My understanding is that each leg of the box spread is marked-to-market, resulting in a small overall capital loss equal to the interest you’re paying to the holder of the long box. For example, the market is up this year, so the bullish legs gained value and the bearish legs lost slightly more value. This is how the Interactive Brokers tax forms work; on the section-1256 section of the 1099 form, the line “Unrealized profit or (loss) on open contracts − 12/31/2020” has a loss of about $2000. If interest rates rise so much during a year that the interest is negative, I would expect there to be a small 60⁄40 capital gain. I could be missing something though.
My understanding is that each leg of the box spread is marked-to-market, resulting in a small overall capital loss equal to the interest you’re paying to the holder of the long box. For example, the market is up this year, so the bullish legs gained value and the bearish legs lost slightly more value. This is how the Interactive Brokers tax forms work; on the section-1256 section of the 1099 form, the line “Unrealized profit or (loss) on open contracts − 12/31/2020” has a loss of about $2000. If interest rates rise so much during a year that the interest is negative, I would expect there to be a small 60⁄40 capital gain. I could be missing something though.