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 ?
But the decision to replace the secretary of state barely registered on the spot price of Brent crude and the six-month calendar spread continued to soften, suggesting that traders see little impact for the moment.
The calendar spread between June and December has shifted from a backwardation of 21 cents on Feb.
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.
The new range of precious metals products called LMEprecious will be launched in H1- 2017 and will include spot, daily and monthly futures, options and calendar spread contracts for gold and silver.
LMEprecious will comprise spot, daily and monthly futures, options and calendar spread contracts for gold and silver.
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.
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.
Clients trading futures now have the ability to submit futures calendar spread orders from an order management system (OMS) via FIX.
One interesting trading strategy that we haven't covered in a while is the calendar spread.
Looking at the front- and back-month series, it appears that a trader may have closed out a calendar spread on the stock.
As a refresher, a calendar spread is where an investor will sell a short-term call (or put) and then buy a longer-term call (or put) at the same strike.