Market mechanics
Futures calendar spreads: quotes, legs and profit or loss
An oil price rise can produce a loss on a calendar spread if the month you sold rises more than the month you bought.
One product, two expirations, opposite positions
A futures calendar spread pairs a long position in one contract month with a short position in another month of the same product. The exposure is to how those two prices change relative to each other. Each position is a leg of the spread.
For example, start flat and buy one January 2027 WTI crude oil contract while selling one February 2027 WTI contract. You now hold both legs. To close that pair, sell the January contract and buy back the February contract. Use the same expirations and quantities; an order in a third month leaves a different position.
Sources: CME Group: futures spread structures · CME Group: offsetting positions and expiration
Write the subtraction before interpreting the sign
For the example below, define the spread as January price minus February price, in dollars per barrel. January at $70.00 and February at $71.20 gives $70.00 − $71.20 = −$1.20. A move from −$1.20 to −$0.50 is an increase of $0.70, even though both spread values are negative.
This is an explicitly chosen calculation convention. Do not infer the bought leg from the order of symbols on a screen. CME’s equity-index calendar convention displays the nearby contract first, but buying that spread buys the deferred month and sells the nearby month; its price is deferred minus nearby. Check the product’s convention and the order ticket’s actual buy/sell legs before submitting.
Sources: CME Group: equity calendar-spread quotation and execution
A one-pair WTI example: $700 gain or $800 loss
Assume one January CL contract is bought at $70.00 and one February CL contract is sold at $71.20. Each CL contract represents 1,000 barrels. All prices and exits here are hypothetical, and the results exclude commissions, fees and slippage.
For this long-January/short-February pair, profit or loss equals [(January exit − $70.00) + ($71.20 − February exit)] × 1,000. Equivalently, multiply the change in the January-minus-February spread by 1,000. The multiplier applies once to the spread change, not twice.
| Hypothetical exit: Jan / Feb | Long January | Short February | Combined result |
|---|---|---|---|
| $72.00 / $72.50 | +$2,000 | −$1,300 | +$700; spread −$0.50 |
| $71.00 / $73.00 | +$1,000 | −$1,800 | −$800; spread −$2.00 |
| $72.00 / $73.20 | +$2,000 | −$2,000 | $0; spread −$1.20 |
Sources: CME Group: WTI contract size and price units · CME Group: futures spread structures
Matched spread execution and legging are different
CME’s FX calendar-spread documentation describes an exchange spread transaction whose two legs execute simultaneously, eliminating the risk of filling only one leg of that transaction. That does not guarantee a fill or prevent the spread’s value from moving against you afterward.
Submitting two separate outright orders creates a different execution problem. If the January buy fills but the February sell does not, the account holds an outright January position until the second leg fills or the first is closed. A chart showing the price difference is not proof that your orders are being matched as one exchange spread. Check the platform’s order type and the filled quantities in both expirations.
Include both legs when estimating trading costs. CME says FX spread participants typically pay exchange fees on each leg. For the actual product and broker, check the charges for opening and closing each leg rather than treating one displayed spread as one outright contract’s round-trip fee.
Sources: CME Group: FX calendar-spread execution, margin and fees · CME Group: equity calendar-spread quotation and execution
An offset does not remove margin or expiration
A recognized spread can receive a margin offset because its legs reduce some of the combined exposure. CME documents that treatment for FX calendar spreads. The applicable requirement still depends on the product, month pair and account; a quoted spread difference is neither the required deposit nor a maximum loss. The $800 loss above is one scenario, not a loss cap.
Each leg keeps its own expiration. If positions remain open into settlement, the contract’s cash-settlement or delivery terms apply. Close or roll the relevant leg by the applicable deadline; the later contract does not extend the earlier contract’s life.
Sources: CME Group: FX calendar-spread execution, margin and fees · CME Group: offsetting positions and expiration
Exchange availability does not establish prop-account permission
For a Boxcar evaluation or simulated-funded account, use the current hedging support guide to check opposing-position rules. Its published examples do not establish permission for every calendar-spread setup. For an unlisted setup, ask support with both product symbols, expirations, directions, account IDs and stages before trading. Live accounts have separate terms; evaluation and simulated-funded exceptions do not carry over.