What Is a Box Spread?
A box spread = bull call spread (Long Call K1 + Short Call K2) + bear put spread
(Long Put K2 + Short Put K1). The payoff at expiration is always K2 − K1, making it a
synthetic zero-coupon bond. You buy the box at a discount to face value and earn the implied
interest rate.
LINEAR (USDC-settled): Payoff = K2 − K1 in USDC — truly risk-free in USD terms. Clean
synthetic lending.
INVERSE (BTC-settled): USD payoff is still K2 − K1, but the BTC amount = (K2 − K1) / S_T
varies with settlement price. BTC margin fluctuates with spot, creating non-linear risk.
Rate Comparison — Where the Edge Comes From
Box Implied Rate (Gross)
7.80%
Crypto Basis Premium
3.50%
Edge = Box Rate − Opp. Cost
-0.20%
The box-implied rate reflects the crypto forward basis + exchange credit premium.
Edge exists when this rate exceeds your cost of capital after transaction costs.
The crypto basis premium (3.5% above risk-free) compensates for
Deribit counterparty risk and crypto market structure.
Execution Mode Comparison — 45K/65K Apr17 inverse
| Execution Mode | Fill Prob. | Spread Cost | Total Cost |
Net P&L | Net Rate | ROC (Ann.) | Net Edge |
| Individual Legging |
8% |
$1,310 |
$1,695 |
$811 |
2.51% |
100% |
$762 |
| Deribit Combo Order |
35% |
$459 |
$844 |
$1,662 |
5.16% |
206% |
$1,614 |
| Paradigm Block (≥5 BTC) |
55% |
$197 |
$582 |
$1,924 |
5.98% |
238% |
$1,876 |
Legging: Cross 4 individual spreads sequentially (worst execution, highest cost).
Combo: Deribit combo order — single net price, ~35% of individual spread cost.
Block: Paradigm negotiated trade (≥5 BTC) — tightest spreads, ~15% of leg-by-leg cost.
For ≥25 BTC, Deribit native block RFQ also available (2-leg fees, not 4).
Top 25 Opportunities — Ranked by Net Edge (Best Execution)
| Strikes | Width | Exp | DTE | Type |
Box Mid | Impl. Rate | Gross P&L | Fees |
Spread | Net P&L | Margin | ROC |
Edge | Mode |
| 45K/65K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$385 |
$197 |
$1,924 |
$5,000 |
238% |
$1,876 |
block |
| 45K/65K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$385 |
$197 |
$1,924 |
$5,000 |
238% |
$1,860 |
block |
| 80K/100K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$347 |
$302 |
$1,857 |
$5,000 |
230% |
$1,808 |
block |
| 80K/100K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$347 |
$302 |
$1,857 |
$5,000 |
230% |
$1,792 |
block |
| 50K/70K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$405 |
$264 |
$1,837 |
$5,000 |
227% |
$1,789 |
block |
| 50K/70K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$405 |
$264 |
$1,837 |
$5,000 |
227% |
$1,772 |
block |
| 70K/90K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$405 |
$285 |
$1,816 |
$5,000 |
225% |
$1,767 |
block |
| 70K/90K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$405 |
$285 |
$1,816 |
$5,000 |
225% |
$1,751 |
block |
| 75K/95K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$405 |
$317 |
$1,784 |
$5,000 |
221% |
$1,735 |
block |
| 75K/95K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$405 |
$317 |
$1,784 |
$5,000 |
221% |
$1,719 |
block |
| 65K/85K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$405 |
$356 |
$1,745 |
$5,000 |
216% |
$1,696 |
block |
| 65K/85K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$405 |
$356 |
$1,745 |
$5,000 |
216% |
$1,680 |
block |
| 45K/65K |
$20K |
Apr10 |
52 |
INVERSE |
$197,790 |
7.80% |
$2,210 |
$356 |
$176 |
$1,678 |
$5,000 |
236% |
$1,635 |
block |
| 45K/65K |
$20K |
Apr10 |
52 |
LINEAR |
$197,790 |
7.80% |
$2,210 |
$356 |
$176 |
$1,678 |
$5,000 |
236% |
$1,621 |
block |
| 55K/75K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$405 |
$446 |
$1,655 |
$5,000 |
205% |
$1,607 |
block |
| 55K/75K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$405 |
$446 |
$1,655 |
$5,000 |
205% |
$1,591 |
block |
| 80K/100K |
$20K |
Apr10 |
52 |
INVERSE |
$197,790 |
7.80% |
$2,210 |
$328 |
$258 |
$1,624 |
$5,000 |
228% |
$1,582 |
block |
| 80K/100K |
$20K |
Apr10 |
52 |
LINEAR |
$197,790 |
7.80% |
$2,210 |
$328 |
$258 |
$1,624 |
$5,000 |
228% |
$1,567 |
block |
| 60K/80K |
$20K |
Apr17 |
59 |
INVERSE |
$197,494 |
7.80% |
$2,506 |
$405 |
$495 |
$1,606 |
$5,000 |
199% |
$1,557 |
block |
| 60K/80K |
$20K |
Apr17 |
59 |
LINEAR |
$197,494 |
7.80% |
$2,506 |
$405 |
$495 |
$1,606 |
$5,000 |
199% |
$1,541 |
block |
| 50K/70K |
$20K |
Apr10 |
52 |
INVERSE |
$197,790 |
7.80% |
$2,210 |
$405 |
$234 |
$1,571 |
$5,000 |
221% |
$1,528 |
block |
| 70K/90K |
$20K |
Apr10 |
52 |
INVERSE |
$197,790 |
7.80% |
$2,210 |
$405 |
$247 |
$1,558 |
$5,000 |
219% |
$1,515 |
block |
| 50K/70K |
$20K |
Apr10 |
52 |
LINEAR |
$197,790 |
7.80% |
$2,210 |
$405 |
$234 |
$1,571 |
$5,000 |
221% |
$1,514 |
block |
| 75K/95K |
$20K |
Apr10 |
52 |
INVERSE |
$197,790 |
7.80% |
$2,210 |
$379 |
$277 |
$1,554 |
$5,000 |
218% |
$1,512 |
block |
| 70K/90K |
$20K |
Apr10 |
52 |
LINEAR |
$197,790 |
7.80% |
$2,210 |
$405 |
$247 |
$1,558 |
$5,000 |
219% |
$1,501 |
block |
All figures per 10 BTC. Edge = Net P&L − margin opportunity cost.
Fees at 1.5 bps (Adam's 50% discount). Mode = best execution method for each trade.
Edge Heat Map — 10K Wide Linear Boxes (Paradigm Block)
| Strikes | Mar20 | Mar27 | Apr03 | Apr10 | Apr17 |
|---|
| 55/65K | $13 | $135 | $250 | $357 | $466 |
| 60/70K | $-57 | $75 | $198 | $310 | $424 |
| 65/75K | $-78 | $53 | $174 | $284 | $397 |
| 70/80K | $-49 | $67 | $174 | $271 | $371 |
Net edge ($) by strike pair × expiry for 10K-wide linear boxes via Paradigm block.
Green = profitable. Spot ≈ 68K — ATM-centered strikes have tightest spreads.
Edge Heat Map — 20K Wide Linear Boxes (Paradigm Block)
| Strikes | Mar20 | Mar27 | Apr03 | Apr10 | Apr17 |
|---|
| 45/65K | $835 | $1,114 | $1,375 | $1,621 | $1,860 |
| 50/70K | $769 | $998 | $1,256 | $1,514 | $1,772 |
| 55/75K | $607 | $862 | $1,111 | $1,349 | $1,591 |
| 60/80K | $581 | $831 | $1,073 | $1,305 | $1,541 |
| 65/85K | $680 | $941 | $1,193 | $1,436 | $1,680 |
| 70/90K | $785 | $1,015 | $1,250 | $1,501 | $1,751 |
| 75/95K | $784 | $1,043 | $1,281 | $1,497 | $1,719 |
| 80/100K | $827 | $1,085 | $1,335 | $1,567 | $1,792 |
20K-wide boxes have ~2× the gross P&L but similar absolute cost, making them
significantly more capital efficient. Best edge at longer tenors where the discount
from face value is largest.
Leg-by-Leg Breakdown — Top 3 Trades
45K/65K · Apr17 · INVERSE · 59 DTE
block
| Leg | Type | Strike | IV |
Price/BTC | ½ Spread | Fee | Delta |
| LONG |
CALL |
$45,000 |
49.0% |
$23,128.80 |
$11.68 |
$101.25 |
+0.9745 |
| SHORT |
CALL |
$65,000 |
44.5% |
$6,539.17 |
$53.82 |
$101.25 |
+0.6365 |
| LONG |
PUT |
$65,000 |
44.5% |
$3,224.78 |
$53.82 |
$101.25 |
-0.3510 |
| SHORT |
PUT |
$45,000 |
49.0% |
$64.99 |
$11.68 |
$81.24 |
-0.0130 |
Box Mid: $197,494
Payoff: $200,000
Gross: $2,506
Fees: $385
Spread (block): $197
Net P&L: $1,924
Δ: +0.0000
45K/65K · Apr17 · LINEAR · 59 DTE
block
| Leg | Type | Strike | IV |
Price/BTC | ½ Spread | Fee | Delta |
| LONG |
CALL |
$45,000 |
49.0% |
$23,128.80 |
$11.68 |
$101.25 |
+0.9745 |
| SHORT |
CALL |
$65,000 |
44.5% |
$6,539.17 |
$53.82 |
$101.25 |
+0.6365 |
| LONG |
PUT |
$65,000 |
44.5% |
$3,224.78 |
$53.82 |
$101.25 |
-0.3510 |
| SHORT |
PUT |
$45,000 |
49.0% |
$64.99 |
$11.68 |
$81.24 |
-0.0130 |
Box Mid: $197,494
Payoff: $200,000
Gross: $2,506
Fees: $385
Spread (block): $197
Net P&L: $1,924
Δ: +0.0000
80K/100K · Apr17 · INVERSE · 59 DTE
block
| Leg | Type | Strike | IV |
Price/BTC | ½ Spread | Fee | Delta |
| LONG |
CALL |
$80,000 |
42.1% |
$1,170.03 |
$91.35 |
$101.25 |
+0.1964 |
| SHORT |
CALL |
$100,000 |
39.4% |
$34.75 |
$9.27 |
$43.43 |
+0.0099 |
| LONG |
PUT |
$100,000 |
39.4% |
$31,281.84 |
$9.27 |
$101.25 |
-0.9775 |
| SHORT |
PUT |
$80,000 |
42.1% |
$12,667.70 |
$91.35 |
$101.25 |
-0.7911 |
Box Mid: $197,494
Payoff: $200,000
Gross: $2,506
Fees: $347
Spread (block): $302
Net P&L: $1,857
Δ: +0.0000
Linear (USDC) vs Inverse (BTC-Settled)
| LINEAR (USDC) |
|---|
| Payoff | K2 − K1 USDC (fixed) |
| Margin currency | USDC |
| BTC price risk | ZERO |
| Settlement risk | NONE |
| Liquidity | Lower (newer product) |
| Best use case | USD yield, rate arb, synthetic T-bill |
| Best edge (this scan) | $1,860 |
| INVERSE (BTC) |
|---|
| Payoff | (K2 − K1) / S_T BTC |
| Margin currency | BTC |
| BTC price risk | MARGIN VARIES |
| Settlement risk | INDEX DEPENDENT |
| Liquidity | Higher (legacy product) |
| Best use case | BTC-native yield, if already long BTC |
| Best edge (this scan) | $1,876 |
BTC Price Sensitivity — Inverse Box (45K/65K Apr17)
For inverse boxes, BTC payoff = (K2 − K1) / S_T. USD value is always fixed, but BTC
margin fluctuates. A sharp BTC decline reduces your margin value and could trigger a
margin call — even though the trade's USD economics haven't changed.
| BTC Shock | New Spot | BTC Payoff (10 BTC) |
USD Payoff | Margin Value | Status |
| -30% |
$47,250 |
4.2328 |
$200,000 |
$3,500 |
OK |
| -20% |
$54,000 |
3.7037 |
$200,000 |
$4,000 |
OK |
| -10% |
$60,750 |
3.2922 |
$200,000 |
$4,500 |
OK |
| -5% |
$64,125 |
3.1189 |
$200,000 |
$4,750 |
OK |
| +0% |
$67,500 |
2.9630 |
$200,000 |
$5,000 |
OK |
| +5% |
$70,875 |
2.8219 |
$200,000 |
$5,250 |
OK |
| +10% |
$74,250 |
2.6936 |
$200,000 |
$5,500 |
OK |
| +20% |
$81,000 |
2.4691 |
$200,000 |
$6,000 |
OK |
| +30% |
$87,750 |
2.2792 |
$200,000 |
$6,500 |
OK |
Forward Rate Sensitivity — Gross P&L by Crypto Basis
How does the crypto forward basis affect gross box P&L? Higher basis = larger discount
from face value = more profit. Current estimate: 350 bps over risk-free.
| Basis over RF | Forward Rate | Box % of Face |
Gross P&L / BTC | Gross P&L / 10 BTC |
| 0 bps |
4.30% |
99.307% |
$138.53 |
$1,385 |
| 25 bps |
4.55% |
99.267% |
$146.56 |
$1,466 |
| 50 bps |
4.80% |
99.227% |
$154.58 |
$1,546 |
| 75 bps |
5.05% |
99.187% |
$162.60 |
$1,626 |
| 100 bps |
5.30% |
99.147% |
$170.61 |
$1,706 |
| 125 bps |
5.55% |
99.107% |
$178.62 |
$1,786 |
| 150 bps |
5.80% |
99.067% |
$186.63 |
$1,866 |
Model Configuration & Assumptions
| Fee Structure |
|---|
| Deribit fee rate | 1.5 bps (Adam 50% discount) |
| Standard rate | 3 bps |
| Fee cap | 12.5% of option price |
| Legs per box | 4 |
| Block trade fee | 2 legs only (not 4) |
| Vol Surface & Spreads |
|---|
| ATM IV (DVOL) | 44% |
| Skew coefficient | -0.12 |
| ATM half-spread | 0.4 vol pts |
| Wing spread mult. | 2.5× |
| PM margin factor | 2.5% of notional |
Risk Assessment — This Is Not Risk-Free
- Exchange credit risk (PRIMARY): Deribit is unregulated in most jurisdictions.
If the exchange fails before settlement, you lose the premium paid AND the guaranteed
payoff. Size the trade to your Deribit counterparty risk tolerance.
- Margin risk (inverse): BTC margin drops in value if BTC falls. A 30%+ drop could
trigger margin calls despite the trade being "risk-free" in USD terms. Post additional
BTC or face forced liquidation.
- Liquidity / exit risk: 4-leg combos are hard to unwind before expiry.
Plan to hold to expiration. Emergency exits will be costly.
- Insurance fund socialisation: Deribit can socialise losses in extreme events.
This could impair the "guaranteed" payoff.
- Settlement manipulation: Deribit settlement = 30-min TWAP of index. Index
manipulation could affect inverse box BTC payoff amount.
- Regulatory risk: Changes in regulation could force early position closure or
restrict access to Deribit.
Recommendations
1. 20K-wide boxes dominate 10K: Fees and spreads are roughly fixed per contract.
Wider boxes have ~2× the gross profit with similar cost, yielding significantly better
capital efficiency.
2. Longer tenors (45-59 DTE) are optimal: The forward discount compounds with time.
Gross P&L per BTC at 59 DTE is ~2× that of 31 DTE, but costs only increase marginally.
3. Paradigm block is the only viable execution for size: Individual legging destroys
all edge. Combo orders are marginal. Paradigm block (≥5 BTC) with negotiated fills is
required for this to be a real trade.
4. Linear (USDC) is cleaner: Zero BTC price risk on margin or payoff. Inverse has
higher liquidity today but linear is catching up and eliminates the margin call risk on
BTC drops.
5. ATM-centered strikes (68K ± 10K): Tightest spreads because all 4 legs
sit in the liquid part of the book. 55K/75K and 60K/80K are the sweet spot for 20K boxes.
6. Validate with live order book: This model uses synthetic vol + spread estimates.
Before trading, pull actual Deribit order book data to verify leg prices and true fill costs.
The forward rate / basis is the key variable — check Deribit futures for the current implied rate.
7. Size to counterparty risk: The box is a synthetic deposit at Deribit. Don't allocate
more than you'd be comfortable losing entirely if the exchange fails.