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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.

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]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

Calendar spread arbitrage strategy model for index futures based on co-integration rule <span style=[J]' src='/thumbnails/?img=http%3A%2F%2Fen.cnki.com.cn%2FArticle_en%2FCJFDTotal-GCXT200812006.htm' />Calendar spread arbitrage strategy model for index futures based on co-integration rule [J]
en.cnki.com.cn [[J]' href='https:/api.miniature.io/pdf?url=en.cnki.com.cn%2FArticle_en%2FCJFDTotal-GCXT200812006.htm'>PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

Research on the calendar spread arbitrage of CSI 300 stock index futures based on Co integration theory <span style=[J]' src='/thumbnails/?img=http%3A%2F%2Fen.cnki.com.cn%2FArticle_en%2FCJFDTotal-ZGJL201102022.htm' />Research on the calendar spread arbitrage of CSI 300 stock index futures based on Co integration theory [J]
en.cnki.com.cn [[J]' href='https:/api.miniature.io/pdf?url=en.cnki.com.cn%2FArticle_en%2FCJFDTotal-ZGJL201102022.htm'>PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

Pricing and hedging calendar spread options on agricultural grain commoditiesPricing and hedging calendar spread options on agricultural grain commodities
ageconsearch.umn.edu [PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning pointsTrading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points
www.sciencedirect.com [PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

A note on sufficient conditions for no arbitrageA note on sufficient conditions for no arbitrage
www.sciencedirect.com [PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

A Empirical Study about the CSI300 Index Futures Calendar Spread ArbitrageA Empirical Study about the CSI300 Index Futures Calendar Spread Arbitrage
en.cnki.com.cn [PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

The pricing of stock index futures spreads at contract expirationThe pricing of stock index futures spreads at contract expiration
onlinelibrary.wiley.com [PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …

Empirical Study of Calendar Spread Arbitrage in Chinese Future MarketEmpirical Study of Calendar Spread Arbitrage in Chinese Future Market
en.cnki.com.cn [PDF]
… Bart Niyibizi (Department of Agricultural Economics, Oklahoma State University, Stillwater, Oklahoma, USA) … paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price …


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