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What is Box Spread?
Box Spread A combination of a bull call spread and a bear put spread at the same strikes, creating a synthetic loan. The value at expiration equals the strike width regardless of the underlying price. Box spreads are used for arbitrage and financing, as they should be priced at the present value of the strike width discounted at the risk-free rate.
Complete definition
A combination of a bull call spread and a bear put spread at the same strikes, creating a synthetic loan. The value at expiration equals the strike width regardless of the underlying price. Box spreads are used for arbitrage and financing, as they should be priced at the present value of the strike width discounted at the risk-free rate.
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