Calendar spread futures
First Claim
1. A method of trading a calendar spread futures contract using an electronic trading system, the method comprising:
- receiving, by a processor, a first request from a first entity via a first terminal to buy a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date;
receiving, by the processor, a second request from a second entity via a second terminal to sell the spread difference between the first futures contract having the first delivery date and the second futures contract having the second delivery date; and
executing a trade of a calendar spread futures contract, using the trading engine, by matching the first request and the second request such that the first entity holds a long position in the calendar spread futures contract and the second entity holds a short position in the calendar spread futures contract.
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Accused Products
Abstract
A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.
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Citations
18 Claims
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1. A method of trading a calendar spread futures contract using an electronic trading system, the method comprising:
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receiving, by a processor, a first request from a first entity via a first terminal to buy a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date; receiving, by the processor, a second request from a second entity via a second terminal to sell the spread difference between the first futures contract having the first delivery date and the second futures contract having the second delivery date; and executing a trade of a calendar spread futures contract, using the trading engine, by matching the first request and the second request such that the first entity holds a long position in the calendar spread futures contract and the second entity holds a short position in the calendar spread futures contract. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A system for trading calendar spread futures contracts on an exchange, the system comprising:
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a terminal operable to receive a first order from a first entity to buy a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date; a memory storing at least a second order to from a second entity to sell a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date; and a trading engine operable to match the first request and the second request as a calendar spread futures contract such that the first entity holds a long position in the calendar spread futures contract and the second entity holds a short position in the calendar spread futures contract. - View Dependent Claims (10, 11, 12, 13, 14, 15, 16)
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17. A system for trading calendar spread futures contracts, the system comprising:
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means for receiving a first request from a first entity to buy a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date; means for receiving a second request from a second entity to sell a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date; and means for matching the first request and the second request as a calendar spread futures contract such that the first entity holds a long position in the calendar spread futures contract and the second entity holds a short position in the calendar spread futures contract.
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18. A system for trading calendar spread futures contracts by way of a trading engine comprising a processor and a memory coupled to the processor, the system further comprising:
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first logic stored in the memory and executable by the processor to receive a first request from a first entity to buy a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date; second logic stored in the memory and executable by the processor to receive a second request from a second entity to sell a spread difference between a first futures contract having a first delivery date and a second futures contract having a second delivery date; and third logic stored in the memory and executable by the processor to trade a calendar spread futures contract by matching the first request and the second request such that the first entity holds a long position in the calendar spread futures contract and the second entity holds a short position in the calendar spread futures contract.
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Specification