Comment on Calendar Spreads

Samved commented on 24 Jun 2018, 09:26 AM

Hey Karthik,

I am trying to check this on the and all short trade were generated on expiry date. It seems that there is some issue with the way the data is pulled. For ex on 26 April, you are showing spread between April expiry and June expiry while it should be in May and June expiry as April will not be available next day.
On 26 April, this is from
SBIN 26 APRIL 233.3
SBIN 31 May 234.4
SBIN 28 June 235.15
The spread should be 235.15-234.4=.75 and not 235.15-233.3=1.85
Am i missing something.

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