STRASMORE/EXPLORE 2,173 QUERIES 22Y EQUITIES · 12Y OPTIONS

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Box Spread Options and the Implied Loan Rate
Annualised cost of a hypothetical 10 cent fill error on a ten point boxranking · 2026-08-06 · 12×2Preview: 12 ranked values, largest first. Where SPY option volume sits, by strike distance from spot (June 2026)ranking · 2026-08-06 · 5×3Preview: 5 ranked values, largest first. A ten point box valued at every level SPY closed at in June 2026table · 2026-08-06 · 8×5 Net delta of a SPY box as the upper strike widens (June 1, 2026)ranking · 2026-08-06 · 9×4Preview: 9 ranked values, smallest first.
Annualised cost of a hypothetical 10 cent fill error on a ten point box

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

most recentas 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
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
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 → See all 2,173 queries →
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