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The box or conversion spread is in a strategy class known as "locked trades." A locked trade is one in which the value of the position at expiration is independent of the value of the underlying instrument.

The spread is built by combining the sale and purchase of options in such a way that the holder of the position has both a synthetic long underlying position and a synthetic short underlying position.

Occasionally, the price of options available in the marketplace will be far enough away from their fair value to justify an entry into one of these positions. If you are able to purchase an option for less than its fair value or sell an option for more than its fair value, the box spread is a way of taking advantage of the price disparity while protecting yourself from a change in the underlying instrument's value.