STRASMORE/EXPLORE 2,173 QUERIES

Annualised cost of a hypothetical 10 cent fill error on a ten point box

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 ranking 12×2read in context →
Annualised cost of a hypothetical 10 cent fill error on a ten point box — 12 rows by 2 columns, computed from US exchange, SIP and OPRA data.
expiry_labelannual_cost_pct
Jul 17, 2026 (46d)7.93
Aug 21, 2026 (81d)4.51
Sep 18, 2026 (109d)3.35
Oct 16, 2026 (137d)2.66
Nov 20, 2026 (172d)2.12
Dec 18, 2026 (200d)1.82
Jan 15, 2027 (228d)1.6
Mar 19, 2027 (291d)1.25
Sep 17, 2027 (473d)0.77
Dec 17, 2027 (564d)0.65
Jan 21, 2028 (599d)0.61
Jun 16, 2028 (746d)0.49
Rows × columns
12 × 2
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 Annualised cost of a hypothetical 10 cent fill error on a ten point box, derived from the stored result.
ColumnTypeRangeNotes
expiry_label text 12 distinct values
annual_cost_pct number 0.49 to 7.93 percent

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 
SELECT
    concat(formatDateTime(expiration_date, '%b %e, %Y'),
           ' (', toString(toUInt32(any(days_to_expiry))), 'd)') AS expiry_label,
    round(100 * (0.10 / 10) * (365 / any(days_to_expiry)), 2)   AS annual_cost_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
  AND date = '2026-06-01'
  AND iv_converged = 1
  AND volume > 0
  AND toDayOfWeek(expiration_date) = 5
  AND toDayOfMonth(expiration_date) BETWEEN 15 AND 21
  AND days_to_expiry BETWEEN 30 AND 800
GROUP BY expiration_date
ORDER BY any(days_to_expiry)
LIMIT 12

Run your own version of this

The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.

More from this analysisBox Spread Options and the Implied Loan Rate
Net delta of a SPY box as the upper strike widens (June 1, 2026) ranking 9×4 → Where SPY option volume sits, by strike distance from spot (June 2026) ranking 5×3 → A ten point box valued at every level SPY closed at in June 2026 table 8×5 → Call and put implied volatility at matched AAPL strikes, Sep 18 2026 expiry ranking 15×4 → Call and put implied volatility near the money across AAPL monthly expirations, June 16 2026 series 7×6 → SPY options median spread by expiration date, near-the-money strikes only ranking 25×4 → See all 2,173 queries →