Calendar-Spread Arbitrage Across Crypto Futures Expiries

Summary

This document explains calendar spread trading across weekly and quarterly crypto futures contracts on one exchange. The basic position pairs equal quantities in opposite directions across two expiries, aiming to benefit when an unusually wide price difference returns toward a reference level. For example, if the nearer contract is cheaper than the next-week contract by more than a chosen threshold, the strategy buys the nearer expiry and sells the farther one; it reverses the legs when the spread approaches its normal range.

The implementation monitors three expiries, compares order book prices, and adjusts prices using moving averages before checking entry and exit thresholds. It also tracks positions and account margin, and submits paired limited orders. The source is incomplete, so its full closing logic cannot be assessed, and the explanatory text does not provide performance evidence. A key risk is that the nearer contract may settle before the spread converges, leaving the paired trade exposed to a loss; execution, liquidity, margin, and legging risk also matter.

Key ideas

• A calendar spread pairs opposite positions in contracts with different expiries of the same underlying.
• The strategy opens a spread when the expiry price difference exceeds a configured threshold and closes near a convergence threshold.
• The described implementation monitors weekly and quarterly contracts and adjusts prices using moving averages.
• The nearer contract can settle before the spread converges, creating a loss risk.
• The document provides no backtest results, and its source excerpt is incomplete.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.