Currently, one can buy the Jun 2020 ES mini contract and sell the March 2020 ES mini contract and receive a credit of about $6. What is the risk in creating a credit calendar spread, with the March contracts shorted? Shouldn't these futures contracts converge as the expiration of the March contract approaches? The margin impact at IBKR is only $110 per spread trade. Thanks.
It's due to the difference between the interest rate and the dividends. The interest rate is pretty low (thank you Fed), while the dividend yield for the next 3 month is higher. So by being long Jun futures and short the basket you are foregoing a lot of dividends and receiving very little financing. P.S. The underlying for the futures is a basket of stocks. Stocks (unlike oil or live cattle) are very easy to store and all dislocations in futures are quickly arbitraged away.