[Non-US] S&P e-mini futures vs ETFs

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gougou
Posts: 425
Joined: Thu Sep 28, 2017 7:42 pm

Re: [Non-US] S&P e-mini futures vs ETFs

Post by gougou »

I recently learned that you could buy an SPX Box Spread with your cash balances to earn the implied financing rate on the market, which is usually around 0.3% higher than Treasury yields.

So the strategy is:
Buy and continue to roll the e-mini futures
Buy an SPX Box spread to effectively invest your cash to earn the implied financing rate on the market

And you'll earn the total return of S&P 500 without any worry of withholding taxes :sharebeer
Topic Author
glorat
Posts: 905
Joined: Thu Apr 18, 2019 2:17 am

Re: [Non-US] S&P e-mini futures vs ETFs

Post by glorat »

gougou wrote: Wed Jun 23, 2021 10:07 pm I recently learned that you could buy an SPX Box Spread with your cash balances to earn the implied financing rate on the market, which is usually around 0.3% higher than Treasury yields.
That's kinda interesting. Theory says you are getting higher yields because you are effectively lending to other market participants with lower credit rating than the US government, but heavily mitigated by the mechanisms of collateralisation and margin loans. I.e. you have a small chance of losing out if the market goes sideways, margin calls kick in and suddenly you don't get the payback on the Box Spread you were expecting. (I'm not sure how exactly that would manifest itself... I guess it would be Box Spread bid/ask spreads suddenly going very wide. Wider than 0.3%)
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