There is an active
spread option traded in ICS as described here - https://www.theice.com/products/28881205/Crude-Future-Brent-1-Month-Calendar-Spread-Options
I am interested to know the
Gamma profile of such
Calendar spread option w.r.t. various possible underlying spread values.
Is there any empirical study for such calendar spread option?
Any pointer will be highly appreciated.