 0.0075 807.2 -14750  15000  2    4350 4500 SPX 2023-12-15 498.62  563.60 417.30  629.78 
2021-09-28 15:31:03 0.0043 352.2 -89625  90000  1    4200 5100 SPX 2022-09-16 437.31  310.70 41.19   810.83 
2021-09-28 15:30:56 0.0068 807.2 -19700  20000  1    4400 4600 SPX 2023-12-15 479.00  575.80 374.60  668.40 
2021-09-28 14:41:33 0.0009 807.2 -2495   2500   1    4400 4425 SPX 2023-12-15 478.08  575.31 464.32  586.50 
2021-09-28 14:38:24 0.0058 324.2 -29845  30000  1    4250 4550 SPX 2022-08-19 389.99  313.39 207.16  429.01 
2021-09-28 14:34:33 0.0057 289.2 -29865  30000  1    4250 4550 SPX 2022-07-15 372.09  289.28 190.45  406.29 
2021-09-28 13:47:50 0.0043 352.3 -89625  90000  1    4200 5100 SPX 2022-09-16 431.74  313.01 39.79   817.31 
2021-09-28 12:55:54 0.0044 443.3 -149200 150000 3    2000 3500 SPX 2022-12-16 2314.58 24.00  976.30  177.72 
2021-09-28 12:55:06 0.0043 443.3 -253675 255000 1    1250 3800 SPX 2022-12-16 3043.72 5.55   745.24  243.82 
2021-09-28 12:52:20 0.0044 443.3 -263600 265000 1    1200 3850 SPX 2022-12-16 3095.24 4.95   709.86  255.57 
2021-09-28 12:47:24 0.0043 443.3 -273550 275000 1    1150 3900 SPX 2022-12-16 3141.13 4.35   671.41  270.13 
2021-09-28 12:44:52 0.0044 443.3 -288450 290000 1    1100 4000 SPX 2022-12-16 3190.90 3.85   600.73  298.18 
2021-09-28 12:43:51 0.0043 443.3 -577000 580000 1    1000 6800 SPX 2022-12-16 3292.42 2.82   1.72    2482.12
2021-09-28 12:39:47 0.0044 443.3 -338200 340000 1    800  4200 SPX 2022-12-16 3492.07 1.55   468.61  360.09 
2021-09-28 12:35:46 0.0042 443.3 -636725 640000 1    800  7200 SPX 2022-12-16 3495.40 1.55   0.92    2874.32
2021-09-28 12:32:58 0.0044 443.3 -596800 600000 1    900  6900 SPX 2022-12-16 3396.57 2.25   1.57    2575.25
2021-09-28 12:08:52 0.0044 443.3 -656475 660000 1    700  7300 SPX 2022-12-16 3594.93 1.27   0.97    2972.06
2021-09-28 12:03:39 0.0044 443.3 -626625 630000 1    800  7100 SPX 2022-12-16 3491.41 1.57   1.30    2777.71
2021-09-28 11:45:21 0.0052 443.3 -29810  30000  1    4000 4300 SPX 2022-12-16 607.46  296.43 409.22  396.29 
2021-09-28 11:45:16 0.0072 807.3 -196800 200000 1    3400 5400 SPX 2023-12-15 1131.68 250.80 102.22  1189.34
2021-09-28 11:45:08 0.0072 807.3 -98400  100000 1    3900 4900 SPX 2023-12-15 780.15  390.42 241.17  835.44 
2021-09-28 11:23:53 0.0045 807.4 -19800  20000  2    4400 4600 SPX 2023-12-15 479.83  576.73 374.72  669.62 
2021-09-28 11:12:49 0.0044 443.4 -656450 660000 1    500  7100 SPX 2022-12-16 3796.22 0.65   1.30    2770.23
2021-09-28 10:39:13 0.0042 443.4 -716290 720000 1    100  7300 SPX 2022-12-16 4212.20 0.07   0.92    2951.69
2021-09-28 10:31:09 0.0043 443.4 -666500 670000 1    500  7200 SPX 2022-12-16 3806.93 0.50   1.20    2859.77
2021-09-28 10:16:10 0.0072 807.4 -19680  20000  1    4200 4400 SPX 2023-12-15 601.48  489.28 486.08  570.68 
2021-09-28 10:11:02 0.0050 807.4 -9890   10000  1    4400 4500 SPX 2023-12-15 483.90  565.50 429.32  609.82 
2021-09-27 15:07:10 0.0072 808.2 -98400  100000 1    5000 6000 SPX 2023-12-15 231.61  837.47 40.60   1630.46
2021-09-27 13:49:52 0.0072 808.3 -9840   10000  20   4300 4400 SPX 2023-12-15 577.87  495.12 519.42  535.07 
2021-09-27 13:05:30 0.0084 808.3 -98140  100000 1    4500 5500 SPX 2023-12-15 461.04  580.71 97.43   1198.50
2021-09-27 12:29:03 0.0000 353.3 -2500   2500   5    3100 3125 SPX 2022-09-16 1377.53 73.60  1354.98 76.05  
2021-09-27 11:43:45 0.0073 808.3 -98375  100000 1    4000 5000 SPX 2023-12-15 763.03  390.38 229.20  840.30 
2021-09-27 11:32:16 0.0086 808.4 -9810   10000  1    4400 4500 SPX 2023-12-15 519.16  534.63 463.28  576.85 
2021-09-27 10:54:10 0.0075 808.4 -88500  90000  1    3500 4400 SPX 2023-12-15 1124.12 250.03 520.97  531.88 
bling
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Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by bling »

adamhg wrote: Sat Oct 02, 2021 8:16 am Was able to capture most of the week. Not sure if it was the full week or end of quarter but quite a few more boxes sold this week, including a massive 100MM box at the very end of the month :o

Code: Select all

Date                Rate   Dte   Credit  Amount Volu LowS High Und Expiry     LowCall LowPut HighCal HighPut
2021-10-01 16:04:34 0.0073 804.2 -49200  50000  1    4000 4500 SPX 2023-12-15 707.26  416.57 416.27  617.58 
2021-10-01 14:51:22 0.0069 804.2 -98470  100000 1    5000 6000 SPX 2023-12-15 200.67  898.99 37.60   1720.62
2021-10-01 12:19:21 0.0070 804.3 -98450  100000 2    3000 4000 SPX 2023-12-15 1410.08 170.82 684.60  429.84 
2021-10-01 11:57:24 0.0047 349.3 -42310  42500  1    2650 3075 SPX 2022-09-16 1684.90 46.90  1299.20 84.30  
2021-10-01 11:37:48 0.0065 475.3 -49575  50000  1    4000 4500 SPX 2023-01-20 588.10  307.87 281.16  496.68 
2021-10-01 09:58:09 0.0066 440.4 -4960   5000   1    4300 4350 SPX 2022-12-16 371.21  409.03 341.78  429.20 
2021-10-01 09:32:12 0.0070 804.4 -14770  15000  7    4350 4500 SPX 2023-12-15 477.43  561.68 397.79  629.74 
2021-10-01 09:32:04 0.0062 622.4 -19790  20000  1    4200 4400 SPX 2023-06-16 505.80  436.40 389.60  518.10 
2021-09-30 15:54:03 0.0051 441.2 -99390  100000 1000 3000 4000 SPX 2022-12-16 1365.93 97.95  577.04  302.96 
2021-09-30 15:38:11 0.0064 623.2 -9890   10000  3    4400 4500 SPX 2023-06-16 398.97  516.42 344.91  561.26 
2021-09-30 14:20:56 0.0079 805.2 -9825   10000  1    4300 4400 SPX 2023-12-15 514.76  542.03 459.43  584.95 
2021-09-30 13:01:47 0.0025 441.3 -4985   5000   1    3175 3225 SPX 2022-12-16 1217.43 123.60 1175.23 131.25 
2021-09-30 11:53:01 0.0071 805.3 -49220  50000  1    4000 4500 SPX 2023-12-15 695.43  429.03 407.04  632.84 
2021-09-30 10:58:48 0.0065 805.4 -19715  20000  2    4400 4600 SPX 2023-12-15 467.76  578.19 363.80  671.38 
2021-09-30 09:54:23 0.0045 441.4 -99460  100000 5    2000 3000 SPX 2022-12-16 2343.21 21.50  1418.07 90.96  
2021-09-29 13:47:59 0.0044 351.3 -89620  90000  1    4200 5100 SPX 2022-09-16 434.41  312.27 40.80   814.86 
2021-09-29 13:44:58 0.0044 351.3 -69705  70000  1    4400 5100 SPX 2022-09-16 307.04  384.01 40.80   814.82 
2021-09-29 12:23:19 0.0066 442.3 -2480   2500   1    4275 4300 SPX 2022-12-16 423.47  382.39 407.89  391.61 
2021-09-28 16:08:17 0.0063 625.2 -19785  20000  1    4200 4400 SPX 2023-06-16 531.35  435.63 413.33  515.46 
2021-09-28 15:59:39 0.0075 807.2 -14750  15000  2    4350 4500 SPX 2023-12-15 498.62  563.60 417.30  629.78 
2021-09-28 15:31:03 0.0043 352.2 -89625  90000  1    4200 5100 SPX 2022-09-16 437.31  310.70 41.19   810.83 
2021-09-28 15:30:56 0.0068 807.2 -19700  20000  1    4400 4600 SPX 2023-12-15 479.00  575.80 374.60  668.40 
2021-09-28 14:41:33 0.0009 807.2 -2495   2500   1    4400 4425 SPX 2023-12-15 478.08  575.31 464.32  586.50 
2021-09-28 14:38:24 0.0058 324.2 -29845  30000  1    4250 4550 SPX 2022-08-19 389.99  313.39 207.16  429.01 
2021-09-28 14:34:33 0.0057 289.2 -29865  30000  1    4250 4550 SPX 2022-07-15 372.09  289.28 190.45  406.29 
2021-09-28 13:47:50 0.0043 352.3 -89625  90000  1    4200 5100 SPX 2022-09-16 431.74  313.01 39.79   817.31 
2021-09-28 12:55:54 0.0044 443.3 -149200 150000 3    2000 3500 SPX 2022-12-16 2314.58 24.00  976.30  177.72 
2021-09-28 12:55:06 0.0043 443.3 -253675 255000 1    1250 3800 SPX 2022-12-16 3043.72 5.55   745.24  243.82 
2021-09-28 12:52:20 0.0044 443.3 -263600 265000 1    1200 3850 SPX 2022-12-16 3095.24 4.95   709.86  255.57 
2021-09-28 12:47:24 0.0043 443.3 -273550 275000 1    1150 3900 SPX 2022-12-16 3141.13 4.35   671.41  270.13 
2021-09-28 12:44:52 0.0044 443.3 -288450 290000 1    1100 4000 SPX 2022-12-16 3190.90 3.85   600.73  298.18 
2021-09-28 12:43:51 0.0043 443.3 -577000 580000 1    1000 6800 SPX 2022-12-16 3292.42 2.82   1.72    2482.12
2021-09-28 12:39:47 0.0044 443.3 -338200 340000 1    800  4200 SPX 2022-12-16 3492.07 1.55   468.61  360.09 
2021-09-28 12:35:46 0.0042 443.3 -636725 640000 1    800  7200 SPX 2022-12-16 3495.40 1.55   0.92    2874.32
2021-09-28 12:32:58 0.0044 443.3 -596800 600000 1    900  6900 SPX 2022-12-16 3396.57 2.25   1.57    2575.25
2021-09-28 12:08:52 0.0044 443.3 -656475 660000 1    700  7300 SPX 2022-12-16 3594.93 1.27   0.97    2972.06
2021-09-28 12:03:39 0.0044 443.3 -626625 630000 1    800  7100 SPX 2022-12-16 3491.41 1.57   1.30    2777.71
2021-09-28 11:45:21 0.0052 443.3 -29810  30000  1    4000 4300 SPX 2022-12-16 607.46  296.43 409.22  396.29 
2021-09-28 11:45:16 0.0072 807.3 -196800 200000 1    3400 5400 SPX 2023-12-15 1131.68 250.80 102.22  1189.34
2021-09-28 11:45:08 0.0072 807.3 -98400  100000 1    3900 4900 SPX 2023-12-15 780.15  390.42 241.17  835.44 
2021-09-28 11:23:53 0.0045 807.4 -19800  20000  2    4400 4600 SPX 2023-12-15 479.83  576.73 374.72  669.62 
2021-09-28 11:12:49 0.0044 443.4 -656450 660000 1    500  7100 SPX 2022-12-16 3796.22 0.65   1.30    2770.23
2021-09-28 10:39:13 0.0042 443.4 -716290 720000 1    100  7300 SPX 2022-12-16 4212.20 0.07   0.92    2951.69
2021-09-28 10:31:09 0.0043 443.4 -666500 670000 1    500  7200 SPX 2022-12-16 3806.93 0.50   1.20    2859.77
2021-09-28 10:16:10 0.0072 807.4 -19680  20000  1    4200 4400 SPX 2023-12-15 601.48  489.28 486.08  570.68 
2021-09-28 10:11:02 0.0050 807.4 -9890   10000  1    4400 4500 SPX 2023-12-15 483.90  565.50 429.32  609.82 
2021-09-27 15:07:10 0.0072 808.2 -98400  100000 1    5000 6000 SPX 2023-12-15 231.61  837.47 40.60   1630.46
2021-09-27 13:49:52 0.0072 808.3 -9840   10000  20   4300 4400 SPX 2023-12-15 577.87  495.12 519.42  535.07 
2021-09-27 13:05:30 0.0084 808.3 -98140  100000 1    4500 5500 SPX 2023-12-15 461.04  580.71 97.43   1198.50
2021-09-27 12:29:03 0.0000 353.3 -2500   2500   5    3100 3125 SPX 2022-09-16 1377.53 73.60  1354.98 76.05  
2021-09-27 11:43:45 0.0073 808.3 -98375  100000 1    4000 5000 SPX 2023-12-15 763.03  390.38 229.20  840.30 
2021-09-27 11:32:16 0.0086 808.4 -9810   10000  1    4400 4500 SPX 2023-12-15 519.16  534.63 463.28  576.85 
2021-09-27 10:54:10 0.0075 808.4 -88500  90000  1    3500 4400 SPX 2023-12-15 1124.12 250.03 520.97  531.88 
wow....0.42% interest rate??? i use IBKR margin because it's cheap and convenient but this is getting to be almost a full 1% cheaper now.
DMoogle
Posts: 549
Joined: Sat Oct 31, 2020 10:24 pm

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by DMoogle »

bling wrote: Sat Oct 02, 2021 9:17 amwow....0.42% interest rate??? i use IBKR margin because it's cheap and convenient but this is getting to be almost a full 1% cheaper now.
You're correct, but be sure to notice that the Dec '23 are closer to 0.7%, and only the Dec '22 are around 0.4%
bling
Posts: 1451
Joined: Sat Jan 21, 2012 11:49 am

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by bling »

For some reason when I preview the trade and check how it would affect my margin I don't get any numbers back.

Let's say I'm borrowing 100k in margin. And then I sell a box to borrow another 100k. My cash balance is now 0. What's the impact on margin requirements? It should cancel each other out right?
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Dioremius
Posts: 28
Joined: Tue Jun 11, 2019 4:16 pm

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by Dioremius »

adamhg wrote: Sat Oct 02, 2021 8:16 am Was able to capture most of the week. Not sure if it was the full week or end of quarter but quite a few more boxes sold this week, including a massive 100MM box at the very end of the month :o
This data surprises me. I expected strikes to be concentrated around Schelling points which are very round numbers around spot price (e.g., 4000-5000 and 4000-4500). But the strikes we see in this data are all over.

I guess this means that when retail customers trade SPX boxes, they're effectively paying institution's bots (via larger spreads) to arbitrage orders with non-matching strikes.

So perhaps we forum denizens can decide that our Schelling point for SPX box spread strikes is, say, current SPX spot rounded up and down to multiples of 500? And for expiry date, the classic SPX monthly (third-Friday) or end-of-month expiry? If there are enough box sellers and box buyers here, that ought to tighten spreads for our trades!
:sharebeer
calwatch
Posts: 1431
Joined: Wed Oct 02, 2013 1:48 am

Re: Box Spreads as Loans - Interactive Brokers IBKR - 2021

Post by calwatch »

Just sold one for 4000/4500 SPX, December 2023 for $492.30. I started at $496 and dropped my order by 30-50 cents every day until it was filled - prior to market close I moved from $492.60 to $492.30 and it filled seven minutes later. The annualized interest rate is 0.72% which is higher than my December 2022 boxes at 0.5%-ish.

I'm somewhat tempted to start paying down my 2.24% HELOC but have to maintain my commitment of $250k in equity for the TD Ameritrade bonus I did about seven months ago.
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