Intramarket spread

Discussion in 'Strategy Development' started by TraDaToR, Feb 28, 2007.

  1. TraDaToR



    I'm quite interested in intramarket spread... How do you calculate the value of the following futures based on the currently traded futures?

    Let's take CH07 ( Corn march 2007 ) and CK07( Corn may 2007 ). What's the formula of interest rates you use to define the spread? What kind of interest rates? Is the value of interest rate moving during the lives of the 2 legs?

    Thanks all spreaders for your answer.
  2. Go to the Ag Futures forum and look at the thread titled " Wheat--calc the cost of carry". It might help you.
  3. TraDaToR


    Thanks a lot.