BSE - Calendar Spread
S&P BSE SENSEX
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Calendar Spread
A calendar spread is a facility provided in BSE’s Derivatives segment. This facility shall be offered on all those underlying assets (stocks and indices) on which derivative instruments are available for trading in BSE Derivatives segment. This facility shall help in creating simultaneously two positions viz. one shall be in near month futures instrument and 2nd shall be in the far month futures instrument of same underlying.


Salient Features of Calendar Spread Facility

  • Calendar spread facility shall consist of 2 legs viz. one near month futures instrument and 2nd leg shall be the far month futures instrument. To facilitate this, calendar spread facility shall be available for trading across 3 contract months at any time, corresponding to the current, near and far monthly futures instruments on that underlying asset. For Example :
    Main Leg 1st Leg 2nd Leg
    RELI7812S RELIJUL2012 RELIAUG2012
    RELI7912S RELIJUL2012 RELISEP2012
    RELI8912S RELIAUG2012 RELISEP2012

  • Nomenclature: Nomenclature pattern for calendar spread facility shall be as follows –
    Field Description Asset Identifier Month of 1st Leg Futures instrument Month of 2nd Leg Futures instrument Year of Futures instrument Spread Identifier
    No. of Characters/ Digits Four (4) One (1) One (1) Two (2) One (1)
    Illustration Reliance Ind. Ltd.) – RELI7812S RELI 7 8 12 S

    Month shall be represented as follows –
    Jan Feb Mar Apr May June July Aug Sept Oct Nov Dec
    1 2 3 4 5 6 7 8 9 O N D

  • Order Attributes:
    • A trader shall be able to enter orders as one single order.
    • This order shall reflect in the market watch & market picture views of that calendar spread facility.
    • Order types supported – Market, Limit, Market with IOC, Limit with IOC, Stop-loss
    • Order modification and cancellation shall be allowed.

  • Trading Availability:
    • Orders in calendar spread shall not be allowed on maturity/ expiry of the futures instrument.
    • Orders shall not be allowed in the pre-open session (9:00am - 9:15am), closing session (3:30pm - 3:40pm) & post-closing session (3:40pm – 4:00pm).
    • Member suspension – Orders shall not be allowed for a member if that member is suspended in Derivatives segment.
    • Risk Reducing Mode (RRM) – Orders shall not be allowed for a member if that member is in RRM in Derivatives segment. That member shall be allowed to use calendar spread facility only if he is out of RRM. Moreover, in case of any open positions, the member shall be able to put square up orders in individual future legs

  • Trade Execution:
    • A trade shall be executed when any order in a calendar spread matches with another opposite order entered in the same calendar spread.
    • Execution of 2 orders shall follow the existing price-time priority logic.
    • On execution of a original calendar spread trade, It shall be split into two more trades – one trade on the near month and the other trade on far month futures contract of same underlying.
    • These 3 trades shall reflect accordingly in the member’s trade book.

  • The "trade rate" of each of the three trades generated shall be determined as given below –
    Sr. No. Trade Description Trade Rate
    Trade 1 Original Calendar spread trade Traded spread rate
    Trade 2 Near month Futures instrument (1st leg) LTP of Near month Futures instrument^
    Trade 3 Far month Futures instrument (2nd leg) LTP of Near month Futures instrument^ + Traded spread rate
    ^ - If LTP is not available, then previous close price of the near month futures instrument

  • Positions created:
    Trade in calendar spread Position in near month futures instrument Position in far month futures instrument
    Buy Order resulting in trade Short Position Long Position
    Sell Order resulting in trade Long Position Short Position

    Illustration of Trade using calendar spread facility & resulting positions
    • Buy order in RELI7812S resulting in trade @ Rs.5
      This shall be split into 2 trades followed by creation of positions as follows –
      Short Position in RELIJUL2012 @ Rs.700 (LTP of Reliance July futures instrument)
      Long Position in RELIAUG2012 @ Rs.700 + Rs.5 = Rs.725
    • Sell order in RELI7812S resulting in trade @ Rs.5
      This shall be split into 2 trades followed by creation of positions as follows –
      Long Position in RELIJUL2012 @ Rs. 700 (LTP of Reliance July futures instrument)
      Short Position in RELIAUG2012 @ Rs.700 + Rs.5 = Rs.725

  • Trade Management:
    • Trade Rectification – client code modification shall be allowed on trades in the respective individual futures instruments. However, client code modification shall not be allowed on the trade on the calendar spread.
    • Online trade Give-up/Take-up process in Derivatives segment – This shall be allowed on the trades in the individual futures instruments but shall not be allowed on the trade in the calendar spread.
    • Trade data indicators in Market watch, Market Picture views – Trades shall be added to the market statistics and shall reflect in trade data indicators such as LTP, Open Price, High Price, Low Price, Close Price, No. of trades, Trade Volume and Open Interest of the respective futures instruments.

  • Exchange Transaction Fees:
    • Original calendar spread – Not applicable.
    • Individual Futures instruments – Transaction fees shall be levied as per the rates applicable for the Derivatives segment from time to time.



Calendar Spread Specifications for Trading

Underlying Asset Stocks and Indices
Market Lot Same as that of the monthly futures instrument
Contract Months 1, 2, 3 months, corresponding to the current, near and far monthly futures instruments on that underlying asset
Tick Size Stock Futures spread Rs.0.05
Index Futures spread Rs. 0.25
Trading Hours 9:15 a.m. to 3:30 p.m.
Last Trading/Expiration Day Last Thursday of the month and where such a day is a holiday, the last trading day shall be the preceding business day.
Daily Settlement Price
  • Based on last 30 minutes VWAP average.
  • If there are no trades during the last half an hour, then the Theoretical Price would be taken as the official closing price.

Important Points to Note
  • A member shall be required to be active in Derivatives segment to be able to use the calendar spread facility.
  • All trading rules of Derivatives segment shall apply to the futures instrument leg of the calendar spread, unless specified otherwise.



Example of Calendar Spread (Both Buy and Sell)

  • Case 1:- Buy RELI7812S @ Rs 10
    • Execution - Buy Reliance August Futures & Sell Reliance July Futures.
    • Trade in RELIJUL2012 (sell position) @ LTP Price: Rs. 700.
    • Trade in RELIAUG2012 (buy position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710.

  • Case 2:- Sell RELI7812S @ Rs 10
    • Execution - Sell Reliance August Futures & Buy Reliance July Futures
    • Trade in RELIJUL2012 (Buy position) @ LTP Price: Rs.700
    • Trade in RELIAUG2012 (Sell Position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710

  • Case 3:- Buy RELI7812S @ Rs.10 & Sell RELI7812S @ Rs.12
    • Execution – Trade 1 - Buy Reliance August Futures & Sell Reliance July Futures
    • Trade in RELIJUL2012 (sell position) @ LTP Price: Rs.700.
    • Trade in RELIAUG2012 (buy position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710.
    • Trade 2 – Execution - Sell Reliance August Futures & Buy Reliance July Futures
    • Trade in RELIJUL2012 (Buy position) @ LTP Price: Rs.700
    • Trade in RELIAUG2012 (Sell Position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.12 = Rs.712
    • Position: Due to opposite trades in calendar spread, positions will be netted off.

  • Case 4:- Buy RELI7812S @ Rs.10; Existing intraday buy position in the Reliance July Futures.
    • Execution - Buy Reliance August Futures & Sell Reliance July Futures
    • Trade in RELIJUL2012 (sell position) @ LTP Price: Rs.700.
    • Trade in RELIAUG2012 (buy position) @ LTP of RELIJUL2012 + Spread rate = Rs.700 + Rs.10 = Rs.710
    • Position: Position in RELIJUL2012 will be netted off due to existing buy position. However there will be open position in RELIAUG2012.