What is a box spread?

A box spread is a combination of four European-style options (two calls, two puts) on the same index that together form a synthetic, fully-collateralised loan. The implied rate is what the market is willing to lend at against your portfolio.

How is the box-spread yield curve computed?

We derive the implied rate from daily settlement prices across all liquid SPX and Euro Stoxx 50 box-spread tenors. The curve refreshes after market close and shows market-implied financing rates from 1 to 36 months.

Which brokers support box spreads?

Tier 1: Interactive Brokers, Schwab (thinkorswim), Fidelity, E*TRADE, tastytrade, TradeStation, Tradier. Tier 2: Webull, Moomoo, Public. For ESTX50 in Europe, Interactive Brokers, Saxo, and Lynx are the common venues.

What about the €20,000 cap on derivative losses?

It's gone. The Jahressteuergesetz 2024 retroactively struck §20 Abs. 6 Satz 5 EStG — the rule that had capped Termingeschäft loss offsets at €20,000/year inside a segregated bucket. Box-spread carry now offsets your general Kapitalerträge — dividends, interest, ETF distributions, fund capital gains — at the 26.375% Abgeltungsteuer rate, with no cap. Direct single-stock losses still sit in their own bucket; that part of §20 Abs. 6 is unchanged.

Box-spread yield curve

Implied financing rates from S&P 500 and Euro Stoxx 50 box spreads, marked daily. As of 31 Aug 2026

Monitored boxes · SPX

$39,516 avg 5.24% yield

Monitored boxes · ESTX50

€293,496 avg 2.68% yield

Amount EUR

€

Tenor 12m

1m3m4m6m9m12m15m21m24m30m

Strike width pts

Wider = fewer contracts. Auto fits your amount.

From the end-of-day EUR curve.

Implied rate · 12m EUR

2.75%

Cash today Target €100,000 · -2.58%: €97,417
Implied cost (12m): €2,583
Settlement at expiry: €100,000

In plain terms You receive €97,417 today and repay €100,000 on 20 Aug 2027 — a total cost of €2,583.

Last traded Nothing traded at these strikes. The last print on this expiry was 6450/6550 on 31 Aug 2026 at 3.520%. Different width, so the rate is comparable but the price is not.

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4-leg structure ESTX50 · EUREX

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Action	Right	Strike	Qty
BUY	CALL	••••	••
SELL	CALL	••••	••
BUY	PUT	••••	••
SELL	PUT	••••	••

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Use cases

A · Property

Box vs. realize vs. all cash

10-year wealth comparison for the down-payment.

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B · Portfolio leverage

Box-leveraged vs. unleveraged

Leverage pays the moment portfolio return beats the box rate.

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C · Decumulation

Living off the portfolio — sell or box?

Sell shares or roll a box line? Compounded across decades.

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D · Bridge

Closing the flat-to-flat gap

A short box line vs. the bank's 7% bridge loan.

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Real box prints

All prints → Liquidity tracker →

Executed (UTC)	Index	Expiry	Strikes	Contracts	Notional	Implied rate
31 Aug 21:18:28	SPX	18 Sep 2026	7000/8000	200	$19,957,000	4.46%
31 Aug 21:18:28	SPX	18 Dec 2026	7000/8000	200	$19,737,000	4.53%
31 Aug 21:05:43	SPX	18 Sep 2026	7000/8000	259	$25,844,315	4.46%
31 Aug 17:22:33	SPX	18 Sep 2026	7000/8000	300	$29,935,800	4.44%
31 Aug 17:22:33	SPX	18 Sep 2026	7000/8000	700	$69,850,200	4.44%
31 Aug 17:22:33	SPX	18 Sep 2026	7000/8000	100	$9,978,600	4.44%
31 Aug 17:21:00	ESTX50	17 Mar 2028	6100/7100	1	€9,537	3.12%
31 Aug 15:21:17	ESTX50	18 Sep 2026	1000/6000	3000	€149,814,000	2.55%
31 Aug 15:06:15	ESTX50	20 Nov 2026	6200/6700	1	€4,969	2.84%
31 Aug 13:41:12	ESTX50	18 Dec 2026	6000/7000	1	€9,925	2.55%
This month — volume · avg yield					€3,549,621,800 $6,620,289,943	2.62% 4.68%

Four-leg combo executions detected in the options trade tape. Clean boxes only; prior-session data.

What's a box spread?

Four options that combine into a fully-collateralised loan. The implied rate is what the market lends at against your portfolio.

Mechanics
Discount factor
Risk + margin

Read the full guide →

Track your positions

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or $129 / €110 per year · save ~43%

We watch the curve against your positions and flag only what changes a decision.

Roll alerts — before expiry, with the roll-into rate
Refinance alerts — when a longer tenor beats your locked rate
Rate history per tenor
Running cost across every box
Broker auto-import or manual entry

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