LESSWRONG
LW

All of nickkral's Comments + Replies

The Box Spread Trick: Get rich slightly faster
nickkral10

After having an order entered for about 3 days, I got an execution today (Jan 22 2021) on a SPX 1000/2000 15DEC23 box for 0.65%, which is 0.46% above the 3 year treasury yield. This was using IB's smart routing (manual routing not available). 

Reply
The Box Spread Trick: Get rich slightly faster
nickkral10

What box spread upper and lower bounds have you been using? Are you using IB's smart routing or manual routing?

Reply
2ESRogs
I used SPX Dec '22, 2700/3000 (S&P was closer to those prices when I entered the position). And smart routing I think. Whatever the default is. I didn't manually choose an exchange.
The Box Spread Trick: Get rich slightly faster
nickkral40

This is a really valuable article! Thank you for writing it. 

For me, trying to execute on this strategy has hit and miss. Using Interactive Brokers, I was able to execute a Dec14'23 3500/4000 box spread on Jan 12th 2021 (1066 days before expiration) for a cost of $488.50, generating an effective interest rate of 0.81%. This isn't a horrible interest rate, but the 3 year treasury yield on Jan 12th was 0.23%. Adding 0.3% to the treasury yield, I would have expected this transaction to go through at 0.53%, not 0.81%. Since then, I've tried different type... (read more)

Reply
1Thomas Kwa
A few weeks ago I was filled at about 0.51% above treasury yield, which is definitely worse than the 0.29-0.35% I previously got. Both were using IBKR smart routing and there weren't any obvious differences, so I'm guessing box spread rates are driven by supply and demand, and there's just relatively more supply now than in mid-2020.
2ESRogs
I've been able to get closer to 0.6% on IB. I've done that by entering the order at a favorable price and then manually adjusting it by a small amount once a day until it gets filled. There's probably a better way to do it, but that's what's worked for me.