MCP For Claude Marketplace
Futures Options Box Spread Strategy

Futures Options Box Spread Strategy MCP Connector for Claude

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Detect deterministic arbitrage opportunities in futures options box spreads.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides a deterministic engine to identify mispriced box spreads in futures options. By comparing the market cost of a four-legged position against its theoretical present value, it identifies arbitrage opportunities. Use analyze_box_spread to calculate profitability and signal direction, calculate_margin_and_risk to estimate capital requirements, and get_market_liquidity_status to ensure sufficient market depth for execution.

arbitrageoptionsfuturesbox-spreadquantitative-finance

3 tools expose this connector's capabilities to your AI agent.

calculate_margin_and_risk

Estimates the capital required to hold the position and the inherent danger of the execution

get_market_liquidity_status

Validates if the specific options contracts are liquid enough to support arbitrage

analyze_box_spread

Calculates the cost, theoretical value, and profitability of a specific box spread configuration

See how to talk to your AI agent using Futures Options Box Spread Strategy.

Analyze a box spread with K1=100, K2=110, call K1 premium=5, call K2 premium=2, put K1 premium=3, put K2 premium=6, futures price=105, risk-free rate=0.05, days to expiry=30, and all legs having OI of 1000 and spread of 0.5%.

The box spread cost is 0.00 and the theoretical value is 9.92. Since the cost is less than 99% of the theoretical value, the signal is BUY.

Check the liquidity for four option contracts with the following data: [{'oi': 600, 'spread': 0.01}, {'oi': 800, 'spread': 0.01}, {'oi': 550, 'spread': 0.01}, {'oi': 1200, 'spread': 0.01}].

The market is liquid. All contracts meet the minimum Open Interest threshold of 500.

Calculate the margin and execution risk for a box spread with a cost of 10.0 and a strike difference of 10.0, where the liquidity score is 1000.

The estimated margin requirement is 1.0 and the execution risk is Low.

A box spread is a neutral strategy using two calls and two puts at different strikes. Arbitrage occurs when the cost to enter this position is significantly different from the discounted value of the guaranteed payoff at expiration.

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