$3.5 billion box spread in SPX! Notable print just after noon on May 4th

Discussion in 'Options' started by ajacobson, May 6, 2021.

  1. ajacobson

    ajacobson

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  2. ajacobson

    ajacobson

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    Henry Schwartz• 1stSr. Director, Head of Product Intelligence, Information Solutions Group at Cboe Global Markets1d •

    • 1 day ago
      $3.5 billion box spread in SPX! Notable print just after noon on May 4th was 35k June 1000/2000 box spreads, crossed between two firms for $999.41. This non-directional strategy is commonly used for balance sheet purposes, in today's case effectively permitting one firm to loan $3.5B to another similar to a zero coupon bond that will expire at $1000 in 45days, an implied rate near 0.4%. This trade is relatively large for the market-leading index options which typically see nearly $5B in total premium change hands. Cboe Global Markets