Let's Talk SPX Box Spreads

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
yobery
Posts: 446
Joined: Thu Jan 20, 2022 11:27 pm

Re: Let's Talk SPX Box Spreads

Post by yobery »

GeraniumLover wrote: Mon Apr 04, 2022 5:14 pm
Lowlim wrote: Fri Apr 01, 2022 1:45 pm I'm debating which broker to use for box spreads.
...
What brokerage do you prefer for box spreads?
Has anyone used Tastyworks? How was the experience?
My experience with twks is that their system is awful awful awful. I hated it. Best of luck
yobery
Posts: 446
Joined: Thu Jan 20, 2022 11:27 pm

Re: Let's Talk SPX Box Spreads

Post by yobery »

[See next post --admin LadyGeek]

Might want to start your own thread, guarantee someone has your answer but will not see it since this is a thread about SPX box spreads
User avatar
LadyGeek
Site Admin
Posts: 95696
Joined: Sat Dec 20, 2008 4:34 pm
Location: Philadelphia
Contact:

Re: Let's Talk SPX Box Spreads

Post by LadyGeek »

^^^ Done. I moved Lowlim's question into a new thread. See: Bad experience at Interactive Brokers using ACATS transfers

(Thanks to the member who reported the post and explained what's wrong.)
Wiki To some, the glass is half full. To others, the glass is half empty. To an engineer, it's twice the size it needs to be.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

I was planning to get on the 2-yr treasury note auction on Tuesday. Expected yield is around 2.7%.

I decided to check on box spreads as well. Looking at the recent trades, I noticed the 20-mo box yielded 2.95%. I think this is a worthy alternative.

Differences:

Treasury note interest is state tax-exempted.
Box trade return is 60% LTCG and 40% STCG (no tax due if you have capital losses to offset). Has higher risk compared to the treasury note.
My signature has been deleted.
comeinvest
Posts: 2709
Joined: Mon Mar 12, 2012 6:57 pm

Re: Let's Talk SPX Box Spreads

Post by comeinvest »

indexfundfan wrote: Sun Apr 24, 2022 11:49 am I was planning to get on the 2-yr treasury note auction on Tuesday. Expected yield is around 2.7%.

I decided to check on box spreads as well. Looking at the recent trades, I noticed the 20-mo box yielded 2.95%. I think this is a worthy alternative.

Differences:

Treasury note interest is state tax-exempted.
Box trade return is 60% LTCG and 40% STCG (no tax due if you have capital losses to offset). Has higher risk compared to the treasury note.
Long positions in box spreads are one way of parking cash that according to my research, for example some money market funds as well as other professional and institutional traders and investors use. Whether there is measurable risk, is debatable.

When you compare the yields, I think you have to compare the box yield to the zero coupon (stripped) yield on the treasury curve, because the auctioned note of the same maturity will have somewhat lower duration because of the coupon. Something that I missed myself before. I think you can still get a bit higher rates with box spreads than with buying treasuries - a free lunch, based on supply/demand and regulatory constraints of the hedging counterparties.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

comeinvest wrote: Sun Apr 24, 2022 10:16 pm
indexfundfan wrote: Sun Apr 24, 2022 11:49 am I was planning to get on the 2-yr treasury note auction on Tuesday. Expected yield is around 2.7%.

I decided to check on box spreads as well. Looking at the recent trades, I noticed the 20-mo box yielded 2.95%. I think this is a worthy alternative.

Differences:

Treasury note interest is state tax-exempted.
Box trade return is 60% LTCG and 40% STCG (no tax due if you have capital losses to offset). Has higher risk compared to the treasury note.
Long positions in box spreads are one way of parking cash that according to my research, for example some money market funds as well as other professional and institutional traders and investors use. Whether there is measurable risk, is debatable.

When you compare the yields, I think you have to compare the box yield to the zero coupon (stripped) yield on the treasury curve, because the auctioned note of the same maturity will have somewhat lower duration because of the coupon. Something that I missed myself before. I think you can still get a bit higher rates with box spreads than with buying treasuries - a free lunch, based on supply/demand and regulatory constraints of the hedging counterparties.
Good point about it being "zero coupon" though not that much difference when we are talking about a 20-mo term.

It looks like the 2-yr note is down to less than 2.6% today.
My signature has been deleted.
PluckyDucky
Posts: 346
Joined: Tue Jan 15, 2019 7:29 pm

Re: Let's Talk SPX Box Spreads

Post by PluckyDucky »

It seems like the best time to do this would be when interest rates or low or when interest rates are decreasing.

If the implied rate on the box spread is 5-6%, that wouldn't give you much room to invest the money elsewhere to make a decent return.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

MikeG62 wrote: Sun May 22, 2022 7:42 am
indexfundfan wrote: Sun May 22, 2022 7:19 am
Kevin M wrote: Sat May 21, 2022 9:13 pm Image
Just thought I would like to mention one additional short-term cash investment alternative here using SPX box spread option trades.

The most current recent trades (see Boxtrades.com) shows the following

4-mo (matures 9/16/22) 1.8%
7-mo (matures 12/16/22) 2.2%
13-mo (matures 6/16/23) 2.8%
19-mo (matures 12/15/23) 3.0%

Instead of earning "interest" which are taxable at your income tax rates, the return using box spreads is a combination of 60% LTCG and 40% STCG. If you have harvested capital losses to offset the gain, then you won't be paying any tax.
Interesting. I am up for a little education here. Can you tell us how this works exactly?

I went to the Boxtrades.com and it looks like you need to purchase four option contracts (two calls and two puts).

1) Are there not fees in doing so (or are they reflected in the figures shown)? It would only take very minor changes in the cost of any one of these option contracts to materially alter the return assumptions (such as it seems could happen with normal shifts in the market while placing the trades four trades). Or are they somehow placed as a single trade?

2) What do you need to do, if anything, when the option contracts reach expiration?
Continuing discussion from the CD thread: viewtopic.php?p=6689446#p6689446

Yes, two calls and two puts on SPX options. These are European style options which can only be exercised on maturity. So there is no risk of one of the legs being taken out before maturity.

The fees are for four option trades. This comes up to around $2.70 in total when I use Fidelity. The four legs are placed and purchased at the same time (single trade).

You don't have to do anything on options maturity. The money will be credited to your account on settlement day (T+1).

Some things to note:

1. As far as I know, you can only do this in the taxable account. So you can't use this strategy in your IRA.

2. You need to apply for and be approved for the appropriate options trading level.

3. The value of the options are mark-to-market at the end of each calendar year. So you would be paying for your gains each year. Like CDs, you can't defer multi-year gains (interest) until maturity.

4. Because of the mark-to-market requirement, the sum of the values of each leg could have a different value from the overall box value on the last trading day of the year. This would mean that you can end up with more capital gains than expected for that year. This would be corrected / compensated when the options mature. This problem can be avoided if you don't trade options that straddle the calendar year end.
Last edited by indexfundfan on Sun May 22, 2022 9:46 am, edited 1 time in total.
My signature has been deleted.
gougou
Posts: 1317
Joined: Thu Sep 28, 2017 7:42 pm

Re: Let's Talk SPX Box Spreads

Post by gougou »

indexfundfan wrote: Sun Apr 24, 2022 11:49 am I was planning to get on the 2-yr treasury note auction on Tuesday. Expected yield is around 2.7%.

I decided to check on box spreads as well. Looking at the recent trades, I noticed the 20-mo box yielded 2.95%. I think this is a worthy alternative.

Differences:

Treasury note interest is state tax-exempted.
Box trade return is 60% LTCG and 40% STCG (no tax due if you have capital losses to offset). Has higher risk compared to the treasury note.
Can you explain the risk part? I don’t understand why a long SPX Box Spread is more risky than Treasury.
The sillier the market’s behavior, the greater the opportunity for the business like investor.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

gougou wrote: Sun May 22, 2022 9:45 am
indexfundfan wrote: Sun Apr 24, 2022 11:49 am I was planning to get on the 2-yr treasury note auction on Tuesday. Expected yield is around 2.7%.

I decided to check on box spreads as well. Looking at the recent trades, I noticed the 20-mo box yielded 2.95%. I think this is a worthy alternative.

Differences:

Treasury note interest is state tax-exempted.
Box trade return is 60% LTCG and 40% STCG (no tax due if you have capital losses to offset). Has higher risk compared to the treasury note.
Can you explain the risk part? I don’t understand why a long SPX Box Spread is more risky than Treasury.
US Treasuries are generally considered the safest, backed by the US government.

Options are cleared by the Options Clearing Corporation. Investopedia says

The Options Clearing Corporation (OCC) is an organization that acts as both the issuer and guarantor for options and futures contracts. The largest equity derivatives clearing organization in the world, it operates under the jurisdiction of the Commodities Futures Trading Commission (CFTC) and the U.S. Securities and Exchange Commission (SEC).

I guess it is also "safe" but perhaps a little less so compared to treasuries. Just my opinion.
My signature has been deleted.
MikeG62
Posts: 5065
Joined: Tue Nov 15, 2016 2:20 pm
Location: New Jersey

Re: Let's Talk SPX Box Spreads

Post by MikeG62 »

indexfundfan wrote: Sun May 22, 2022 9:42 am
MikeG62 wrote: Sun May 22, 2022 7:42 am
indexfundfan wrote: Sun May 22, 2022 7:19 am
Kevin M wrote: Sat May 21, 2022 9:13 pm Image
Just thought I would like to mention one additional short-term cash investment alternative here using SPX box spread option trades.

The most current recent trades (see Boxtrades.com) shows the following

4-mo (matures 9/16/22) 1.8%
7-mo (matures 12/16/22) 2.2%
13-mo (matures 6/16/23) 2.8%
19-mo (matures 12/15/23) 3.0%

Instead of earning "interest" which are taxable at your income tax rates, the return using box spreads is a combination of 60% LTCG and 40% STCG. If you have harvested capital losses to offset the gain, then you won't be paying any tax.
Interesting. I am up for a little education here. Can you tell us how this works exactly?

I went to the Boxtrades.com and it looks like you need to purchase four option contracts (two calls and two puts).

1) Are there not fees in doing so (or are they reflected in the figures shown)? It would only take very minor changes in the cost of any one of these option contracts to materially alter the return assumptions (such as it seems could happen with normal shifts in the market while placing the trades four trades). Or are they somehow placed as a single trade?

2) What do you need to do, if anything, when the option contracts reach expiration?
Continuing discussion from the CD thread: viewtopic.php?p=6689446#p6689446

Yes, two calls and two puts on SPX options. These are European style options which can only be exercised on maturity. So there is no risk of one of the legs being taken out before maturity.

The fees are for four option trades. This comes up to around $2.70 in total when I use Fidelity. The four legs are placed and purchased at the same time (single trade).

You don't have to do anything on options maturity. The money will be credited to your account on settlement day (T+1).

Some things to note:

1. As far as I know, you can only do this in the taxable account. So you can't use this strategy in your IRA.

2. You need to apply for and be approved for the appropriate options trading level.

3. The value of the options are mark-to-market at the end of each calendar year. So you would be paying for your gains each year. Like CDs, you can't defer multi-year gains (interest) until maturity.

4. Because of the mark-to-market requirement, the sum of the values of each leg could have a different value from the overall box value on the last trading day of the year. This would mean that you can end up with more capital gains than expected for that year. This would be corrected / compensated when the options mature. This problem can be avoided if you don't trade options that straddle the calendar year end.
Thanks for the detailed explanation. The question is whether I can get Tier 3 status at Fidelity. I've tried a couple of times today and I keep getting a message to try back later. :oops:
Real Knowledge Comes Only From Experience
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

MikeG62 wrote: Sun May 22, 2022 4:22 pm Thanks for the detailed explanation. The question is whether I can get Tier 3 status at Fidelity. I've tried a couple of times today and I keep getting a message to try back later. :oops:
I think your investment objective has to be "Most Aggressive" and make sure you have a moderate amount of options trading experience.
My signature has been deleted.
MikeG62
Posts: 5065
Joined: Tue Nov 15, 2016 2:20 pm
Location: New Jersey

Re: Let's Talk SPX Box Spreads

Post by MikeG62 »

indexfundfan wrote: Sun May 22, 2022 4:53 pm
MikeG62 wrote: Sun May 22, 2022 4:22 pm Thanks for the detailed explanation. The question is whether I can get Tier 3 status at Fidelity. I've tried a couple of times today and I keep getting a message to try back later. :oops:
I think your investment objective has to be "Most Aggressive" and make sure you have a moderate amount of options trading experience.
I have it set as most aggressive which I think is required for even Tier 1 option trading. My experience is what my experience is. I have traded options before many years ago (but only a few times). It was more than 5 years ago so that helps. They don't ask how much experience just length of experience which seems a bit odd. I'll try again tomorrow and see what happens. Not sure I am going to do the box spreads, but would be good to know I can if I want to in the future. Thanks again for your help.
Real Knowledge Comes Only From Experience
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

I just checked, and am already approved for Tier 3 option trading in my taxable account (and tier 1 in IRA). I don't remember actually trading options at Fidelity, but some years ago did quite a bit of covered call trading at IB. I set up both my Fidelity and Vanguard accounts as margin accounts when I opened them many years ago, just in case, and I guess I qualified for Tier 3 somehow at Fidelity

With brokered CD rates finally surpassing Treasuries at some maturities, is there any yield advantage to doing say a 2-year box spread, when 2-year non-callable brokered CD is 2.85%?

Thanks,

Kevin
If I make a calculation error, #Cruncher probably will let me know.
nalor511
Posts: 5058
Joined: Mon Jul 27, 2015 1:00 am

Re: Let's Talk SPX Box Spreads

Post by nalor511 »

Kevin M wrote: Sun May 22, 2022 6:47 pm I just checked, and am already approved for Tier 3 option trading in my taxable account (and tier 1 in IRA). I don't remember actually trading options at Fidelity, but some years ago did quite a bit of covered call trading at IB. I set up both my Fidelity and Vanguard accounts as margin accounts when I opened them many years ago, just in case, and I guess I qualified for Tier 3 somehow at Fidelity

With brokered CD rates finally surpassing Treasuries at some maturities, is there any yield advantage to doing say a 2-year box spread, when 2-year non-callable brokered CD is 2.85%?

Thanks,

Kevin
Box spreads get treated as 60% ltcg instead of ordinary income, which could be a benefit if brokered CD income is treated as ordinary
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

Kevin M wrote: Sun May 22, 2022 6:47 pm I just checked, and am already approved for Tier 3 option trading in my taxable account (and tier 1 in IRA). I don't remember actually trading options at Fidelity, but some years ago did quite a bit of covered call trading at IB. I set up both my Fidelity and Vanguard accounts as margin accounts when I opened them many years ago, just in case, and I guess I qualified for Tier 3 somehow at Fidelity

With brokered CD rates finally surpassing Treasuries at some maturities, is there any yield advantage to doing say a 2-year box spread, when 2-year non-callable brokered CD is 2.85%?

Thanks,

Kevin
Boxtrades.com is not tracking 2-yr box spread trades. But by interpolating between the 19-mo and 31-mo trades, it looks like the 2-yr box would yield around 3.1%.

There was a paper referenced in the other (long) thread that showed that based on historical data, the box spread trades have yields around 35 bps higher than the equivalent treasuries (if I recall correctly).
My signature has been deleted.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

MikeG62 wrote: Sun May 22, 2022 5:25 pm
indexfundfan wrote: Sun May 22, 2022 4:53 pm
MikeG62 wrote: Sun May 22, 2022 4:22 pm Thanks for the detailed explanation. The question is whether I can get Tier 3 status at Fidelity. I've tried a couple of times today and I keep getting a message to try back later. :oops:
I think your investment objective has to be "Most Aggressive" and make sure you have a moderate amount of options trading experience.
I have it set as most aggressive which I think is required for even Tier 1 option trading. My experience is what my experience is. I have traded options before many years ago (but only a few times). It was more than 5 years ago so that helps. They don't ask how much experience just length of experience which seems a bit odd. I'll try again tomorrow and see what happens. Not sure I am going to do the box spreads, but would be good to know I can if I want to in the future. Thanks again for your help.
The nice thing about box spread trades is that you can get practically the same rate (less the tiny commission), on either the borrower side or lender side. Usually an individual investor would not be able to borrow or lend at the same rate.

When I started doing box spread trades, I was on the "short" side, meaning I used boxes as loans. Such loans have fixed durations and rates. The rates were very attractive and were lower than IBKR's (variable) margin rates.

Last month, I went on the "long" side and purchased a 20-mo box with a yield of 3.0%. I am now thinking of purchasing the 13-mo at 2.8%.
My signature has been deleted.
User avatar
whodidntante
Posts: 13114
Joined: Thu Jan 21, 2016 10:11 pm
Location: outside the echo chamber

Re: Let's Talk SPX Box Spreads

Post by whodidntante »

comeinvest wrote: Sun Apr 24, 2022 10:16 pm
indexfundfan wrote: Sun Apr 24, 2022 11:49 am I was planning to get on the 2-yr treasury note auction on Tuesday. Expected yield is around 2.7%.

I decided to check on box spreads as well. Looking at the recent trades, I noticed the 20-mo box yielded 2.95%. I think this is a worthy alternative.

Differences:

Treasury note interest is state tax-exempted.
Box trade return is 60% LTCG and 40% STCG (no tax due if you have capital losses to offset). Has higher risk compared to the treasury note.
Long positions in box spreads are one way of parking cash that according to my research, for example some money market funds as well as other professional and institutional traders and investors use. Whether there is measurable risk, is debatable.

When you compare the yields, I think you have to compare the box yield to the zero coupon (stripped) yield on the treasury curve, because the auctioned note of the same maturity will have somewhat lower duration because of the coupon. Something that I missed myself before. I think you can still get a bit higher rates with box spreads than with buying treasuries - a free lunch, based on supply/demand and regulatory constraints of the hedging counterparties.
I do wonder about trading costs to close the position and take your money back out early, especially if the underlying moves a lot and spreads widen.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

nalor511 wrote: Sun May 22, 2022 6:51 pm
Kevin M wrote: Sun May 22, 2022 6:47 pm I just checked, and am already approved for Tier 3 option trading in my taxable account (and tier 1 in IRA). I don't remember actually trading options at Fidelity, but some years ago did quite a bit of covered call trading at IB. I set up both my Fidelity and Vanguard accounts as margin accounts when I opened them many years ago, just in case, and I guess I qualified for Tier 3 somehow at Fidelity

With brokered CD rates finally surpassing Treasuries at some maturities, is there any yield advantage to doing say a 2-year box spread, when 2-year non-callable brokered CD is 2.85%?

Thanks,

Kevin
Box spreads get treated as 60% ltcg instead of ordinary income, which could be a benefit if brokered CD income is treated as ordinary
Thanks. That's more advantageous for CDs than Treasuries.

My marginal state income tax rate is 9.3%, and with Fed at 22% and LTCG at 15%, that's only a 7 point spread, and I'd only get that benefit for 60% of the income. Without doing any detailed calculations, it appears that I'd get more tax benefit from Treasuries due to the state tax exemption. I guess I'd need to do the detailed calcs to see which came out better net of taxes considering the yield advantage of the box.

Kevin
If I make a calculation error, #Cruncher probably will let me know.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

Could you experienced folks talk a bit about using larger spread vs smaller spread and larger quantity? TFB mentions it in his blog post, but didn't get into much detail.

Also, I'm seeing the following yields at Boxtrades.com

21 Apr 23 2.479
19 May 23 2.247
16 Jun 23 2.678

This seems analogous to yield curve inversion from Apr to May, and then a big bump for Jun. Explanations?

Thanks,

Kevin
If I make a calculation error, #Cruncher probably will let me know.
nalor511
Posts: 5058
Joined: Mon Jul 27, 2015 1:00 am

Re: Let's Talk SPX Box Spreads

Post by nalor511 »

Kevin M wrote: Sun May 22, 2022 8:18 pm Could you experienced folks talk a bit about using larger spread vs smaller spread and larger quantity? TFB mentions it in his blog post, but didn't get into much detail.

Also, I'm seeing the following yields at Boxtrades.com

21 Apr 23 2.479
19 May 23 2.247
16 Jun 23 2.678

This seems analogous to yield curve inversion from Apr to May, and then a big bump for Jun. Explanations?

Thanks,

Kevin
Larger spread, fewer trades, fewer commissions, has been the only difference I've found
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

nalor511 wrote: Sun May 22, 2022 8:28 pm
Kevin M wrote: Sun May 22, 2022 8:18 pm Could you experienced folks talk a bit about using larger spread vs smaller spread and larger quantity? TFB mentions it in his blog post, but didn't get into much detail.

Also, I'm seeing the following yields at Boxtrades.com

21 Apr 23 2.479
19 May 23 2.247
16 Jun 23 2.678

This seems analogous to yield curve inversion from Apr to May, and then a big bump for Jun. Explanations?

Thanks,

Kevin
Larger spread, fewer trades, fewer commissions, has been the only difference I've found
So what do you typically do?

What is the largest spread that is likely to get executed?
If I make a calculation error, #Cruncher probably will let me know.
nalor511
Posts: 5058
Joined: Mon Jul 27, 2015 1:00 am

Re: Let's Talk SPX Box Spreads

Post by nalor511 »

Kevin M wrote: Sun May 22, 2022 8:32 pm
nalor511 wrote: Sun May 22, 2022 8:28 pm
Kevin M wrote: Sun May 22, 2022 8:18 pm Could you experienced folks talk a bit about using larger spread vs smaller spread and larger quantity? TFB mentions it in his blog post, but didn't get into much detail.

Also, I'm seeing the following yields at Boxtrades.com

21 Apr 23 2.479
19 May 23 2.247
16 Jun 23 2.678

This seems analogous to yield curve inversion from Apr to May, and then a big bump for Jun. Explanations?

Thanks,

Kevin
Larger spread, fewer trades, fewer commissions, has been the only difference I've found
So what do you typically do?

What is the largest spread that is likely to get executed?
boxtrades.com has good history info and rates data. I use whatever spread I need to pay only a single commission. I've done $57k and $52k in single commission, they don't have to be round numbers. There are some really big ones in the history on boxtrades, I don't think you'll have too much trouble. Put in the order, if it doesn't get filled... Cancel or edit it, no downside to trying for a bigger spread first, and break it up if you can't get the big one filed
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

Kevin M wrote: Sun May 22, 2022 8:18 pm Also, I'm seeing the following yields at Boxtrades.com

21 Apr 23 2.479
19 May 23 2.247
16 Jun 23 2.678
I don't think those trades are on the same date. If you had noticed, the options that expire quarterly have more trades compared to those odd months like Apr or May. I usually only go for those quarterly options (Mar, Jun, Sep, Dec).

While individual SPX options have fair amount of trading interest / volume, there aren't that many box spread trades. So some of the data points you see are quite dated.
My signature has been deleted.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

indexfundfan wrote: Mon May 23, 2022 9:17 am
Kevin M wrote: Sun May 22, 2022 8:18 pm Also, I'm seeing the following yields at Boxtrades.com

21 Apr 23 2.479
19 May 23 2.247
16 Jun 23 2.678
I don't think those trades are on the same date. If you had noticed, the options that expire quarterly have more trades compared to those odd months like Apr or May. I usually only go for those quarterly options (Mar, Jun, Sep, Dec).

While individual SPX options have fair amount of trading interest / volume, there aren't that many box spread trades. So some of the data points you see are quite dated.
OK, thanks.
If I make a calculation error, #Cruncher probably will let me know.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Box Spread taxable equivalent yield

Post by Kevin M »

To evaluate a box spread relative to Treasury, muni, or other yields, I need to know the taxable equivalent yield (TEY) for the box spread.

I worked out the TEYs for Treasuries, munis, state munis, and funds like Vanguard Fed MM, which may be partially exempt from state income tax in my state (CA) in this thread: Taxable Equivalent Yield (TEY). Using that same approach, I derived this TEY for a box spread:

= by * (1 - ltgp * (fg + sg) - op * (f + s) ) / (1 - f - s) ,

Here are the symbol definitions and a sample result

Image

Kevin
Last edited by Kevin M on Wed Aug 03, 2022 2:57 pm, edited 1 time in total.
If I make a calculation error, #Cruncher probably will let me know.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

Using the TEY formulas, I compared most recent Dec 15 2023 rate from boxtrades.com of 2.58%, TEY = 2.74% to the Treasury maturing 12/15/2023 yield of 2.28%, TEY = 2.59%. Box trade yield advantage is 14 basis points, which isn't enough to make it worth it to me.

There was an earlier trade the same day (yesterday) that got a yield of 2.84%, TEY = 3.01%, for a TEY spread of 42 bps over Treasury. That would make it worth it I think.

I guess the idea is to enter an order at a yield that would make the TEY spread attractive, and if it isn't filled, try again, or buy the Treasury.

I did move $100K to Fidelity, parked in FZDXX at about 0.62%, so I can do this if it looks good.

Kevin
If I make a calculation error, #Cruncher probably will let me know.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

Thanks for the analysis.

For those with harvested losses to spare, the TEY for boxes would be even higher. But that may not be a fair comparison for everyone.

In your example above, if you have CG losses to spare, I guess the TEY for you would be 4.37% ?
My signature has been deleted.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

indexfundfan wrote: Tue May 24, 2022 4:02 pm Thanks for the analysis.

For those with harvested losses to spare, the TEY for boxes would be even higher. But that may not be a fair comparison for everyone.

In your example above, if you have CG losses to spare, I guess the TEY for you would be 4.37% ?
Setting fg = sg = 0%, I get 3.82%. As a check, with 0% LTCG tax, the TEY formula reduces to:

= by * (1 - op * (f + s) ) / (1 - f - s)

No?

Kevin
If I make a calculation error, #Cruncher probably will let me know.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

Kevin M wrote: Tue May 24, 2022 5:15 pm
indexfundfan wrote: Tue May 24, 2022 4:02 pm Thanks for the analysis.

For those with harvested losses to spare, the TEY for boxes would be even higher. But that may not be a fair comparison for everyone.

In your example above, if you have CG losses to spare, I guess the TEY for you would be 4.37% ?
Setting fg = sg = 0%, I get 3.82%. As a check, with 0% LTCG tax, the TEY formula reduces to:

= by * (1 - op * (f + s) ) / (1 - f - s)

No?

Kevin
The term op should be also zero right?
My signature has been deleted.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

indexfundfan wrote: Tue May 24, 2022 5:27 pm
Kevin M wrote: Tue May 24, 2022 5:15 pm
indexfundfan wrote: Tue May 24, 2022 4:02 pm Thanks for the analysis.

For those with harvested losses to spare, the TEY for boxes would be even higher. But that may not be a fair comparison for everyone.

In your example above, if you have CG losses to spare, I guess the TEY for you would be 4.37% ?
Setting fg = sg = 0%, I get 3.82%. As a check, with 0% LTCG tax, the TEY formula reduces to:

= by * (1 - op * (f + s) ) / (1 - f - s)

No?

Kevin
The term op should be also zero right?
Oh yeah, I forgot that this was STCG and could also be offset by capital losses, so yeah, 4.37% is correct.

Thanks,

Kevin
If I make a calculation error, #Cruncher probably will let me know.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

Entered my first box spread order at Fidelity today. It was not accepted.

I decided to go small for my first one, so entered order for 1 at 100 spread (3,900 to 4,000) for the Dec 16, 2022 at 98.80, which happened to be the middle of the bid/ask spread. This is a yield of about 2.1%, much better than the 1.4% or so for Treasury maturing around the same date.

After awhile, I bumped it to 98.90, about 2%, but it was cancelled at the close.

The bid ask spread was very large, like 95 to 105 or something like that. Is this normal? Where in the bid/ask spread do you usually place your orders?

Kevin
If I make a calculation error, #Cruncher probably will let me know.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

Kevin M wrote: Wed May 25, 2022 5:58 pm Entered my first box spread order at Fidelity today. It was not accepted.

I decided to go small for my first one, so entered order for 1 at 100 spread (3,900 to 4,000) for the Dec 16, 2022 at 98.80, which happened to be the middle of the bid/ask spread. This is a yield of about 2.1%, much better than the 1.4% or so for Treasury maturing around the same date.

After awhile, I bumped it to 98.90, about 2%, but it was cancelled at the close.

The bid ask spread was very large, like 95 to 105 or something like that. Is this normal? Where in the bid/ask spread do you usually place your orders?

Kevin
From my experience, the trades seldom transact at the mid-point listed in the quote.

To get the best deal, you need to be patient. It could take a day or two. But if you are willing to accept the 30 to 40 bps premium over treasuries, It will fill faster. I now have an order opened for Jun 2023 (13-mo). Aiming for 2.8% but no takers so far. I know the one-year is only 2.01% today but sometimes you get lucky.
My signature has been deleted.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

indexfundfan wrote: Wed May 25, 2022 6:07 pm
Kevin M wrote: Wed May 25, 2022 5:58 pm Entered my first box spread order at Fidelity today. It was not accepted.

I decided to go small for my first one, so entered order for 1 at 100 spread (3,900 to 4,000) for the Dec 16, 2022 at 98.80, which happened to be the middle of the bid/ask spread. This is a yield of about 2.1%, much better than the 1.4% or so for Treasury maturing around the same date.

After awhile, I bumped it to 98.90, about 2%, but it was cancelled at the close.

The bid ask spread was very large, like 95 to 105 or something like that. Is this normal? Where in the bid/ask spread do you usually place your orders?

Kevin
From my experience, the trades seldom transact at the mid-point listed in the quote.

To get the best deal, you need to be patient. It could take a day or two. But if you are willing to accept the 30 to 40 bps premium over treasuries, It will fill faster. I now have an order opened for Jun 2023 (13-mo). Aiming for 2.8% but no takers so far. I know the one-year is only 2.01% today but sometimes you get lucky.
OK, so first, it sounds like you do GTC orders instead of Day. Correct?

Next, do you pay any attention to the ask price when entering your order? It sounds like you just enter an order looking for a certain rate.

Thanks,

Kevin
If I make a calculation error, #Cruncher probably will let me know.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

Kevin M wrote: Wed May 25, 2022 6:13 pm
indexfundfan wrote: Wed May 25, 2022 6:07 pm
Kevin M wrote: Wed May 25, 2022 5:58 pm Entered my first box spread order at Fidelity today. It was not accepted.

I decided to go small for my first one, so entered order for 1 at 100 spread (3,900 to 4,000) for the Dec 16, 2022 at 98.80, which happened to be the middle of the bid/ask spread. This is a yield of about 2.1%, much better than the 1.4% or so for Treasury maturing around the same date.

After awhile, I bumped it to 98.90, about 2%, but it was cancelled at the close.

The bid ask spread was very large, like 95 to 105 or something like that. Is this normal? Where in the bid/ask spread do you usually place your orders?

Kevin
From my experience, the trades seldom transact at the mid-point listed in the quote.

To get the best deal, you need to be patient. It could take a day or two. But if you are willing to accept the 30 to 40 bps premium over treasuries, It will fill faster. I now have an order opened for Jun 2023 (13-mo). Aiming for 2.8% but no takers so far. I know the one-year is only 2.01% today but sometimes you get lucky.
OK, so first, it sounds like you do GTC orders instead of Day. Correct?

Next, do you pay any attention to the ask price when entering your order? It sounds like you just enter an order looking for a certain rate.

Thanks,

Kevin
Yes, I use GTC order and monitor it over the next few days until it fills. The order entry is too cumbersome to enter every day.

I don't really pay much attention to the ask or bid prices. I just look for the final debit number, which itself is determined by the rate I am willing to accept.
My signature has been deleted.
kxl19
Posts: 248
Joined: Wed Mar 13, 2013 12:41 am

Re: Let's Talk SPX Box Spreads

Post by kxl19 »

Kevin M wrote: Wed May 25, 2022 5:58 pm Entered my first box spread order at Fidelity today. It was not accepted.

I decided to go small for my first one, so entered order for 1 at 100 spread (3,900 to 4,000) for the Dec 16, 2022 at 98.80, which happened to be the middle of the bid/ask spread. This is a yield of about 2.1%, much better than the 1.4% or so for Treasury maturing around the same date.

After awhile, I bumped it to 98.90, about 2%, but it was cancelled at the close.

The bid ask spread was very large, like 95 to 105 or something like that. Is this normal? Where in the bid/ask spread do you usually place your orders?

Kevin
For these orders in Fido - what should I set the trade condition to? None or “all or none”?

Thanks for doing the TEY analysis, this is an interesting way to get higher yield than a similar duration treasury
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

kxl19 wrote: Wed May 25, 2022 8:46 pm
Kevin M wrote: Wed May 25, 2022 5:58 pm Entered my first box spread order at Fidelity today. It was not accepted.

I decided to go small for my first one, so entered order for 1 at 100 spread (3,900 to 4,000) for the Dec 16, 2022 at 98.80, which happened to be the middle of the bid/ask spread. This is a yield of about 2.1%, much better than the 1.4% or so for Treasury maturing around the same date.

After awhile, I bumped it to 98.90, about 2%, but it was cancelled at the close.

The bid ask spread was very large, like 95 to 105 or something like that. Is this normal? Where in the bid/ask spread do you usually place your orders?

Kevin
For these orders in Fido - what should I set the trade condition to? None or “all or none”?

Thanks for doing the TEY analysis, this is an interesting way to get higher yield than a similar duration treasury
I don't remember even seeing that choice. If you order more than quantity 1, "all or none" typically would tell them that you want your full quantity filled or nothing. My understanding is that a single leg cannot be executed--all legs must be executed for a box spread, so all or none would not apply to the individual legs.
If I make a calculation error, #Cruncher probably will let me know.
fidream
Posts: 34
Joined: Tue Apr 11, 2017 12:59 am

Re: Let's Talk Box Spreads

Post by fidream »

calwatch wrote: Wed Feb 23, 2022 2:01 am ...liquidation risk due to a bad algorithm (especially true with IBKR, although possible in any broker)...
Could you go into more detail about this? IBKR can potentially screw you over with its algorithm? What about IBKR makes it more dangerous than other brokers?
adamhg
Posts: 218
Joined: Sat Apr 10, 2021 8:40 am

Re: Let's Talk SPX Box Spreads

Post by adamhg »

comeinvest wrote: Sun Apr 24, 2022 10:16 pm Long positions in box spreads are one way of parking cash that according to my research, for example some money market funds as well as other professional and institutional traders and investors use. Whether there is measurable risk, is debatable.
This is exactly what I've been doing. Using long box spreads to park cash. Here's some examples of institutional funds doing the same:
The Advisor may allocate a portion of the Fund’s assets to cash or cash equivalents, including United States Treasury Securities, money-market instruments, money-market mutual funds or option “box spreads.”
https://www.sec.gov/Archives/edgar/data/1464413/000146441320000097/r497k0720.htm
The Collateral Portfolio may be invested in short-term fixed-income securities, including corporate bonds and other corporate debt securities, asset-backed securities (“ABS”), securities issued by the U.S. Government or its agencies and instrumentalities, securities issued by non-U.S. governments or their agencies and instrumentalities, money market securities and funds, other interest-bearing instruments, cash, ETFs that primarily invest in any of the foregoing instruments, and options box spreads.
https://www.sec.gov/Archives/edgar/data ... 210624.htm

It's been going really well. Keeps funds in my brokerage account and earns way more than any other option there. Liquidity is there if I need to exit quick, but otherwise I'm doing 3 month ladders every ~1 month or so I should always have about 1/3 of my cash available within a month's notice near risk-free.
User avatar
martincmartin
Posts: 900
Joined: Wed Jul 02, 2014 3:04 pm
Location: Boston, MA USA

Re: Let's Talk SPX Box Spreads

Post by martincmartin »

I've heard that one way the ultra-rich pay no taxes is by taking out a loan to pay their living expenses, using their stock as collateral, and never paying off the loan, i.e. continually rolling it over. When they die, both their stock & debt is part of their estate, but thanks to the step up in basis, their heirs can sell the stock to pay off the loan, and boom, no taxes were paid on those living expenses.

Is that something open to us not-ultra-rich but FIRE? Could box spreads be a part of that? What are the risks and trade offs?
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

adamhg wrote: Sat May 28, 2022 4:17 pm It's been going really well. Keeps funds in my brokerage account and earns way more than any other option there. Liquidity is there if I need to exit quick, but otherwise I'm doing 3 month ladders every ~1 month or so I should always have about 1/3 of my cash available within a month's notice near risk-free.
Could you please share how you set your price when entering the order?

Thanks,

Kevin
If I make a calculation error, #Cruncher probably will let me know.
adamhg
Posts: 218
Joined: Sat Apr 10, 2021 8:40 am

Re: Let's Talk SPX Box Spreads

Post by adamhg »

Kevin M wrote: Sat May 28, 2022 7:32 pm Could you please share how you set your price when entering the order?

Thanks,

Kevin
Full disclosure if you don't follow the IB box spread thread, I maintain the boxtrades.com site. So I usually use that as a baseline. The data is always from the the previous day though so I usually see how treasuries moved since open and use that to approximate what I'd think the market rate should be.

I also have a script that can auto increment my offer. I've used it in the past to immediately find the fill, but I wouldn't recommend that and won't be doing that again. Instead, I've configured it to move every few hours if I'm looking for a faster full.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

adamhg wrote: Sun May 29, 2022 5:42 pm
Kevin M wrote: Sat May 28, 2022 7:32 pm Could you please share how you set your price when entering the order?

Thanks,

Kevin
Full disclosure if you don't follow the IB box spread thread, I maintain the boxtrades.com site. So I usually use that as a baseline. The data is always from the the previous day though so I usually see how treasuries moved since open and use that to approximate what I'd think the market rate should be.

I also have a script that can auto increment my offer. I've used it in the past to immediately find the fill, but I wouldn't recommend that and won't be doing that again. Instead, I've configured it to move every few hours if I'm looking for a faster full.
I haven't followed the other thread, but I'll scan it to see what I can learn. Thanks for chiming in here.

OK, so say that yesterday there was a fill at 2.5% and the Treasury maturing on or about the same date had an ask yield of 2.1%, so a yield spread of 40 basis points. If the ask yield for the same Treasury today is 2.0%, would you enter an order to try and get 2.4%?

Do you have a certain yield spread over the Treasury that you're looking for?

Thanks,

Kevin
If I make a calculation error, #Cruncher probably will let me know.
adamhg
Posts: 218
Joined: Sat Apr 10, 2021 8:40 am

Re: Let's Talk SPX Box Spreads

Post by adamhg »

Kevin M wrote: Sun May 29, 2022 6:20 pm I haven't followed the other thread, but I'll scan it to see what I can learn. Thanks for chiming in here.

OK, so say that yesterday there was a fill at 2.5% and the Treasury maturing on or about the same date had an ask yield of 2.1%, so a yield spread of 40 basis points. If the ask yield for the same Treasury today is 2.0%, would you enter an order to try and get 2.4%?

Do you have a certain yield spread over the Treasury that you're looking for?

Thanks,

Kevin
There's a study in the other thread showing that box spreads yield about 30-40bp over treasuries. I don't have the link on hand unfortunately, but it's linked a few times so hopefully not too hard to track down.
Last edited by adamhg on Sun May 29, 2022 7:02 pm, edited 2 times in total.
nalor511
Posts: 5058
Joined: Mon Jul 27, 2015 1:00 am

Re: Let's Talk SPX Box Spreads

Post by nalor511 »

Kevin M wrote: Sun May 29, 2022 6:20 pm
adamhg wrote: Sun May 29, 2022 5:42 pm
Kevin M wrote: Sat May 28, 2022 7:32 pm Could you please share how you set your price when entering the order?

Thanks,

Kevin
Full disclosure if you don't follow the IB box spread thread, I maintain the boxtrades.com site. So I usually use that as a baseline. The data is always from the the previous day though so I usually see how treasuries moved since open and use that to approximate what I'd think the market rate should be.

I also have a script that can auto increment my offer. I've used it in the past to immediately find the fill, but I wouldn't recommend that and won't be doing that again. Instead, I've configured it to move every few hours if I'm looking for a faster full.
I haven't followed the other thread, but I'll scan it to see what I can learn. Thanks for chiming in here.

OK, so say that yesterday there was a fill at 2.5% and the Treasury maturing on or about the same date had an ask yield of 2.1%, so a yield spread of 40 basis points. If the ask yield for the same Treasury today is 2.0%, would you enter an order to try and get 2.4%?

Do you have a certain yield spread over the Treasury that you're looking for?

Thanks,

Kevin
0.35-0.36% above treasuries seems to work for me. You might get 0.4%, but you might not get it right away
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

Thanks for the replies about spread over Treasuries. I think what I'll do is start with a yield spread of 40 bps over the Treasury, and then increase price until I get to the minimum yield I'm willing to accept.

I'm thinking of a spread of 200 for qty 1 for the 16 Sep 2022. Boxtrades.com shows rates of about 1.65% for several trades of this box spread on Friday, and the 9/15/2022 Treasury ask yield was 1.04% on Friday afternoon. This looks like a yield spread of more than 60 bps. Am I misunderstanding something?

Thanks,

Kevin
If I make a calculation error, #Cruncher probably will let me know.
User avatar
indexfundfan
Posts: 3962
Joined: Tue Feb 20, 2007 10:21 am
Contact:

Re: Let's Talk SPX Box Spreads

Post by indexfundfan »

Kevin M wrote: Sun May 29, 2022 7:35 pm Thanks for the replies about spread over Treasuries. I think what I'll do is start with a yield spread of 40 bps over the Treasury, and then increase price until I get to the minimum yield I'm willing to accept.

I'm thinking of a spread of 200 for qty 1 for the 16 Sep 2022. Boxtrades.com shows rates of about 1.65% for several trades of this box spread on Friday, and the 9/15/2022 Treasury ask yield was 1.04% on Friday afternoon. This looks like a yield spread of more than 60 bps. Am I misunderstanding something?

Thanks,

Kevin
The treasury you are looking at is the 3-mo @ 1.08% correct? The 9/15/22 box spread is more like 3.5-mo, with a little longer duration. This may partially explain the higher 60 bps spread.

Also, as it gets closer to expiration, sometimes strange numbers can be observed. I think Adam saw some negative yields last year, IIRC. Makes for a profitable short term loan.
My signature has been deleted.
User avatar
Kevin M
Posts: 15789
Joined: Mon Jun 29, 2009 3:24 pm
Contact:

Re: Let's Talk SPX Box Spreads

Post by Kevin M »

indexfundfan wrote: Sun May 29, 2022 7:57 pm
Kevin M wrote: Sun May 29, 2022 7:35 pm Thanks for the replies about spread over Treasuries. I think what I'll do is start with a yield spread of 40 bps over the Treasury, and then increase price until I get to the minimum yield I'm willing to accept.

I'm thinking of a spread of 200 for qty 1 for the 16 Sep 2022. Boxtrades.com shows rates of about 1.65% for several trades of this box spread on Friday, and the 9/15/2022 Treasury ask yield was 1.04% on Friday afternoon. This looks like a yield spread of more than 60 bps. Am I misunderstanding something?

Thanks,

Kevin
The treasury you are looking at is the 3-mo @ 1.08% correct? The 9/15/22 box spread is more like 3.5-mo, with a little longer duration. This may partially explain the higher 60 bps spread.

Also, as it gets closer to expiration, sometimes strange numbers can be observed. I think Adam saw some negative yields last year, IIRC. Makes for a profitable short term loan.
No, I'm looking at CUSIP 912828YF1 with maturity 09/15/2022--a Treasury actually trading on the secondary market, not the Treasury CMT yields that shows the 3mo at 1.08%. So it's 108 days to maturity compared to 109 days for the box spread.

Kevin
If I make a calculation error, #Cruncher probably will let me know.
adamhg
Posts: 218
Joined: Sat Apr 10, 2021 8:40 am

Re: Let's Talk SPX Box Spreads

Post by adamhg »

Kevin M wrote: Sun May 29, 2022 8:26 pm
No, I'm looking at CUSIP 912828YF1 with maturity 09/15/2022--a Treasury actually trading on the secondary market, not the Treasury CMT yields that shows the 3mo at 1.08%. So it's 108 days to maturity compared to 109 days for the box spread.

Kevin
What price are you seeing? Börse has:
Last price 100.059
Yield in % (last price) 1.2999
https://www.boerse-frankfurt.de/bond/us ... -1-5-19-22
comeinvest
Posts: 2709
Joined: Mon Mar 12, 2012 6:57 pm

Re: Let's Talk SPX Box Spreads

Post by comeinvest »

adamhg wrote: Sun May 29, 2022 10:04 pm
Kevin M wrote: Sun May 29, 2022 8:26 pm
No, I'm looking at CUSIP 912828YF1 with maturity 09/15/2022--a Treasury actually trading on the secondary market, not the Treasury CMT yields that shows the 3mo at 1.08%. So it's 108 days to maturity compared to 109 days for the box spread.

Kevin
What price are you seeing? Börse has:
Last price 100.059
Yield in % (last price) 1.2999
https://www.boerse-frankfurt.de/bond/us ... -1-5-19-22
Yield in % (last price) 1.2999
Yield in % (ask) 1.0180
Yield in % (bid) 1.2999

Perhaps this treasury bill has only very low volume so close to expiration?

https://www.wsj.com/market-data/bonds/treasuries has
MATURITY COUPON BID ASKED CHG ASKED YIELD
9/15/2022 1.500 100.0360 100.0420 -0.0040 1.040
The bid/ask spread here is more narrow. Not sure where Börse Frankfurt gets their data from. Maybe the U.S. treasuries are traded in Germany too.
Post Reply