Let's say I am doing a futures bear spread: Sell front-Buy back in CL. I am hoping on convergence to the cash price which seems all too similar to selling a fly. Why? Because the futures bear spread is working with the curve and the call spread is hoping on theta decay. Nonetheless, a move to the upside is very adverse and the return distribution for the strategy has the same skewness....doesn't it? highly correlated strategies? A remake of a classic: Sellers of futures time spreads always have the edge....or at least in contango.
you need to take every futures curve in to account separately.. EAch one has its own nuances.. Oil stores and there is storage costs and interest costs buried into the price of the each futures contracts ... when you put on a bear spread in oil there is no convergence , you are betting that the price of oil in the front contract will be lower then the price of the back contract in the future.. meaning it will spread wider.. This can happen in a rising and falling market... EVERY FUTURES CURVE IS DIFFERENT.. seasonality , different crops, nuances of the underlying etc.. stick to one at a time.. it can take years to really begin to understand why curves dislocate and how to take advantage of these dislocations.. understanding even to what degree something is dislocated is a key factor..
fwiw, this is a good resource for futures time spreads: http://app.spreadcharts.com/user/. If the front leg is nearby you are exposed to the overall volatility of the underlying whatever the spread, so in that sense yes you will likely be a tad uncomfortably correlated with a short-gamma strategy in the same underlying. Other than that, yes as has been already said, it's very underlying specific. Maybe a bet on the reversal of the current CL backwardation in late 2017/2018 contracts?
One of the big differences is that a futures calendar spread is not related to the absolute price level, since the futures curve can shift up/down in parallel fashion and the value of the spread can remain unchanged (assuming the curvature/twist of the curve does not change). By comparison, option positions are tied to a strike price which is an absolute price level.
Perhaps it depends on the underlying and options you sold. On commodities, the volatility( and call premium selling ) risk is on the upside, so some bull spread strategies can balance a bit your losses on options. One bull spread strategy I liked is to simply bet on propagation when the expiry in delivery is creating a bullish influence on the curve.( Ex : First month is @6.5 whereas 2nd is @ 6.1, 3rd @6.2, 4th @ 6.3...).
The futures spreads are unique to each market based on interest rates and the cost of storing the underlying or dividends paid out. I would suggest buying a book on all the different strategies as many have to do with expectations on seasonality vs the factors listed above. An example would be the oil futures market back in Feb 2016. The Feb or March futures were trading $10 below the Jan 2017 oil futures. This was a historical wide spread and many of us were trying to figure out how to buy oil at $30 and store it in a tanker to sell it at year end for $40 by selling the Jan 2017 futures in Feb. The $10 was more than enough to pay for storage and insure the tanker for delivery but the problem was every tanker was already waiting in line in Amerstdam to load up. We could have bought the front month and kept rolling the front month futures but the spread would keep getting narrower at each roll thus giving up some of the spread as the year went on. Today, The Jan 2017 contract trades around 52 and the Jan 2018 contract trades around 55 so only a 3 dollar spread now. In this example, the extreme price move lower which translated into lower volatility for oil given it can only go down to $10 and not below zero, was highly correlated with the market itself. This would not have given your portfolio any diversification benefit. If you had just simply bought the one year futures at $40 in anticipation of the rally, you would have lost $2 dollars on expiry based on where it trades today. The spread trade would have made money and the guys who bought the physical product made a barrel full... What I like is your idea of trading spreads to remove systemic risk from the trade scenario. This risk is always being compensated for in the market so those who can spread this off have gained an edge although hard to assess how big. Cant measure tail events only year end profits...