Calendar Spread
The price difference between two futures contracts on the same commodity at different maturities — a direct measure of curve shape.
Definition
Calendar spreads (also 'time spreads' or 'horizontal spreads') express views on the slope of a futures curve without taking outright price risk. Long front / short back profits from steepening into backwardation; short front / long back profits from flattening into contango.
In options, a calendar spread is long a later-dated option and short an earlier-dated option at the same strike — a play on term structure.
Public research record
Research framework · page evidenceCompleted application: Calendar Spread
Calendar spreads isolate curve dynamics from spot direction, often providing better risk/reward than outright positions during transitions.
| Type | Claim | Scope |
|---|---|---|
| Release fact | The price difference between two futures contracts on the same commodity at different maturities — a direct measure of curve shape. | Commodities |
| Release fact | Q4 2022: long Dec23/short Dec24 WTI calendar offered ~$8 backwardation. Holding into mid-2023 captured most of the convergence as the front contract rolled up. | Published example |
Countercase, invalidators, and sources
The relationship is conditional: another driver can dominate the same asset over the selected horizon.
- · The underlying observation changes materially.
- · The selected asset has no measurable exposure to this mechanism.
Why it matters
Calendar spreads isolate curve dynamics from spot direction, often providing better risk/reward than outright positions during transitions.
Worked example
Q4 2022: long Dec23/short Dec24 WTI calendar offered ~$8 backwardation. Holding into mid-2023 captured most of the convergence as the front contract rolled up.