The options strategy known as the box spread, which combines four options at two strike prices, has reached a record $146 billion in outstanding loans on S&P 500 options. The current yield on these trades exceeds 4.4% on three-month contracts, surpassing three-month Treasuries (under 4%) and the overnight SOFR rate (around 3.9%). Assets under management of ETFs tracking this strategy total approximately $20 billion, with the largest being Alpha Architect’s $15 billion 1-3 Month Box ETF (BOXX). The U.S. Treasury Department is currently investigating these trades as part of a probe into investment strategies aimed at circumventing American tax rules.
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