I was wondering about setting up calendar spreads on the HSI (hang seng index, from hong kong futures exchange), it has several active months at the same time. Like right now, we have february (january is done), march, and june, all have volume and are being traded. The february and march spread is about 80 points, the february june spread is about 160 or so (both obviously fluctuate +/- like 30-40 points during the trading day). At the end of february, won't the march and february contracts have almost no spread between each other? If so, couldn't I set up spreads at the beginning of months and exit them right before the contracts roll over, taking guaranteed profits? What am I missing?