A calendar spread futures position comprises
A) A long position in a futures contract of one maturity and a short position in another futures contract of a different maturity.
B) A contract on the difference between two different-maturity futures prices.
C) A portfolio of long futures contracts of different maturities.
D) A portfolio of futures contracts spanning more than one year.

Question

Quizplus · Accepted Answer

A calendar spread futures position is a strategy where an investor buys a futures contract of one maturity (typically further out) and simultaneously sells a futures contract of a different maturity (typically nearer). This is done to profit from the difference in the prices of the two contracts. Therefore, choice A is the correct answer. The other choices are incorrect because a calendar spread position only involves two futures contracts of different maturities, not a portfolio of futures contracts or a contract on the difference between futures prices.

A Calendar Spread Futures Position Comprises