Calendar spread trading · TradersWeek

Skip to main content

Output: Signal
Input: Rule inputs, market state and execution constraints
Horizon: The system holding period
Best use: Make entry, exit and abstention rules testable as one procedure.

Input: Rule inputs, market state and execution constraints.
Output: signal.
Use boundary: Make entry, exit and abstention rules testable as one procedure.

The graph1

How the method is built, and where it has been read

Depends on

Often reviewed together

Commodity spread trading7 readings

Read in the archive19 readings

1982Constructing commodity spreads, calendar legs, and option strapsIntermarket and spreads 1987Seasonal calendar spreads as financed capital slotsIntermarket and spreads 1989Seasonal dates, confirmation, and reconstructed spread barsIntermarket and spreads 1991Calendar-spread divergence as a demand clock for commodity reversalsIntermarket and spreads 1992Expiration-forced convergence for basis, calendar, and option-income tradesIntermarket and spreads 1993Write the soybean intercrop calendar as one procedureIntermarket and spreads 1996A commodity-basket redesign read as a proxy and a calendar-spreadIntermarket and spreads 2003Calendar spread construction by volatility skewOptions and volatility 2003Livestock calendar spreads during a commodity-index rollIntermarket and spreads 2004Same-strike calendar construction, decay income, and account gatesOptions and volatility 2004Range-bound calendar spreads and precommitted exitsOptions and volatility 2007Construct futures size from the good-faith deposit and the spreadSizing and leverage 2007Critiquing calendar spreads when reversals overrunOptions and volatility 2010Name the spread, then construct the legsIntermarket and spreads 2012Monthly calendar income under a volatility-regime processOptions and volatility 2015A wide Treasury calendar and the 2015 delivery gapIntermarket and spreads 2016A VIX calendar-spread case after the 2015 volatility spikeOptions and volatility 2017Yield curve kinks as spread laboratoriesIntermarket and spreads 2018Bitcoin futures contract choice, percentage margin and calendar spreadsOptions and volatility

This registry entry describes a research method. It is not investment advice and does not make a performance claim.