im looking at the bobl future for september and for december and see 1.8 basis points difference. i wanted to know why there is this gap? and if im holding a position in september and want to roll it to december what is my cost? thank you


1 Answer 1


Ignoring delivery option and margining, then you can treat bond futures like a bond forward. Like any forward contract, fair values of bond forwards are determined by $$ \text{forward price} = \text{spot price} - \text{carry}. $$

The calendar spread is therefore nonzero for several reasons:

  1. The underlying cheapest-to-delivers might be different, so both spot prices and carries differ for the two contracts;
  2. Even if the underlyings are identical for both contracts (so the spot price is the same), carries can differ – for the December contract, you'd earn three more months worth of accrue interest, but must also pay three more months worth of financing cost.

Flows and other factors can also drive the roll away from fair value. For example, if a lot of longs decide to roll together, then the back contract (December) will no doubt richen relative to the front contract, cheapening the roll.

Other factors such as delivery options can also play a major role in determining the value of such calendar spreads, depending on the interest rate environment.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.