Operation / risk
Calendar Arbitrage rare
Calendar Arbitrage
Definition
A strategy that exploits price spreads between different delivery months of the same instrument.
Boundary
Spreads are affected by carry, liquidity, and delivery rules, and convergence is not guaranteed before expiry.
2 Strategies
0 Text mentions
0 Code hits
Role distribution
Market regimes
Uptrend0/0Downtrend0/0Range0/0Breakout Onset0/0High Volatility0/0Low Volatility0/0Reversal Inflection0/0All Regimes0/0
Common parameters
No parameter samples.
Frequent co-occurrence
Semantic relations
- Basis ← SpreadCalendar arbitrage trades the spread between different contract months of the same instrument.
Evidence strategies
- OKEx跨期对冲策略Trigger
- C期货高频套币策略OKEX-Websocket版ContextInferred
Corpus quotes
No quotes.