calendar spread

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Calendar spread

Applies to derivative products. A strategy in which there is a simultaneous purchase and sale of options of the same class at the same strike prices, but with different expiration date.

Time Spread

An options strategy in which an investor takes the same position in two different option contracts that are identical in every way except the expiration date. For example, an investor utilizing a time spread strategy may buy or write two puts on the same underlying asset at the same strike price; the only difference is that one of the puts has a longer expiration. A time spread allows the investor to profit from the difference in price on the underlying asset between the two expiration dates. It is also called a horizontal spread and a calendar spread.

calendar spread

In options and futures trading, the purchase of one contract and the sale of another contract that differs from the first only by its delivery or expiration date. An example of calendar spread would be the purchase of a December call with a strike price of $20 and the sale of a June call with the same strike price. An investor would use a calendar spread in order to profit from a change in the price difference as the securities move closer to maturity. Also called horizontal spread, time spread.
References in periodicals archive ?
Whether you are trading across the curve, inter-exchange or rolling a calendar spread, every fill and tick matters.
A calendar spread is defined as the sale of one or more contracts and the purchase of one or more offsetting futures contracts in the same market but in different a month, for example Short September Corn and Long December Corn.
Hilton Hotels saw a notable option trade this morning in which someone rolled the May 30 calls into the July 30 calls 11,500 times for a for a net debit of 90 cents for the calendar spread.
Commodities functionality was extended to provide hedgers and other market participants with risk management quantitative tools for positions on Commodities Calendar Spread Options (CSO), Forward Starting American Options and Vanilla Bullet Strip Options.
In response to input from the trading community, OCX implemented an enhancement to OCXdelta1, the exchange's matching & trading platform, by integrating competitive block calendar spread markets and regular competitive calendar spread markets to create a single pool of liquidity for new and existing customers to utilize.
There are 12 dealers currently providing liquidity to the platform across all listed and "flex" futures on all eligible European exchanges, and clients can trade using outright or calendar spread strategies.
And yet today's trader has to know precisely how to compare the cost of an ETF to the cost of the underlying basket, all the while needing to understand financing and volatility charges included in the price of a swap transaction and the richness/cheapness of roll risk in the calendar spread on the stock index future.
Additionally, MGEX now offers calendar spread options (CSOs) for the North American HRSW contract, as of February 1, 2015.
The Roll Tracker, available via the company website, calculates the projected shift of open interest for the current roll cycle based on intraday observations of traded volume for each calendar spread contract.
st] Line (Platts) Balmo Mini FutureU Argus WCS (Cushing) Crude Oil Futurea Argus Bakken (Clearbook) Crude Oil Futurea Daily Brent 1-Month Calendar Spread Option Daily WTI 1-Month Calendar Spread Option
This represents the greatest volume of day-one trading for any of CME Group's agricultural commodities products, and surpasses the previous record of 1,840 contracts set by Soybean Calendar Spread Options (CSO) on June 1, 2009.
Products included in the expanded hours are CBOT Corn, Mini-Sized Corn, Soybeans, Mini-Sized Soybeans, Wheat, Mini-Sized Wheat, Soybean Meal, Soybean Oil, Rough Rice, Oats, and Ethanol futures and options plus all related calendar spread options and inter-commodity spread options.