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The problem with a box spread is that you've got to be careful of dividends. Most of the stocks on which a box spread appears to be profitable will typically have some dividend event before expiration. With an upcoming dividend, it's one of the few times it makes sense for the market maker to exercise his long call. All of the sudden you're short the stock and owe a dividend payment, so in order for the box spread to be profitable, the premium you get from entering into the position should also take into account any dividend payments. In addition, most of the stocks on which this appears to work will also be thinly traded. In thinly traded issues, the exchange, or your broker, can impose (I forget the exact name) short position limits requiring you to liquidate your otherwise profitable short position. In other words, you can get a margin call on your short, even though it's in the black.