Many popular exchanges carry instruments used to trade spreads. Exchange Traded Spreads are instruments and are treated as such. They are not expressions. The exchange sends out trades and updates for these instruments, and they do expire.
Exchange-traded spreads are entered in the symbol field using their fully designated name.
Examples:
|
Symbol |
Description |
|
ZC U2:ZCZ2 |
Globex Corn (ZC) Calendar Spread of "Sept 2012" - "Dec 2012" |
|
NG Z2:NGZ3 |
Natural Gas (NG) Calendar Spread of "Dec 2012" - "Dec 2013" |
|
BRN 2Z:BRN3F-ICE |
ICE Brent Crude (BRN-ICE) Calendar Spread of "Dec 2012" - "Jan 2013" |
|
HO 2ZC1:CLZ2 |
Crack Spread. Dec 2012 Heating Oil (HO) - Dec 2012 WTI Crude Oil |
Supported in FutureSource Workstation 3.41.1088 and higher.
Calendar Spreads are spread symbols where the 1st and 2nd legs of the spread are the same contract root. The legs only differ in their expiration. For example, NG Z2:NGF3 . The contract root is NG. 1st leg is Dec 2012 expiration and 2nd leg is Jan 2013 expiration.
Calendar Spread symbols can be entered using their fully designated name OR as Rolling forward symbols. Similar to Rolling symbols for Futures contracts, such as CL 1!, Rolling Calendar Spread symbols will change to the next available contract when the nearby leg of the spread expires. With Rolling forward Calendar Spread symbols, you no longer need to update your Quotes page as old symbols expire and new symbols are added.
Rolling Calendar Spread Symbols may be entered in either of 2 formats. Examples below:
|
Description - Calendar Spreads |
Rolling Calendar Spread |
Rolling Calendar Spread - short format |
|
Natural Gas (NG) 1st nearby contract - 2nd nearby contract |
NG 1!:NG2! |
NG 1!:2! |
|
Natural Gas (NG) 7th nearby contract - 10th nearby contract |
NG 7!:NG10! |
NG 7!:10! |
|
Canadian Dollar (6C) 2nd nearby contract - 1st nearby contract |
6E 2!:6E1! |
6E 2!:1! |
|
Silver (SI) Reduced Tick (RT) spread 1st nearby contract - 2nd nearby |
SI 1!RT:SI2! |
*Short format not available for RT |
|
Euronext Cocoa (C-ENC) 1st nearby - 3nd nearby |
C 1!:C3!-ENC |
C 1!:3!-ENC |
|
ICE Brent Crude (BRN-ICE) 1st nearby contract - 2nd nearby contract |
BRN 1!:BRN2!-ICE |
BRN 1!:2!-ICE |
Supported in FutureSource Workstation 3.41.1088 and higher.
Many exchanges send Settlements on Exchange Traded Spread symbols hours after settlements are sent on the individual Futures legs. And some exchanges do not send any Settlements for Exchange Traded Spreads. In order to provide users with Settlement information on Spreads in a timely manner, Settlement values for Calendar Spreads are calculated from the Settlement values from the individual Futures legs which make up the Calendar Spread.
Previous Settlement, New Settlement, and Settle Change price fields are calculated in this way within Quote windows.
Time & Sales window, however, will not display calculated settlements. Time & Sales window will only display Settlement values sent by the exchange.