Friday, December 21, 2012

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.