SPX Box Spread Whitepaper

SPX Box Spreads Trading and Market Microstructure

Examine the mechanics, applications, and market microstructure of European-style Box Spreads on the S&P 500 Index (SPX).

This white paper examines the mechanics, applications, and market microstructure of European-style Box Spreads on the S&P 500 Index (SPX). SPX Box Spreads represent a significant market with $929 million in average daily notional volume in 2024, offering participants an efficient alternative to traditional fixed-income instruments. The SPX Box Spread market leverages the world’s most liquid options market, with standardized structures predominantly utilizing 1,000-point strike distances creating a highly liquid standardized $100,000 notional order size. Trading is facilitated through both Open Outcry and electronic channels. Box Spreads offer competitive rates, typically 10-55 basis points above three-month U.S. Treasury yields. For borrowers, they provide rates up to 600 basis points below standard broker’s margin loan rates. The market structure delivers key benefits including price transparency, settlement certainty, elimination of counterparty risk through centralized clearing, standardized exchange-traded contracts, and predictable exercise outcomes, all supported by the established SPX options ecosystem.

Download our whitepaper on SPX Box Spreads to learn more.

Download SPX Box Spreads Trading and Market Microstructure

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There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: https://www.cboe.com/us_disclaimers/. These products and digital assets are complex and are suitable only for sophisticated market participants. These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position. Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle.