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If gold for August delivery is bid $1601.20 asking $1601.30, and gold for October delivery is bid $1603.20 asking $1603.30, then the calendar spread would be bid -$2.10 asking -$1.90 for August–October. Calendar spreads or switches are most often used in the futures markets to 'roll over' a position for delivery from one month into another month.
S&P Futures trade with a multiplier, sized to correspond to $250 per point per contract. If the S&P Futures are trading at 2,000, a single futures contract would have a market value of $500,000. For every 1 point the S&P 500 Index fluctuates, the S&P Futures contract will increase or decrease $250.
The IMM dates are the four quarterly dates of each year which certain money market and Foreign Exchange futures contracts and option contracts use as their scheduled maturity date or termination date. The dates are the third Wednesday of March, June, September and December (i.e., between the 15th and 21st, whichever such day is a Wednesday).
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(Reuters) -Futures linked to Wall Street's main indexes took a pause on Thursday after the S&P 500 and Nasdaq ended the previous session on a positive note, while investors awaited some more ...
As the S&P-GSCI was the first commodity index and remains popular, the rollover of its futures was analyzed and described as the Goldman roll. Yiqun Mou's analysis of the Goldman roll indicates up to $26 billion was made through arbitrage of the Goldman roll between 2000 and 2009. [ 2 ]