Comment on Calendar Spreads

Pratik commented on 04 Jul 2018, 04:36 PM

Hi Karthik,

As other users, I have also implemented the system in excel. In fact, I have also managed to get live data every 15 min by scrapping from NSE for all symbols for which FUT contracts are available. I see that there are various calls generated throughout the day as well with good returns and they close on the same day.

As mentioned by other users, liquidity is a problem in executing such trades. Out of all 209 symbols (Index and Stocks) on which FUT are available, how to filter out the once having high liquidity on both Current and Near contract. As per my observations, Near month contract has very less activity. E.g. Observing JUL FUT contracts data in present month of JUL shows liquidity. The same started showing liquidity after 19th or 20th of JUN. Does that mean the near month contract starts getting attention in last 2 weeks of Current contract? Can you suggest a filter which can be applied to filter out the entries which has least probability of Calendar spread trade execution?



View the full comment thread »