THe box bid/offer is like 20 cents wide. How is that too high? Commissions are like $1 each leg, so you spend like $4.2 to get $100,000 of borrowing per lot. how is that a lot of money? Bil is yielding 2%. Fed funds is over 3% and SOFR is 3.04 The 11/29/22 tbill is 3.23 at 3.17 ytm
An exchange recognized spread should be a very cheap way to put on the position: https://www.cmegroup.com/confluence...eads+and+Combinations+Available+on+CME+Globex
I wonder how big the difference is between executing via RFQ and via exchange recognized spread. Does anybody have experience with that? Here is another explanation regarding the advantages of exchange recognized spreads: https://www.cmegroup.com/education/files/ofm-spread-overview.pdf Big firms definitely prefer RFQ while putting up the box with strikes far apart of each other. This saves on commissions. The bid ask spreads will be wider but the RFQ makes sure that there is a competitive quote for this specific box spread which is demanded. If you choose a smaller distance between the strikes then more boxes will be traded. Maybe enough to be considered a block trade - that's when your broker might come in handy and help to get a better execution. Block trade vs exchange recognized spread would probably be the choices for best execution in the retail world.