Box Spread (Arbitrage & Fixed Yield)
Combine a Bull Call Spread and a Bear Put Spread at identical strikes to lock in a 100% risk-free fixed cash interest yield.
Interactive Payoff Curve & Greeks Simulation
Visualize the theoretical profit & loss at expiry vs T+0 immediate day curves. Drag the simulation slider to stress-test your trade.
Option Payoff Curve & Greeks
Net Option Greeks (Sensitivity Profile)
Values per 1 Lot standard unitMulti-Leg Position Structure (4 Legs)
| Action | Instrument / Strike | Type | Expiry | Approx Delta | Est. Premium | Qty Ratio |
|---|---|---|---|---|---|---|
| BUY | 24,000 CE | CALL | Monthly Expiry | +0.75 | ₹580 | 1x |
| SELL | 25,000 CE | CALL | Monthly Expiry | +0.25 | ₹80 | 1x |
| BUY | 25,000 PE | PUT | Monthly Expiry | -0.75 | ₹580 | 1x |
| SELL | 24,000 PE | PUT | Monthly Expiry | -0.25 | ₹80 | 1x |
How the Structure Works
Zero Delta, Zero Gamma, Zero Vega. Operates as a synthetic treasury bill / fixed deposit alternative.
A Box Spread is a pure quantitative arbitrage strategy based on Box Parity. By buying a Bull Call Spread (24000/25000) and a Bear Put Spread (25000/24000) at the same strikes, the expiration value of the box is mathematically guaranteed to be exactly equal to the strike difference (1,000 points = ₹25,000). If you buy the box for ₹950 points (₹23,750), you earn a risk-free ₹1,250 profit (approx. 7.5% annualized risk-free return).
Institutional Strike Selection Rules
Phased Execution Blueprint
Follow this structured sequence to eliminate emotional hesitation during order entry, lifecycle management, and final exit.
Yield Calculation
Calculate annualized yield = (1000 - Net Debit) / Net Debit * (365 / DTE).
Interactive Margin & Position Size Calculator
Calculate exact lot sizing based on the 1-2% risk rule to preserve capital against Black Swan events.
Options Position Size & Max Risk Calculator
Total net liquid equity in your brokerage account
Recommended: 1.0% - 2.0% for disciplined longevity
Wing width max loss or defined mental/system SL
Rigorous Risk Rules & Adjustment Protocols
Non-negotiable parameters for stop-loss triggers, portfolio caps, and firefighting adjustments when market tests your strikes.
- None needed.
NEVER trade Box Spreads on American stock options due to early assignment risk.
NIFTY 24000/25000 1,000-Point Box Spread Trade Walkthrough
Locked in risk-free yield higher than bank FD.
Bought 24000/25000 Call Spread + Bought 25000/24000 Put Spread for ₹955 net debit
- 100% risk-free math in European options.
Common Mistakes to Avoid
Why it happens: American stock options can be assigned early, bankrupting the box.
Solution: ONLY trade Box Spreads on European cash-settled index options (NIFTY/BANKNIFTY).
Institutional Pro Tips
Box Spread (Arbitrage & Fixed Yield) FAQs
Is Box Spread really 100% risk-free in India?
Yes, on European-style cash-settled index options (NIFTY/BANKNIFTY) where early exercise does not exist, the payoff at expiration is mathematically fixed.
Alternative & Complementary Strategies
Buy stock, buy an ATM Put, and sell an ATM Call at the same strike to lock in risk-free mispricing arbitrage.
Short stock/futures, buy an ATM Call, and sell an ATM Put at the same strike to lock in risk-free reverse arbitrage.
Sell an OTM Call Spread and an OTM Put Spread simultaneously to collect double premium in a range-bound market with strictly defined risk.