Calendar Spread Law and Legal Definition
A Calendar Spread is a spread trade involving the simultaneous purchase of futures or options expiring but with different delivery months. The legs of the spread vary only in expiration month; they are based on the same underlying market and strike price. The usual case involves the purchase of futures or options expiring in a more distant month and the sale of futures or options in a more nearby month. It is also called a time spread or horizontal spread.
