You should enter the box as a 4 leg spread. It will not be executed as legs, but as one trade with f prints. If you are adding or taking liquidy, I have no idea but it is likely you will be adding.
tried to trade ES 2750 - 2800 box but found difficult to lend 1mn which requires trading close to 100 contracts x 4 legs = crazy commission
@entropytrading I think you will have much better luck in trading the SPX for boxes. Lending 1 million would require you to do only a 4 lot of a 2500 box, so 16 contracts, so maybe $20 in commissions. You can watch time/sales for a box to go by and get an idea of what is trading for. I see some of these trading every day. Then enter it into the spread book at a price slightly better than what you want to get filled and walk the order down slowly. You will have no exercise or pin risk here as it is cash settled.
ES options tend to be more liquid but should use EV from now. I don't think 4 lots EV will result in 1mn debit?
Not sure what you mean when you say EV, but a 4 lot in the SPX of a 2500 box is indeed 1 million. Sell the 2600 put and 100 call, buy the 100 put and 2600 call, that's 250,000 per box, x 4 is 1 million
You do not need OI to do this. you need a market maker that monitors the COB and has a little edge at a price you do to.