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In finance, a calendar spread (also called a time spread or horizontal spread) is a spread trade involving the simultaneous purchase of futures or options expiring on a particular date and the sale of the same instrument expiring on another date. These individual purchases, known as the legs of the spread, vary only in expiration date; they are ...
The calendar call spread (see calendar spread) is a bullish strategy and consists of selling a call option with a shorter expiration against a purchased call option with an expiration further out in time. The calendar call spread is basically a leveraged version of the covered call (see above), but purchasing long call options instead of ...
Disregarding interest on dividends, the theoretical value of a jelly roll on European options is given by the formula: = + + where is the value of the jelly roll, is the strike price, is the value of any dividends, and are the times to expiry, and and are the effective interest rates to time and respectively.
The volatility of the spread is typically much lower than the volatility of the individual legs, since a change in the market fundamentals of a commodity will tend to affect both legs similarly. The margin requirement for a futures spread trade is therefore usually less than the sum of the margin requirements for the two individual futures ...
Important sources for seasonal traders are institutional reports, such as the COT report, which shows the positions held on commodities by the major market players. [2] Lower margin deposits required by commodity exchanges to trade spreads means positions can be leverage up. Spreads may behave smoother than the underlying futures contracts.
Dollar-cost averaging (DCA) an investment of $1,000 by breaking it up into 10 separate purchases of $100 each, spaced out over weeks or months is likely to have better results than investing a ...
The term originates from the trading sheets that were used in the open outcry pits on which option prices were listed out by expiry date & strike price, thus looking down the sheet (vertical) the trader would see all options of the same maturity. Vertical spreads can sometimes approximate binary options, and can be produced using vanilla options.
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