Calculators and tools/Derivatives and Quant

Box rate: the interest rate a box spread implies, against the T-bill, after the charges.

A box of four European options pays a fixed amount at expiry, so its price is a discounted bond price in disguise. Pick a dated chain and two strikes to read the rate the settlement prices imply, set it against the T-bill, then count the charges of the four legs.

32 dated chains
Implied rate and cost stack
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ExampleLower strikeUpper strikeBoxLots65 units a lotInterest rate, % a yearT-bill, continuousBrokerage, Rs a legOptional, your own; GST is added on it

Box value497.35a unit, against a span of 500
Implied rate9.70%a year, continuous, before charges
After charges2.25%what the box earns on the money paid
T-bill5.11%same period, same convention

Nifty 23,000/23,500 box, 20 days to the 30 Jun 2026 expiry. A box is a bought call and a sold call at one strike pair, with a bought put and a sold put at the same pair: it pays the span of 500 points at expiry whatever the index does. At the settlement prices it costs 497.35 points, so the rate it implies is 9.70%. The T-bill rate would value the same payoff at 498.60, a gap of −1.25 points. One point of box value is worth 3.6 percentage points of annual rate here, and the 8 liquid boxes of this width centred within 2.5% of the forward range from 491.70 to 502.15 points, a spread of 10.45: the noise in the prices is as large as the gap you are looking for.

The cost stack, 1 lot, bought

Charge	Rs	Points a unit
STT on options sold (0.150% of premium)	41.66	0.64
STT on exercise (0.150% of the intrinsic value)	48.75	0.75
NSE transaction charge, four legs	31.22	0.48
SEBI turnover fee, on the premium and on the exercised legs	3.11	0.05
Stamp duty on the bought legs	1.80	0.03
Brokerage, four legs	0.00	0.00
GST on exchange charge and brokerage	5.62	0.09
Total	132.16	2.03

Holding a bought box to expiry exercises the in the money legs, and STT is charged again on their intrinsic value. This table assumes the index ends between the two strikes (here at 23,215, the closest point to the example's index close), where the two bought legs together are worth the span. Charges use the NSE rates in force on 10 Jun 2026. Margin on the sold legs, the spread between bid and ask and the chance that the strikes do not trade are not counted. A European option cannot be exercised early, which is what makes the box a fixed payoff.

Liquid boxes of the same width imply anything from −8% to 31% on one day, against a T-bill of 5.1%

Every box of 500 points centred within 2.5% of the forward whose four legs each traded at least 1,000 contracts, priced at settlement. What scatter is left comes from settlement prices being set from the last half hour of trading and rounded to a tick, not from a market opportunity. Source: NSE end of day settlement prices, box rates computed by RupeeCase. As of 10 Jun 2026.

Strike	Call settle	Put settle	Parity gap, points
23,000	467.85	221.05	+7.37
23,500	206.25	456.80	+8.62

The parity gap is call less put less the discounted forward minus strike, in points. A box is the difference of two parity gaps, so any settlement price that is off its fair value by a tick or two passes straight through to the rate. The forward is the future of the same expiry (23,240.10). This page cannot trade, and a box on a settlement price is not a price anyone offered.

Prices are NSE end of day settlement prices of the example date; charges use the NSE rates of that date. Not live, not a recommendation, and this page cannot trade.

How to read it

The four legs

A bought box is a bought call and a sold put at one strike, with the opposite at the other: a synthetic long at the lower strike and a synthetic short at the higher. It pays the distance between the strikes at expiry whatever the index does, so its price is that amount discounted at some rate.

The implied rate

Take the natural log of the span over the box price and divide by the time in years. That is the continuous rate the box lends or borrows at. Compare it with the T-bill of the same period: the T-bill value of the span is shown beside the box value, in points.

The charge stack

STT falls on the options sold. A bought box held to expiry is exercised on two legs and STT is charged again on their intrinsic value, which is a large share of the interest a box earns. The exchange charge, SEBI fee, stamp duty on the bought legs, GST and your own brokerage complete the stack.

Noise against signal

The chart shows every box of the width you picked. They are priced from settlement prices that NSE rounds to a tick and sets by model for strikes that did not trade, so their rates scatter more than a real rate would. The box spreads module and the parity deviations module go through this in detail.

What it leaves out

Settlement prices are not quotes anyone offered. Margin on the sold legs, the bid ask spread of four options, the chance of not getting all four filled together and the cost of rolling are not counted. The exercise STT assumes the index ends between the strikes; outside them it is larger. A box held to expiry earns interest that is taxed like other business income, which this page does not work out. A box is a fixed payoff only for European options, which the Nifty options are.

Go to the source

Why can a box be read as a loan?

Because it pays a fixed amount at expiry in every case. Paying less than that amount today is lending, and the shortfall over time is the interest.

Why do boxes on the same chain give different rates?

Settlement prices are rounded and, for strikes that did not trade, set by an NSE model. A tick or two on four legs is a large part of the interest on a short dated box.

Does the box beat the T-bill?

The tool shows the arithmetic on settlement prices and the charges. After the charges the rate is often near or below the T-bill, and what could actually be traded depends on quotes the page does not have.

LLearn it in depth

Module 18.5Box spreads with European index optionsAdvanced, Path 18 Module 18.6Parity deviations in practice: what the frictions costAdvanced, Path 18 Module 14.10Put call parity and synthetic positionsIntermediate, Path 14 ToolPayoff builderLegs from a dated chain Pillar guideDerivatives and QuantPaths 12 to 19

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Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.