Categories and Description

Categories of Calendar Spreads

Calendar Spread Product Code Underlying Futures Number of
Calendar
Spreads
Available
Underlying Futures
Product Code
Underlying Futures Name
UMYUMY U SPIMEX Urals Crude Deliverable Futures (FOB Primorsk) 1

Use the links indicated below to get access to the following information about Calendar Spreads:

Intraday pricing data and information on the trades made under spread orders during the current trading day (all such data are delayed by at least 15 minutes) Quotes
Daily Bulletins for each trading day with information on all the products traded at the SPIMEX Derivatives Section including data on spread orders and trades made thereunder Historical data
Historical data on all the SPIMEX Futures Calendar Spreads since their launch Active and Archived

Product Description

A Calendar Spread is a simultaneous trade of two futures contracts on the same underlying commodity but with different expirations. The price set in the spread order is the difference (spread) between the prices for the relevant futures contracts.

To purchase a сalendar spread a trading participant shall place a special “Spread” buy order . A filled spread buy order results in the sale of the front month contract(Leg 1) and a purchase of the next month contract (Leg 2).

To sell a calendar spread a trading participant shall place a special “Spread” sell order. A filled spread sell order results in the purchase of Leg 1 and the sale of Leg 2.



Sample spread strategy:

A calendar spread may be used inter alia to roll over an open position from one contract month to another.

Just place a spread order identifying a differential (spread) and the volume of the position you wish to exit. If another trading participant places an opposite spread order two trades are made: one exits the position in the front month while another opens a position in the next month.

The price under the first trade is equal to the settlement price of the front month fixed on the previous trading day. The price under the second trade is equal to the settlement price of the front month fixed on the previous trading day plus the differential (spread) specified in the relevant spread order.

Calendar spread features:

  1. Quotes in the spread order is the difference (spread) between the second and first legs. It may be positive, negative and equal to zero.
  2. Spread orders may be limit, market and negotiated:
    • For limit and market orders:
      • Put in a queue;
      • Fill or kill (FOK);
      • Immediate or cancel (IOC).
    • For negotiated orders:
      • Put in a queue.
  3. Spread orders are filled under a standard double auction algorithm by effecting two or more simultaneous trades in a pair of futures specified in the relevant order.
  4. Minimum price fluctuation of the calendar spread mirrors the min price flux of the underlying futures contract.
  5. The Last Trading Day of the calendar spread coincides with the Last Trading Day of the nearby month of the underlying futures contract.
  6. A spread order exchange fee is charged under the SPIMEX Fee Schedule in effect as of the date of trade, i.e. fees are charged for each leg (for each contract month under the relevant futures) of the spread.
  7. Margin requirements applicable to a calendar spread are calculated in accordance with SPAN® methodology, i.e. under two orders placed with regard to each contract month which form the relevant spread.

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