What is calendar spread arbitrage?Calendar Spread Arbitrage

Arbitrage between futures months of the same product: when the far month is too expensive versus the near month, buy near and sell far, take delivery on the near and redeliver on the far.

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Arbitrage Strategies
Calendar Spread Arbitrage: Near vs. Far Months
For the same gold, how far apart should near-month and far-month futures be? The gap is 6 months of interest and storage. If the far month is too expensive, buy near, sell far, and take delivery.

Related terms

margin
backwardation
no-arbitrage band
full carry
convenience yield

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Go to “Calendar Spread Arbitrage: Near vs. Far Months”