Calendar Spreads in China Stock Index Futures

Journal of Indexes, pp. 42-48, May/June 2011

NYU Poly Research Paper

12 Pages Posted: 25 Apr 2011 Last revised: 14 May 2016

See all articles by Ronald T. Slivka

Ronald T. Slivka

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Xin Li

International Monetary Fund (IMF)

Yikai Zhang

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Date Written: April 1, 2011

Abstract

The successful functioning of global stock index futures markets depends heavily upon the efficient execution of two essential recurring transactions: calendar spreads and stock index arbitrage. In the final weeks preceding a futures expiration calendar transactions dominate order flow in a dramatic fashion making economical execution of critical importance for the health of the market. As frequent and familiar as calendar spread orders are there is surprisingly little written about these essential futures transactions. For China's CSI 300 futures there is no literature at all. Using recent CSI 300 futures data this article seeks to address the central characteristics of calendar spreads and the important uses for this transaction type in China's newest futures market. Establishing the legitimacy of this type of order in CSI 300 futures along with suitable margin controls is essential to ensuring the willingness of both domestic and foreign investors to seek participation in China's important growing capital market.

Suggested Citation

Slivka, Ronald T. and Li, Xin and Zhang, Yikai, Calendar Spreads in China Stock Index Futures (April 1, 2011). Journal of Indexes, pp. 42-48, May/June 2011, NYU Poly Research Paper , Available at SSRN: https://ssrn.com/abstract=1820583

Ronald T. Slivka (Contact Author)

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )

Brooklyn, NY 11201
United States
2153213524 (Phone)

Xin Li

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Yikai Zhang

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )

Brooklyn, NY 11201
United States

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