Why Is the Bid-Ask Spread a Major Risk Factor for Box Spreads in Illiquid Crypto Markets?

A box spread requires four simultaneous transactions, two buys and two sells. In illiquid markets, the bid-ask spread (the difference between the highest price a buyer will pay and the lowest price a seller will accept) can be very wide.

Executing all four legs across wide spreads can result in a total cost that erodes or even eliminates the theoretical profit. This execution risk transforms the low-risk box spread into a potentially loss-making venture.