Wednesday, December 26, 2012

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.