Wide variation in ES calendar spread intraday

Discussion in 'Index Futures' started by loufah, Sep 12, 2014.

  1. I rolled over my ESU4 futures to ESZ4 today, and I noticed that the spread has been getting wider (although still less than 1 tick) as the day goes on. Just after 9:30 ET, the calendar spread was -7.95 x -7.90, and now it's -8.15 x -8.10. Is this typical?

    Only reason I can think of is that the front month futures are moving up toward the spot more quickly than are the far month futures. But a movement of .20 over a few hours on a single day seems kind of high, considering that, hypothetically, if SPX stays where it is the December futures only need to move $8.65 higher over the next 98 days.
     
    Last edited: Sep 12, 2014
  2. bone

    bone

    My best guess would be that a considerable long position was rolling his Sept. position into Dec.

    [​IMG]