Tax treatment on Box Spreads
One of the key benefits of box spreads is the tax treatment you can get since it can be treated as a capital loss and not regular loan interest which can be used to offset your gains elsewhere.
Say you do a box spread for $100k for a 1 year term and receive $95.5k today, by the end of the year, you end up with a profit of $15k on your other positions, which means you can use that $4.5k to offset your gains resulting only a 1$10.5k gain on paper.
It's so good, the tax body of the US, the IRS, is complaining about box spread 2investments and whether they should be treated as interest.
1This is subject to the capital gains and loss tax treatment within your jurisdiction. US residents get the benefit of realizing that loss without closing the box spread as long as a Section 1256 contract such as SPX is used
2There's an ETF called BOXX that the IRS is targeting specifically whether it should be treated as interest instead of investment