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 13 Aug 2026

Monitored notional

$29,576 avg 5.28% yield

Monitored notional

€293,011 avg 2.66% yield

Amount EUR

€

Tenor 12m

1m2m3m4m5m6m9m12m16m19m22m25m31m34m

Strike width pts

Wider = fewer contracts. Auto fits your amount.

From the end-of-day EUR curve.

Implied rate · 12m EUR

2.78%

Cash today Target €100,000 · 0.19%: €100,187
Implied cost (12m): €2,813
Settlement at expiry: €103,000

In plain terms You receive €100,187 today and repay €103,000 on 20 Aug 2027 — a total cost of €2,813.

4-leg structure ESTX50 · EUREX

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

Strikes, contract count, and IBKR/CapTrader-ready combo limit unlock with a free account.

Use cases

A · Property

Box vs. realize vs. all cash

10-year wealth comparison for the down-payment.

Open →

B · Portfolio leverage

Box-leveraged vs. unleveraged

Leverage pays the moment portfolio return beats the box rate.

Open →

C · Decumulation

Living off the portfolio — sell or box?

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

Open →

D · Bridge

Closing the flat-to-flat gap

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

Open →

Real box prints

All prints → Liquidity tracker →

Executed (UTC)	Index	Expiry	Strikes	Contracts	Notional	Implied rate
13 Aug 20:52:17	SPX	21 Aug 2026	7000/8000	300	$29,971,500	4.43%
13 Aug 20:02:30	SPX	21 Aug 2026	7000/8000	200	$19,980,600	4.53%
13 Aug 19:26:38	SPX	21 Aug 2026	7000/8000	200	$19,980,000	4.67%
13 Aug 17:27:21	SPX	18 Sep 2026	7000/8000	200	$19,916,000	4.36%
13 Aug 17:27:21	SPX	18 Sep 2026	7000/8000	300	$29,874,000	4.36%
13 Aug 17:10:19	ESTX50	18 Dec 2026	6000/7000	20	€198,060	2.84%
13 Aug 16:45:35	SPX	18 Sep 2026	7000/8000	200	$19,915,400	4.39%
13 Aug 16:09:47	ESTX50	17 Sep 2027	6300/6800	25	€121,300	2.78%
13 Aug 16:09:39	ESTX50	18 Dec 2026	6000/7000	10	€99,050	2.78%
13 Aug 16:09:28	ESTX50	18 Sep 2026	1000/6000	4000	€199,500,000	2.57%
This month — volume · avg yield					€1,117,027,768 $3,163,151,004	2.59% 4.61%

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

$19 / €16 per month

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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