how is the calendar spread positive when the market is in backwardation, but negative when the futures market is in contango?
I am assuming the formula to calculate is (distant futures price - near term futures price).
Thanks,
how is the calendar spread positive when the market is in backwardation, but negative when the futures market is in contango?
I am assuming the formula to calculate is (distant futures price - near term futures price).
Thanks,
Its the other way. Sell todays futures - buying next months futures. Hence backwardation = +ve spread.