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Quantitative Finance · Glossary

What is Calendar spread?

Definition 19.6 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 19 — Matching Algorithms and Implied Spreads

A calendar spread is an exchange-listed instrument whose purchase is the simultaneous purchase of one expiry and sale of another of the same product, at a quoted price difference. It has its own order book, its own tick, and trades as one order with no risk of being filled on one leg only.

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