I know this is an arbitrage strategy, but I have heard of some events that can lead it to be unprofitable, even after being profitably constructed, Can anyone tell me what these events are? Also, putting in limits to buy the bid and sell the ask, how often, on options chains with good volume, will I get my position filled all or none? I know this isn't a strategy for individual investors, but with so many institutions out there why aren't these boxes spreads bid/sold back to 0? I'm find alot out there. For those of you reading this and are wondering what a box spread is, let me tell you. You have 2 strike prices, same expiration and you can either buy or sell the box. To buy the box you create a bull call spread and a put bear spread on the same strikes. To sell the box you create a bull put spread and a bear call spread. Doing this you can lock in a "riskless" profit.