{"slug":"box-spreads-and-the-implied-loan-rate","qid":"box_delta","label":"Net delta of a SPY box as the upper strike widens (June 1, 2026)","post_title":"Box Spread Options and the Implied Loan Rate","post_url":"/blog/box-spreads-and-the-implied-loan-rate#q-box_delta","columns":["strike_width","call_leg_delta","put_leg_delta","box_net_delta"],"rows":[{"strike_width":5,"call_leg_delta":0.02,"put_leg_delta":-0.0195,"box_net_delta":0.0005},{"strike_width":10,"call_leg_delta":0.0405,"put_leg_delta":-0.0392,"box_net_delta":0.0013},{"strike_width":15,"call_leg_delta":0.0617,"put_leg_delta":-0.0596,"box_net_delta":0.0021},{"strike_width":20,"call_leg_delta":0.0829,"put_leg_delta":-0.0805,"box_net_delta":0.0024},{"strike_width":25,"call_leg_delta":0.105,"put_leg_delta":-0.1008,"box_net_delta":0.0042},{"strike_width":30,"call_leg_delta":0.1272,"put_leg_delta":-0.1231,"box_net_delta":0.0041},{"strike_width":35,"call_leg_delta":0.1513,"put_leg_delta":-0.1444,"box_net_delta":0.0069},{"strike_width":45,"call_leg_delta":0.1979,"put_leg_delta":-0.1856,"box_net_delta":0.0123},{"strike_width":50,"call_leg_delta":0.2208,"put_leg_delta":-0.1977,"box_net_delta":0.0231}],"shape":"ranking","sql":"WITH\n    chain AS\n    (\n        SELECT\n            toFloat64(strike_price)           AS strike,\n            avg(toFloat64(underlying_close))  AS spot,\n            round(avgIf(delta, delta > 0), 4) AS call_delta,\n            round(avgIf(delta, delta < 0), 4) AS put_delta\n        FROM global_markets.options_greeks\n        WHERE underlying_symbol = 'SPY'\n          AND date = '2026-06-01'\n          AND expiration_date = '2026-12-18'\n          AND iv_converged = 1\n          AND volume > 0\n        GROUP BY strike\n        HAVING countIf(delta > 0) > 0\n           AND countIf(delta < 0) > 0\n    ),\n    lower_leg AS\n    (\n        SELECT\n            strike     AS k1,\n            call_delta AS c1,\n            put_delta  AS p1\n        FROM chain\n        ORDER BY abs(strike - spot)\n        LIMIT 1\n    )\nSELECT\n    toUInt32(strike - k1)                      AS strike_width,\n    round(c1 - call_delta, 4)                  AS call_leg_delta,\n    round(put_delta - p1, 4)                   AS put_leg_delta,\n    round(c1 - call_delta + put_delta - p1, 4) AS box_net_delta\nFROM chain\nCROSS JOIN lower_leg\nWHERE strike > k1\n  AND strike <= k1 + 60\nORDER BY strike","computed_at":"2026-08-06T15:52:50.503773+00:00","elapsed":0.00344241}