Comment on Calendar Spreads

Karthik Rangappa commented on 10 Aug 2018, 01:20 PM

I’m not sure if I’m missing something here, Priya. Mean is usually very small and SD higher than mean is a common occurrence. By default, the higher the SD higher is the risk element. This does not mean more opportunities.

Agreed with you on the bid ask bit on the near month, hence for this, its important to look at the trade with bid-ask in perspective and not really LTP.

I used to use an algo to identify calender spreads, but that went bad, since then I;ve not really revived this.

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