1. What are futures calendar spreads?

A calendar spread is the simultaneous execution of two CME FX futures contracts in the same currency pair with differing expiry/maturity dates – e.g., selling June EUR/USD FX futures and buying September EUR/USD FX futures.

2. Is there any leg or legging risk?

No. In a calendar spread, the two legs of the spread are traded simultaneously. There is no legging risk.

3. What currency pairs are spreads available for?

Spreads are available in all CME FX futures contracts which cover over 40 currency pairs.

4. What contract months can be traded in a spread?

In G5 currency pairs, there are three serial (monthly) contracts and 20 quarterly contracts listed at any one time. Spreads can be traded between any combination of two of these contracts (be that monthly vs. monthly, monthly vs. quarterly, or quarterly vs. quarterly). 

5. What are the CME Globex hours for spread trading?

Spreads can be traded 23 hours a day through the standard Globex trading hours of Sunday through Friday from 5:00 p.m.–4:00 p.m. CT.

6. Are spread trades block eligible?

Yes, block trading is supported for calendar spreads. Block threshold minimums are listed on the CME Group Block Trades page. Additional block minimum information may also be found here

7. What are the hours for block trade submission through CME ClearPort?

Calendar spread block trades can be submitted through the standard CME ClearPort hours of 5:00 p.m. CT on Sunday through to 5:45 p.m. CT on Friday, with no reporting Monday through - Thursday from 5:45 p.m. to 6:00 p.m. CT. 

8. What is the minimum price increment of a spread trade?

In G5 pairs, the minimum price increment for monthly and quarterly spreads is 0.2 pip (0.5 pip for GBP/USD). 

9. What are the CME ticker and vendor codes for these spreads?

CME ticker and vendor codes for CME products are available on the Quote Vendor Symbols Listing page. Each platform will have a combination of the standalone contract code for spreads. For example, Bloomberg uses ECM3ECU3 for EUR/USD June vs. Sept, while CME Direct uses 6EU3-6EM3 for the same spread.

10. How are calendar spreads different from CME FX Link?

While FX Link and calendar spreads both represent FX swaps risk and are both available for trading on Globex, they are slightly different products. FX Link is a tradeable basis between OTC spot FX and FX futures; i.e., an FX swap where the near leg is OTC spot FX, and the far leg is CME FX futures contract. A calendar spread, meanwhile, has CME FX futures as both the near leg and as the far leg, which is more akin to a forward-starting FX Swap.

11. How does initial margin work on a spread trade?

The CME margin model (SPAN) recognizes offsets between positions held along the curve. It also provides for portfolio margining against other currency pairs and certain other asset classes at CME. Where a calendar spread trade creates new positions in the two futures expiries, the margin for the combined position will be a fraction of the margin that would be applied to each expiry separately because the long and short positions offset, reducing the overall risk of the position. Each currency pair has a margin page. For example, see the EUR/USD page that shows the margin requirements. With EUR/USD, the margin for a calendar spread trade is ~3.4% of 1 standalone outright contract.

12. What is the quarterly roll?

The quarterly roll refers to the period in each quarter when existing open interest holders exit the front quarterly contract and re-establish their position in the second quarterly contract. This roll period is typically in the two weeks immediately preceding the last trading day of the contract. It is worth noting that in some currency pairs, (e.g., BRL/USD) the roll happens on a monthly rather than quarterly basis. Calendar spreads can, however, be traded at any time throughout the year and don’t just involve front-quarterly to second-quarterly contracts.

13. When do contracts expire?

Each currency pair has its own calendar page clearly showing the current listing schedule, including when each contract expires and the last trading day. For example, see contract expiries for EUR/USD.   

14. How does settlement on CME FX futures work?

Major currency pairs of CME FX futures are physically settled in line with OTC market conventions. View the FX Futures Delivery article for an explanation of this process.

15. What are the fees for spreads?

In a spread trade, the participant typically pays the CME exchange fee on both legs of the transaction.

The fee schedule for CME products is available on the Exchange Fees for Clearing & Trading page.

16. Where can I find additional information on calendar spreads?

You can find further information for futures spreads and related topics through CME Institute

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All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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