Calendar Spread Strategy Futures

The spreads are a function of interest rate.

Calendar spread strategy futures. A calendar spread is a trading strategy for futures and options to minimize risk and cost by buying two contracts or options with the same strike price and different delivery dates. Calendar spread involves options of the same underlying asset the same strike price but with different expiration dates. Nifty spot level is 10540 nifty feb futures.

Traditionally calendar spreads are dealt with a price based approach. I had briefly introduced the concept of calendar spreads in chapter 10 of the futures trading module. Here is a quick recap on how this is done calculate the fair value of current month contract.

Futures price reflects the market sentiment of the subject s price. Nifty futures calendar spread strategy css. What is calendar spread arbitrage strategy.

What is a calendar spread. If a call or put is sold with near term expiration it is called front month. Calculate the fair value of the mid month contract.

A calendar spread is a low risk directionally neutral options strategy that profits from the passage of time and or an increase in implied volatility. Trading futures by way of executing a calendar. Because futures calendar spreads are less volatile they also require far lesser margin than outright positions resulting in greater.

Futures calendar spreads also known as futures time spreads futures horizontal spreads intermonth spread or interexpiration spread are a class of futures strategies that utilizes futures contracts of different expiration months in order to produce a bullish or bearish futures position which is less volatile than an outright long or short futures position. This trade is designed to allow the trader to potentially benefit from the difference in price between the two expiration dates. Calendar spreads may be executed in a bullish or bearish fashion depending on the position taken in the near month contract.