convergence can happy anytime before expiry." />

Comment on Calendar Spreads

Karthik Rangappa commented on 14 Dec 2018, 11:08 AM

“but ideally should converge on expiry.”–> convergence can happy anytime before expiry. Remember, this is convergence to mean and not fair value.

At initiation, if you are looking at the bid and ask, then at square off you need to look at the ask and bid respectively for the same 2 contracts.

By the way, why are you taking the pricing here, is’nt the play entirely on the divergence from mean?

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