Strategy #0000000048 · Futures term structure and relative value
Futures calendar-spread trading
Pair opposing near and deferred contracts to trade the calendar spread rather than outright direction.
A calendar spread pairs the same underlying across maturities. A bull spread is typically long nearby and short deferred; a bear spread reverses those legs. The thesis concerns near-versus-deferred relative strength. Pairing may reduce some outright exposure, but does not remove spread widening, delivery or contract-month liquidity risk.
Spread positions still face seasonality, delivery, curve, margin and leg-liquidity risks.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What is the paired-contract scenario P&L if the near-deferred spread moves as assumed?
Jack expects near-term supply tightness and considers long nearby/short deferred. Rose defines the spread as near minus deferred first to avoid a sign error.
The user enters entry and exit spreads, direction, contract multiplier, number of spreads and round-trip costs. The tool calculates only simplified P&L from the spread move.
Seasonality, storage, delivery constraints and basis shifts alter fair spreads; liquidity can differ between months. Lower margin does not mean low tail risk.
- Entry near − deferredCalculate bull/bear paired P&L from near-minus-deferred spread movement, multiplier and contract count, less costs.
- Assumed exit near − deferredNo historical spreads, continuous-contract adjustments, seasonality, delivery or margin data; direction is an assumption.
- Bull-spread P&L less costsIllustrative expiry outcome.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Spread_t=F_{near,t}-F_{deferred,t},\quad PnL=s\cdot(Spread_{exit}-Spread_{entry})M N-C
s=+1 means long nearby/short deferred; s=−1 reverses the pair. M is contract value per point and N the number of spreads.
Greeks: the directional intuition
- 價差符號
- Measures sensitivity to implied volatility.
- 期限結構
- Measures sensitivity to implied volatility.
- 執行與交割
- Measures sensitivity to implied volatility.
Spread_t=F_{near,t}-F_{deferred,t},\quad PnL=s\cdot(Spread_{exit}-Spread_{entry})M N-C
Practical context · published observations
Futures calendar-spread trading: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
沒有歷史價差、連續合約調整、季節性、交割或保證金資料；價差方向是假設情境。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related methods change the mechanism or risk.
Compare their signal, hedge and model assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Commodity seasonal spread | Tenor supply-demand | Trades seasonal curves in crops, energy or metals. | Weather and inventory shocks. |
| Inter-commodity spread | Related futures | Pairs contracts with an economic relationship. | Correlation and processing-basis drift. |
| Calendar-spread option | Spread option | Uses an option to limit calendar-spread tail losses. | Volatility surface and contract details. |
No historical spreads, continuous-contract adjustments, seasonality, delivery or margin data; direction is an assumption.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.
- 01CME Group, Futures Spread Overviewresearch
- 02Methodology and assumptionsprimary