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A ten point box valued at every level SPY closed at in June 2026

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-06, from Box Spread Options and the Implied Loan Rate.

as of table 8×5read in context →
A ten point box valued at every level SPY closed at in June 2026 — 8 rows by 5 columns, computed from US exchange, SIP and OPRA data.
settle_levelbox_strikescall_leg_valueput_leg_valuebox_value
$725$740 / $75001010
$730$740 / $75001010
$735$740 / $75001010
$740$740 / $75001010
$745$740 / $7505510
$750$740 / $75010010
$755$740 / $75010010
$760$740 / $75010010
Rows × columns
8 × 5
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for A ten point box valued at every level SPY closed at in June 2026, derived from the stored result.
ColumnTypeRangeNotes
settle_level text 8 distinct values ($725, $730, $735…)
box_strikes text 1 distinct value ($740 / $750)
call_leg_value number 0 to 10
put_leg_value number 0 to 10
box_value number every row is 10

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.

the exact SQL behind every number 
WITH
    daily AS
    (
        SELECT
            toDate(toTimeZone(window_start, 'America/New_York'))   AS d,
            toFloat64(argMax(close, window_start))                 AS spy_close
        FROM global_markets.delayed_stocks_minute_aggs
        WHERE ticker = 'SPY'
          AND window_start >= '2026-06-01 00:00:00'
          AND window_start <  '2026-07-01 00:00:00'
          AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
               + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
          AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
               + toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
        GROUP BY d
    ),
    strikes AS
    (
        SELECT
            round(avg(spy_close) / 5) * 5 - 5 AS lower_strike,
            round(avg(spy_close) / 5) * 5 + 5 AS upper_strike
        FROM daily
    ),
    levels AS
    (
        SELECT DISTINCT round(spy_close / 5) * 5 AS settle
        FROM daily
    )
SELECT
    concat('$', toString(toUInt32(settle)))                                                AS settle_level,
    concat('$', toString(toUInt32(lower_strike)), ' / $', toString(toUInt32(upper_strike))) AS box_strikes,
    round(greatest(settle - lower_strike, 0) - greatest(settle - upper_strike, 0), 2)      AS call_leg_value,
    round(greatest(upper_strike - settle, 0) - greatest(lower_strike - settle, 0), 2)      AS put_leg_value,
    round(greatest(settle - lower_strike, 0) - greatest(settle - upper_strike, 0)
        + greatest(upper_strike - settle, 0) - greatest(lower_strike - settle, 0), 2)      AS box_value
FROM levels
CROSS JOIN strikes
ORDER BY settle

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