i. What is LTP Based Calendar Spread Trading Facility?
The LTP based calendar spread trading facility is available in combinations of 2 underlying futures contracts- Near month and Far month contract. A spread order once executed results into
trades of near month and far month futures contract. While there would be a separate order book, matched orders would result into trades in the respective futures contracts. In respect of
the near month futures contract, the trade is generated at near month contract’s Last Traded Price while in the far month contract, trade is generated at ‘near month contract’s Last Traded
Price + Spread Price’.
ii. In what Combination of expiries is calendar spread trading facility available for commodities?
The calendar spread trading facility is available for the following combination of expiry months of the same commodity:
i. Near Month and Second available Month
ii. Near Month and Third available Month
iii. Second available Month and Third available Month
iii. How does one enter orders for LTP Based Calendar Spread Trading Facility?
In the Trader Work Station, Members have to select the symbols while placing the orders as per the combinations of the different expiry months made available. The Symbol will be of
maximum 10 characters which will be combination of the following:
i. First Three characters will represent commodity symbol
ii. Next Three (Fourth to Sixth) characters will represent the near month
iii. Next Two (Seventh and Eighth) character will represent the far month
iv. Last Two characters will be the year of the far month contracts
v. For a given combination of symbols, trading facility will be available till the date of expiry of
the near month. 7
iv. What is the meaning of buying spread/selling spread in LTP Based Calendar Spread Trading Facility?
Buying spread implies selling near month futures contract and buying far month futures contract. Similarly, Selling spread means buying near month futures contract and selling far month
futures contract.
v. How do I quote prices for LTP Based Calendar Spread Trading Facility?
The price of a spread order is quoted as the difference between the prices at which the near month and far month contracts will be traded. The spread price may be positive, negative or zero.
vi. My order has been executed in LTP based calendar spread contract and the price at which the order is executed is higher than today’s high price in the respective contract. Is
there any error in display of high price of that respective contract in today’s bhav copy?
No. there is no error in reflection of high price for the contract. The trades generated on account of LTP based calendar spread trading facility shall not be considered
for the day’s open /high / low / close price computation of the respective near month and far month futures contract
