{"slug":"box-spreads-and-the-implied-loan-rate","qid":"slippage_cost","label":"Annualised cost of a hypothetical 10 cent fill error on a ten point box","post_title":"Box Spread Options and the Implied Loan Rate","post_url":"/blog/box-spreads-and-the-implied-loan-rate#q-slippage_cost","columns":["expiry_label","annual_cost_pct"],"rows":[{"expiry_label":"Jul 17, 2026 (46d)","annual_cost_pct":7.93},{"expiry_label":"Aug 21, 2026 (81d)","annual_cost_pct":4.51},{"expiry_label":"Sep 18, 2026 (109d)","annual_cost_pct":3.35},{"expiry_label":"Oct 16, 2026 (137d)","annual_cost_pct":2.66},{"expiry_label":"Nov 20, 2026 (172d)","annual_cost_pct":2.12},{"expiry_label":"Dec 18, 2026 (200d)","annual_cost_pct":1.82},{"expiry_label":"Jan 15, 2027 (228d)","annual_cost_pct":1.6},{"expiry_label":"Mar 19, 2027 (291d)","annual_cost_pct":1.25},{"expiry_label":"Sep 17, 2027 (473d)","annual_cost_pct":0.77},{"expiry_label":"Dec 17, 2027 (564d)","annual_cost_pct":0.65},{"expiry_label":"Jan 21, 2028 (599d)","annual_cost_pct":0.61},{"expiry_label":"Jun 16, 2028 (746d)","annual_cost_pct":0.49}],"shape":"ranking","sql":"SELECT\n    concat(formatDateTime(expiration_date, '%b %e, %Y'),\n           ' (', toString(toUInt32(any(days_to_expiry))), 'd)') AS expiry_label,\n    round(100 * (0.10 / 10) * (365 / any(days_to_expiry)), 2)   AS annual_cost_pct\nFROM global_markets.options_greeks\nWHERE underlying_symbol = 'SPY'\n  AND date = '2026-06-01'\n  AND iv_converged = 1\n  AND volume > 0\n  AND toDayOfWeek(expiration_date) = 5\n  AND toDayOfMonth(expiration_date) BETWEEN 15 AND 21\n  AND days_to_expiry BETWEEN 30 AND 800\nGROUP BY expiration_date\nORDER BY any(days_to_expiry)\nLIMIT 12","computed_at":"2026-08-06T15:52:50.689206+00:00","elapsed":0.002386283}