Short Box
Description
Selling a bull call spread and a bear put spread on the same two strikes, collecting a fixed amount up front against a fixed obligation at expiry -- effectively borrowing money at an implied rate.
Setup
- Sell a call at the lower strike, buy a call at the higher strike.
- Sell a put at the higher strike, buy a put at the lower strike, same expiry.
Context
The mirror image of a long box, used to lock in a favorable implied borrowing rate when the box can be sold for more than the fixed amount owed at expiry.
Risk Profile
The obligation at expiry is fixed and equal to the width between the two strikes, regardless of the underlying's price. The only real risk is receiving less for the box than that fixed obligation, or counterparty/execution risk on the four legs.
Pros
- Obligation at expiry does not depend on the underlying's price.
- Useful for locking in a favorable implied borrowing rate when priced favorably.
- Fully defined outcome from the moment the trade is placed.
Cons
- Small edge relative to the capital and trading fees on four legs required.
- Any mispricing edge tends to be arbitraged away quickly in liquid markets.
Effect of Time
Time decay across the four legs largely cancels out, since the position is a fixed-payoff structure rather than a directional or volatility bet.
Effect of Volatility
A change in implied volatility has essentially no net effect, since the calls and puts move in offsetting ways.
Look-Alike Strategies
Live Structure
| Position? | Right? | Ratio | Strike | Expiry | IV? | Premium? | Fill Price? | Liquidity? | Est. Fee? |
|---|---|---|---|---|---|---|---|---|---|
| Short | Call | 1 | $74000.0000 | 20 Nov 2026 | 39.2% | $2511.9714 | $2474.4793 | 2.1000 | $22.4953 |
| Long | Call | 1 | $76000.0000 | 20 Nov 2026 | 38.2% | $1480.9383 | $1499.6844 | 34.8000 | $22.4953 |
| Short | Put | 1 | $76000.0000 | 20 Nov 2026 | 38.2% | $2474.4845 | $2436.9924 | 10.0000 | $22.4953 |
| Long | Put | 1 | $74000.0000 | 20 Nov 2026 | 39.2% | $1499.6844 | $1537.1765 | 23.7000 | $22.4953 |
Net cost, breakevens, the payoff chart and the scenario table are after costs: every leg filled by crossing the spread, estimated fees included -- the same numbers the Scanner ranks by.
Estimated Cost to Assemble
An estimate of what entering this structure right now would really cost: filling every leg by crossing the spread (the ask when buying, the bid when selling) instead of at the mid-price, plus an estimated exchange fee. Real fees and fills can differ from this estimate.
Compare venues
These exact contracts -- same strikes, expiries and ratios -- on every venue BOSS tracks for this currency, at execution: what selling (bid) or buying (ask) each leg there comes to, after that venue's own fee. Green marks the best venue for each leg and for the whole structure.
| Deribit this page | Bybit | OKX | |
|---|---|---|---|
| Index? | $74858.6400 | $74952.0677 | $74864.4000 |
| Mid-Price Cost | -$2005.8332 | -$1997.5000 | -$2006.1822 |
| Slippage? | +$131.2225 | +$22.5000 | +$93.7468 |
| Estimated Fees? | +$89.9811 | +$90.2227 | +$89.9970 |
| Total Estimated Cost | -$1784.6296 | -$1884.7773$100.1500 better than this page | -$1822.4384$37.8100 better than this page |
| Max Profit? | -$215.3704 | -$115.2227 | -$177.5616 |
| Max Loss? | -$215.3704 | -$115.2227 | -$177.5616 |
| Breakeven(s)? | — | — | — |
| Structure IV? | 38.7% | 38.0% | 38.5% |
| Open on this venue → | Open on this venue → |
Each leg: what it nets there per contract (fill price with the fee folded in), then the fill price, fee, IV and the size quoted at that price.
For comparing prices, not a recommendation: quotes move by the second, size is only what's shown at the top of the book, fees are each venue's published estimate, and the venues settle against different indexes and margin separately.
Market Context
This expiry as the Dashboard sees it: how the legs are priced against at-the-money and realized volatility, and where the expiry's forward sits against spot.
Volatility Smile?
Implied volatility across strikes at this expiry; the marked lines are this structure's strikes. Buying on the high part of the curve pays up for volatility; selling there collects it.
Leg bought Leg sold
Payoff & Greeks vs. Underlying Price
The Greeks curves are a Black-Scholes model using each leg's current implied volatility, holding time to expiry fixed -- not live exchange data at every price, which only exists at the current price (dashed line).
Payoff at Expiration
After costs At mid price
This structure's value and profit/loss at expiration, at a handful of specific prices: every leg's strike, every breakeven, the current spot, and the chart's own range.
| Underlying Price | Value at Expiration | Profit / Loss | Return on Cost |
|---|---|---|---|
| $72000.0000 | -$2000.0000 | -$215.3704 | -12.1% |
| $74000.0000 | -$2000.0000 | -$215.3704 | -12.1% |
| $74984.3800 current | -$2000.0000 | -$215.3704 | -12.1% |
| $76000.0000 | -$2000.0000 | -$215.3704 | -12.1% |
| $78000.0000 | -$2000.0000 | -$215.3704 | -12.1% |
Delta (model)?
Gamma (model)?
Vega (model)?
Theta (model)?
Rho (model)?
Alternatives
From the Scanner's latest pass (21:35:48 UTC), priced at execution like everything above.
Same payoff through other strategies
None found in the latest scan.
Other strikes and widths of this strategy
None found in the latest scan.