RT Journal Article
SR Electronic
T1 Calendar Spreads, Outright Futures Positions, and Risk
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 59
OP 74
DO 10.3905/jai.2002.59
VO 5
IS 3
A1 Ira G Kawaller
A1 Paul D Koch
A1 Ludan Liu
YR 2002
UL https://pm-research.com/content/5/3/59.abstract
AB A futures calendar spread is constructed by simultaneously buying and selling two futures contracts with a common underlying instrument but different expiration dates—for instance, buying a December S&P 500 futures contract and selling a September S&P 500 contract. While spreads arc generally considered to be less risky than outright futures positions, it is important to recognize that market participants typically trade a larger number of spreads than outrights. Presumably, such traders are attempting to achieve greater returns with similar risk, or similar returns with less risk. Depending on the relative sizes of the positions and the performance of the spreads vis-à-vis the outright, the goal of achieving similar returns or risk may or may not be realized