True calendar spread: Dec 2011 vs Jan 2012 [2.00]

True calendar spread: Jan 2012 vs Feb 2012 [0.50]

True calendar spread: Feb 2012 vs Mar 2012 [1.75]

Statistics on spread of open, high low and close are abolished since they do not provide any meaningful information in addition to spread chart with profile.

True calendar spread: Mar 2012 vs Apr 2012 [-17.50]

Large negative spreads into April and May contracts anticipating earnings in many of the underlying shares.

True calendar spread: Apr 2012 vs May 2012 [-16.75]

Huge spread due to earnings.

True calendar spread Dec 2012 vs Jan 2013 [1.00]

Chart showing calendar spread with profile during expiration week. Trading volume in the new contract usually exceeds the expiring contract Thursday afternoon. Trading just before expiration with low volume and  very large and volatile spread apparently has little effect on profile. Chart based on tick data (instead of 1-minute data) shows an even more pronounced POC at 1.00 formed at Tuesday with some higher volume trading.

True calendar spread: May 2012 vs Jun 2012 [1.50]

Wednesday was a half trading day, thursday a holiday. Expiring contract still traded more than next rolling contract at Wednesday making it unnecessary to rollover a day earlier. Note that nominal calendar spread was zero while both type and median values was 1.50. This is a perfect example why it's necessary to go through this process in determining the true calendar spread.

True calendar spread: Jun 2012 vs Jul 2012 [1.50]

True calendar spread: Jul 2012 vs Aug 2012 [1.25]

True calendar spread: Aug 2012 vs Sep 2012 [2.00]

True calendar spread: Sep 2012 vs Oct 2012 [1.50]

True calendar spread: Oct 2012 vs Nov 2012 [1.25]

True calendar spread: Nov 2012 vs Dec 2012 [1.75]

Chart showing spread suggests 1.75 as effective split value for correcting calendar spread. Note that spread at close was 3.25 reflected by a pronounced spike. 1.75 is also median and type value of open, high, low and closing prices of 2nd, 3rd and 4th trading days before expiration.

Calendar spread Mon 11/12/12 to Thu 11/15/12 (chart/data by Linnsoft/eSignal)

Calendar spread vaules and statistical properties (data by eSignal)

.../Users/.../InvestorRT/admin/myholidays.txt

#Loading myholidays.txt - Holiday Definition File Expires 12/31/2014
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- Session 36. Stockholm, Sweden (9 AM - 5:27 PM Mon-Fri)
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- Year 2008 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
080106,36,Trettondedag jul
080321,36,Långfredagen
080324,36,Annandag påsk
080501,36,Första maj, Kristi himmelfärdsdag
080606,36,Sveriges nationaldag
080620,36,Midsommarafton
081224,36,Julafton
081225,36,Juldagen
081226,36,Annandag jul
081231,36,Nyårsafton
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-
- Year 2009 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
090106,36,Trettondedag jul
090410,36,Långfredagen
090413,36,Annandag påsk
090501,36,Första maj
090521,36,Kristi himmelfärdsdag
090606,36,Sveriges nationaldag
090619,36,Midsommarafton
091224,36,Julafton
091225,36,Juldagen
091226,36,Annandag jul
091231,36,Nyårsafton
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-
- Year 2010 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
100106,36,Trettondedag jul
100402,36,Långfredagen
100405,36,Annandag påsk
100501,36,Första maj
100513,36,Kristi himmelfärdsdag
100606,36,Sveriges nationaldag
100625,36,Midsommarafton
101224,36,Julafton
101225,36,Juldagen
101226,36,Annandag jul
101231,36,Nyårsafton
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-
- Year 2011 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
110106,36,Trettondedag jul
110422,36,Långfredagen
110425,36,Annandag påsk
110501,36,Första maj
110602,36,Kristi himmelfärdsdag
110606,36,Sveriges nationaldag
110624,36,Midsommarafton
111224,36,Julafton
111225,36,Juldagen
111226,36,Annandag jul
111231,36,Nyårsafton
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-
- Year 2012 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
120106,36,Trettondedag jul
120406,36,Långfredagen
120409,36,Annandag påsk
120501,36,Första maj
120517,36,Kristi himmelfärdsdag
120606,36,Sveriges nationaldag
120622,36,Midsommarafton
121224,36,Julafton
121225,36,Juldagen
121226,36,Annandag jul
121231,36,Nyårsafton
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-
- Year 2013 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
130106,36,Trettondedag jul
130329,36,Långfredagen
130401,36,Annandag påsk
130501,36,Första maj
130509,36,Kristi himmelfärdsdag
130606,36,Sveriges nationaldag
130621,36,Midsommarafton
131224,36,Julafton
131225,36,Juldagen
131226,36,Annandag jul
131231,36,Nyårsafton
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-
- Year 2014 Nasdaq OMX Stockholm Trading Holidays
-
-YYMMDD
140106,36,Trettondedag jul
140418,36,Långfredagen
140421,36,Annandag påsk
140501,36,Första maj
140529,36,Kristi himmelfärdsdag
140606,36,Sveriges nationaldag
140620,36,Midsommarafton
141224,36,Julafton
141225,36,Juldagen
141226,36,Annandag jul
141231,36,Nyårsafton