Why Does the Construction of a Box Spread Remove All Directional Exposure?

A box spread is a combination of a synthetic long asset position (lower strike) and a synthetic short asset position (higher strike). The long position gains when the asset price rises, and the short position gains when it falls.

By holding both simultaneously, the gains and losses from the underlying asset's directional movement perfectly offset each other. This neutralization of Delta exposure leaves only the fixed, interest-rate-dependent payoff.