Futures Calendar Spread

Futures Calendar Spread. Treasury futures calendar spreads and the benefits of this strategy in facilitating the “quarterly roll”—rolling treasury futures positions from one. Calendar spreads—also called intramarket spreads—are types of trades in which a trader simultaneously buys and sells the same futures contract in different expiration months.

A futures spread is an arbitrage technique in which a trader takes two positions on a commodity to capitalize on a discrepancy in price. With calendar spreads, time decay is your friend.