Combinations

None: a financing trade

Debit

Risk: Almost none in price; costs and execution matter

Box spread

Also called: Long box

A bull call spread plus a bear put spread on the same strikes: worth exactly the strike gap at expiry, so its price is a pure interest rate.

Payoff sketch (per unit, index points)

At expiry

Today (7 days left)

Net premium

Debit 400 pts

Max profit

+0 pts (₹32 per lot)

Max loss

None

Breakeven

None in range

Legs: Buy CE ATM −200 · Sell CE ATM +200 · Buy PE ATM +200 · Sell PE ATM −200. Illustration, not live prices: an index at 25,000, strikes 100 points apart, Black-Scholes premiums at 13% implied volatility, 7 days to expiry, 6.5% interest, no skew and before charges. Rupees per lot use a NIFTY lot of 65.

How it works

Whatever the settlement, one spread pays the full gap and the other expires worthless, so the box is worth the strike gap at expiry. Bought for less than that, the difference is an interest-like return.

In practice the edge is small, four legs pay four sets of charges, and an in-the-money long leg at expiry pays exercise STT, so retail boxes rarely beat the costs.

When traders use it

Arbitrage or financing by professionals when option prices imply a rate out of line with money-market rates.

Greeks

Delta	Zero.
Gamma	Zero.
Theta	Tiny: accrues the implied interest.
Vega	Zero.

Profit, loss and margin

Max profit	(Strike gap − debit) × quantity, before charges.
Max loss	Charges and execution slippage; the price risk is nil only if all four legs are filled.
Breakeven	Not a price level: it is a return compared with costs.
Margin	Small: SPAN sees offsetting risk.

In India

A long option that finishes in the money is exercised automatically. STT is then charged on its intrinsic value at the exercise rate (0.15% from 1 April 2026 in Arthfy's cost model), instead of the sale rate on the premium (also 0.15%) that applies when the option is sold before the close. See the lesson on the STT exercise trap.
STT is charged on the premium when an option is sold (0.15% of premium from 1 April 2026 in Arthfy's cost model). A short option left to expire, in or out of the money, is not charged STT again at settlement.
Index options are European-style and cash-settled against the official closing value on expiry day; there is no early exercise.

Arthfy numbers

A box has no market exposure, so there is no history of outcomes to show.

Try it in the F&O hub

Opens the tool with this structure on today's NIFTY chain. Reading is free with an Arthfy account; some runs use free attempts.

Open in the builderPayoff, Greeks, scenario grid and charges on today's NIFTY chain

Replay on expiry daysMinute data since October 2024

Open the option chainLive premiums, IV and Greeks

Synthetics & risk reversals

Synthetic long futures