Setup. Standard short box: sell low call + buy low put (synthetic short), buy high call + sell high put (synthetic long). Same expiry on all four legs. Credit received today = effective loan. At expiry the box settles at exactly the strike width — that's what you repay.
APR. Implied rate uses simple interest (APR) since this tool is for short-box financing analysis.
Curve comparison. The arrow points to the treasury tenor closest to your DTE. Bps column shows how far your implied rate is from each point. Red = paying above the curve, green = below.
Fair credit. The credit per contract that exactly matches the closest treasury yield: repayment ÷ (1 + r × DTE/365).
Rates. Treasury CMT yields are auto-fetched from the Fed H.15 release twice daily (10 AM and 3:30 PM ET via a GitHub Action). The tool always uses the latest available snapshot.
Practical notes. SPX cash-settled European boxes are cleanest (no early assignment, 60/40 tax treatment). American-style on SPY or single names carries pin and assignment risk on shorts. Retail commissions and bid/ask haircut typically add 5–30 bps in practice.