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.

How is a box spread taxed in Spain?

The financing cost shows up as a capital loss in the savings income base. It offsets your capital gains for the year, such as from selling shares or funds, without limit; any remainder offsets up to 25% of your dividends and interest and carries forward 4 years. Interest on a securities-backed loan, by contrast, is not deductible for an individual.

Box-spread yield curve

Implied financing rates from S&P 500 and Euro Stoxx 50 box spreads, marked daily. As of 14 Sep 2026

Monitored boxes · SPX

$39,516 avg 5.24% yield

Monitored boxes · ESTX50

€322,342 avg 2.72% yield

Amount EUR

€

Tenor 12m

2m4m5m6m9m12m15m18m21m24m30m

Strike width pts

Wider = fewer contracts. Auto fits your amount.

From the end-of-day EUR curve.

Implied rate · 12m EUR

3.18%

After tax: 2.45%

Cash today Target €100,000 · 1.75%: €101,750
Implied cost (12m): €3,250
Settlement at expiry: €105,000
After-tax settlement: €104,253

In plain terms You receive €101,750 today and repay €105,000 on 17 Sep 2027 — a total cost of €3,250.

Last traded Nothing traded at these strikes. The last print on this expiry was 4000/6000 on 10 Sep 2026 at 3.090%. 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
10 Sep 21:32:59	SPX	16 Oct 2026	7000/8000	297	$29,572,290	4.47%
10 Sep 18:59:02	SPX	18 Sep 2026	7000/8000	500	$49,950,000	4.67%
10 Sep 18:59:02	SPX	18 Dec 2026	7000/8000	500	$49,400,000	4.55%
10 Sep 18:25:16	SPX	18 Sep 2026	7000/8000	100	$9,990,000	4.67%
10 Sep 18:25:16	SPX	18 Dec 2026	7000/8000	100	$9,880,000	4.55%
10 Sep 17:08:37	SPX	18 Dec 2026	4000/9000	25	$12,349,250	4.57%
10 Sep 16:21:29	ESTX50	18 Dec 2026	1000/6000	3750	€186,161,250	2.68%
10 Sep 16:21:09	ESTX50	18 Dec 2026	1000/6000	3750	€186,157,500	2.68%
10 Sep 16:20:41	ESTX50	18 Sep 2026	1000/6000	7500	€374,737,500	3.25%
10 Sep 13:45:01	ESTX50	17 Sep 2027	4000/6000	1	€19,390	3.09%
This month — volume · avg yield					€6,153,648,777 $3,693,679,457	2.79% 4.67%

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 →

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

Fill guide — where boxes at your tenor actually filled, with a price to start at
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
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