Hi,
I want to know what can be the reasons for increasing or decreasing the spreads between current month and near month futures.
I read about calender spreads on Zerodha Varsity.
NF Futres continuous chart which is determining when to execute calender spreads based on last 8 months of data.
https://divyankm.github.io/Stock-Exchange-Data-Analysis/html%20files/NIFTY_FUT_Calender_Spread.html
Snap-
++1
Some more charts and literature on calender spreads:
Queries:
I want to know what can be the reasons for increasing or decreasing the spreads between current month and near month futures.
Will current month Fut contract requires additional margin on Day of Expiry for Calender Spreads as well, though it is hedged with Next month Future Contracts?
Margin Policy: What is Zerodha's policy on the physical settlement of equity derivatives on expiry?
| Day (BOD-Beginning of the day) | Margins applicable |
|---|---|
| E-4 Day (Friday) | 10% of VaR + ELM +Adhoc margins |
| E-3 Day (Monday) | 25% of VaR + ELM +Adhoc margins |
| E-2 Day (Tuesday) | 45% of VaR + ELM +Adhoc margins |
| E-1 Day (Wednesday) | 25% of the contract value |
| Expiry Day (Thursday) | 50% of the contract value |
https://divyankm.github.io/Stock-Exchange-Data-Analysis/frontend_html_files/cal_spread.html
