Continuous Crude Oil Calendar Spread

[ladidalimey]

Hi,

Is it possible to create a back adjusted continuous calendar spread, for say Crude Oil (CL) using something like CL #F - CL 2! for a one month spread?

Thanks,

L.

[ACM]

Re: Continuous Crude Oil Calendar Spread

ladidalimey
You may be able to do what you want by first setting the continuous CL contract to back adjusted and then creating the spread using CL 1! - CL 2!
Alex

Originally posted by ladidalimey
Hi,

Is it possible to create a back adjusted continuous calendar spread, for say Crude Oil (CL) using something like CL #F - CL 2! for a one month spread?

Thanks,

L.

[Natiroggs]

Hi Alex
The method you suggested would create a synthetic spread. Can we plot a continuous chart for the calendar spread data? They are different as in case of synthetic spread you would only know the open/close prices and that too on the basis of individual LTPs whereas if we could plot the calendar spread directly we will get OHLC for the spread and volume data too. In case of synthetic spread there is no way of knowing HL.