Cboe reports record $146B in S&P 500 box spread trades as investors flee Treasuries

The S&P 500 options market has quietly become one of the hottest corners of fixed income. Cboe Global Markets reported that outstanding notional value in SPX box spread trades hit $146 billion as of mid-September 2026, an all-time record that underscores just how aggressively investors are looking for alternatives to a deteriorating Treasury market.

Average daily notional trading volume in SPX box spreads topped $2.3 billion over the prior month, a 26% jump compared to the same period a year earlier. Even retail traders are getting in on the action, averaging $54 million in daily volume in the segment.

A zero-coupon bond hiding inside an options trade

For anyone unfamiliar, a box spread is a four-legged options trade: two calls and two puts at different strike prices, all on the same underlying index. When constructed properly, the trade’s outcome is completely predetermined regardless of where the market goes. Think of it as lending money with a guaranteed payoff at expiration, almost identical in function to a zero-coupon bond.

The implied interest rate baked into that guaranteed payoff is where things get interesting. Three-month SPX box spreads are currently yielding north of 4.4%. That compares favorably to three-month Treasuries offering less than 4%, and the Secured Overnight Financing Rate sitting around 3.9%.

So investors can earn roughly 50 basis points more than Treasuries by using an options structure instead of buying government debt. And because the gains on SPX box spreads may qualify for capital-gains tax treatment rather than ordinary income, the after-tax math looks even better for certain investors.

Henry Schwartz, Cboe’s VP of Derivatives Market Intelligence, pointed to growing adoption across a surprisingly broad investor base. ETF sponsors, wealth advisors, and larger retail accounts are all gravitating toward the strategy for its competitive rates and potential tax advantages.

The ETF boom powering the trade

One of the biggest accelerants behind the box spread surge has been the rise of ETFs built around the strategy. Total assets under management for box-spread ETFs have climbed to roughly $20 billion. Alpha Architect’s BOXX fund dominates the category with approximately $15 billion in AUM, making it three-quarters of the entire market by itself.

Cboe has also been building infrastructure to support the trend. Its Quoted Spread Book, or QSB, provides electronic quoting and trading for designated box spreads, reducing friction and improving price transparency.