Calendar Spread

Definition

In finance, a calendar spread is a spread trade involving the simultaneous purchase of futures or options expiring on a particular date and the sale of the same instrument expiring on another date. The legs of the spread vary only in expiration date; they are based on the same underlying market and strike price.


Calendar Spread

What is a ‘Calendar Spread’

A calendar spread is an options or futures spread established by simultaneously entering a long and short position on the same underlying asset but with different delivery months. Sometimes referred to as an interdelivery, intramarket, time or horizontal spread.

Explaining ‘Calendar Spread’

An example of a calendar spread would be going long on a crude oil futures contract with delivery next month and going short on a crude oil futures contract whose delivery is in six months.

Further Reading

  • Modeling calendar spread options – www.emerald.com [PDF]
  • Calendar spread arbitrage strategy model for index futures based on co-integration rule [J] – en.cnki.com.cn [PDF]
  • Research on the calendar spread arbitrage of CSI 300 stock index futures based on Co integration theory [J] – en.cnki.com.cn [PDF]
  • Pricing and hedging calendar spread options on agricultural grain commodities – ageconsearch.umn.edu [PDF]
  • Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points – www.sciencedirect.com [PDF]
  • A note on sufficient conditions for no arbitrage – www.sciencedirect.com [PDF]
  • A Empirical Study about the CSI300 Index Futures Calendar Spread Arbitrage – en.cnki.com.cn [PDF]
  • The pricing of stock index futures spreads at contract expiration – onlinelibrary.wiley.com [PDF]
  • Empirical Study of Calendar Spread Arbitrage in Chinese Future Market – en.cnki.com.cn [PDF]