<p>A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.</p>
申请公布号
WO2011153183(A1)
申请公布日期
2011.12.08
申请号
WO2011US38677
申请日期
2011.06.01
申请人
CHICAGO MERCANTILE EXCHANGE INC.;MUELLER, EUGENE;GROMBACHER, DANIEL;STURM, FREDERICK
发明人
MUELLER, EUGENE;GROMBACHER, DANIEL;STURM, FREDERICK