Comment on Calendar Spreads

Soumen commented on 05 Nov 2018, 12:53 PM

Sometimes I see arbitrage opportunity Current Month and Far month in Gold, as of Today around 12:05 PM I see around 150 Point different current month & Far month i.e. “GOLDM NOV FUT & GOLDM JAN FUT”, relatively high gap compare to “GOLDM NOV FUT & GOLDM DEC FUT” ( The gap was very narrow current month and mid-month around 55 Point ). ( but the gap was an ideal arbitrage between the current month and far month around 150 Point) Is it ideal to apply rule buy cheap i.e Buy Current month contract and sell more expensive Far month contract compare to mid-month contract. ? Please guide can we do an arbitrage/calendar spared between current month and fat month as well, or need to stick with the current month and mid-month only.

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