Comment on Calendar Spreads

Amey commented on 07 Dec 2018, 07:53 PM

Hi Karthik!

Thanks for the reply.

I was thinking whether there have been any instances in the past where the difference in spreads has gone significantly adverse?

What would be the consequences if reversion to mean does not happen? What would happen if 2 std dev spread becomes 4 std dev or 5 std dev?

How to put a stop loss in this strategy? How to allocate capital

Thanks.

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