The impact of calendar spread orders on price.

Hi, I would like to know what impact calendar spread orders have on the price of the outright futures contracts included in the spread, if any?
As it is possible to sell/buy a spread, and then close the position by legging in or out with the outright contracts or vice versa.

Also how do calendar spread orders affect the volume reported in the relevant outright contracts?

Thanks

 
Most Helpful

You're in my domain. Yes... you can get create synthetics spreads by legging it using the outright but you may be exposed to legging risk but you may get a better price but to be safe, use the spreads to execute unless you know what you're doing

Negative spread = front leg trading lower than second leg = market in contango

If you buy the spread, you will execute two legs at once and vice versa... sometimes spreads are more liquid

 
Lucky-Lefty:
Hi, I would like to know what impact calendar spread orders have on the price of the outright futures contracts included in the spread, if any?
Buying of the calendar spread would depress the front and lift the back.
Lucky-Lefty:
As it is possible to sell/buy a spread, and then close the position by legging in or out with the outright contracts or vice versa.
You can, but realistically it's going to be very latency sensitive. There is an old saying that legging a spread is like spreading the legs, you might get fucked.
Lucky-Lefty:
Also how do calendar spread orders affect the volume reported in the relevant outright contracts?
It's reported and treated otherwise (for things like spot limits etc) as establishing a position in the corresponding futures.
I have a friend who lives in the country, and it's supposed to be an hour from 42nd Street. A lie! The only thing that's an hour from 42nd Street is 43rd Street!
 

Thanks for the reply!

"Buying of the calendar spread would depress the front and lift the back."

Then would the individual legs of the spread show up in the Time and Sales window of the relevant outrights, affecting the supply and demand?

 

Thanks for the response.

[/quote] Buying of the calendar spread would depress the front and lift the back.

Then would the individual legs of the spread show up in the Time and Sales window of the relevant outrights, affecting the supply and demand the outrights?

 
Lucky-Lefty:
Then would the individual legs of the spread show up in the Time and Sales window of the relevant outrights, affecting the supply and demand the outrights?

Yup. Listed futures spreads (calendars or x-asset) are just execution placeholders. When something trades, it gets broken down and changes the prices of the individual legs.

I have a friend who lives in the country, and it's supposed to be an hour from 42nd Street. A lie! The only thing that's an hour from 42nd Street is 43rd Street!
 

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