How we calculate

Every rate on Yieldbard comes from one formula applied to exchange prices. Here is the formula, which days count and what we leave out, so you can check any number yourself.

The rate of a box

A short box pays you its price today and costs you its width at expiry: the gap between the two strikes, worth $100 a point on SPX and €10 a point on Euro Stoxx 50. The rate is the yearly rate that grows the price into the width over the days between receiving the cash and paying it back, on a 365-day year, compounded once a year:

Fees are not included. Commissions and exchange fees come on top.

Which days count

The count runs from the day the premium settles to the day the box pays out: one settlement day after the trade, and one settlement day after expiry. SPX follows the US settlement calendar: exchange holidays, plus Columbus Day and Veterans Day, when banks are closed. Euro Stoxx 50 follows TARGET, the calendar for euro payments.

Box prints

Prints are real trades from the exchanges' trade records, published the day after.

• SPX: the four legs of a box print separately, within the same millisecond. We group them and keep only clean boxes: two strikes, a call and a put on each, all the same size. The price is (lower call − upper call) + (upper put − lower put).
• Euro Stoxx 50: boxes trade on Eurex as listed strategies, off-book blocks included, and print one net price.

We drop prints that imply less than 0.1% or more than 20%: those are spreads that look like boxes, or bad prints. Notional is the cash lent: price × point value × contracts.

Averages are weighted by notional, so a large block moves them and a single contract does not. Prints with less than 21 days to run are listed but left out of averages and ranges. That close to expiry, one cent on the price moves the rate by several basis points: 12 bp at 3 days on a 1,000-point box.

The curve

Each trading day we take one box per listed expiry from end-of-day prices: the last quotes before the close or, where those are missing, the exchange's settlement prices. Boxes with wide quotes are skipped. The rate uses the same formula and the same settlement days as prints.

We leave out expiries less than 21 days away, prices more than 5 days older than the rest, and points that break sharply from their neighbours. Between two expiries the curve is a straight line.

Calculator and builder

The calculator discounts the width at the curve rate for that expiry, over the settlement days of a box traded at the next session. The builder uses the closing prices of your exact strikes and subtracts the commission you enter before it shows the rate. For a position you track, we work out the rate the same way from your fill price and fill date; a rate you type in stays as you typed it.

After tax, for Germany and Spain: the loss on a short box offsets investment income, so the after-tax rate is rate × (1 − tax rate), at 26.375% in Germany (25% plus the solidarity surcharge, no church tax) and 23% in Spain (the savings-income band from €50,000 to €200,000).

Comparisons: a securities-backed (Lombard) loan is set at 3-month Euribor + 3% in euros and the Fed funds rate + 1.5% in dollars.

See the prints →