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.
| expiry_label | annual_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
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
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.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
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