Can Complex Options Strategies like Box Spreads Genuinely Offer Risk-Free Arbitrage?

Theoretically, a box spread is designed to be a risk-free arbitrage strategy that captures a profit equal to the risk-free interest rate. It combines a bull call spread and a bear put spread with the same strike prices and expiration.

However, in practice, they are not truly risk-free. The potential profit is often so small that it can be completely wiped out by transaction costs and commissions.

Additionally, there is a risk of early exercise with American-style options, which can disrupt the structure and lead to unexpected losses.