Futures & Options
Inter-month Spread Trading
Update : Mar. 3, 2009
TSE launched inter-month spread transactions of 5- and 10-year JGB Futures on August 14 2000, and mini-10 year JGB Futures on March 23 2009, as a means to facilitate the simultaneous transaction of two contract months. By using this facility, investors can bid or ask the price differential (spread) of two different contract months on the spread order book. The following three combinations are available for spread transactions:
- (i) the nearest - the second nearest;
- (ii) the nearest - the third nearest; and
- (iii) the second nearest - the third nearest.
The execution of a spread order results in the transactions of two individual
contract months of the above combinations. Resultant pricing in the two
individual contract month will be made, based on the last sales price
in one individual contract and the computed price by adjusting the spread
in the other contract month.