Futures Calendar Spread Price and P&L Explained
Learn how a futures calendar spread is priced, how near and deferred contract moves combine into P&L, and why the quote convention must be checked first.
Direct answer
A futures calendar spread pairs opposite positions in two expiries of the same product. Its P&L comes from the change in the price difference, so define the quote sign and leg directions before calculating.
A calendar spread compares two expiries
A basic calendar spread is long one expiry and short another expiry of the same futures product.
The position is therefore about the relationship between two contract months, not simply whether the whole market rises or falls.
CME describes calendar spreads as simultaneous positions in different maturities of the same futures market.
Futures roll yield and curve shape explains the separate effect of maintaining exposure across expiries.
Define the spread sign before doing any math
Do not assume every venue or product displays the spread with the same sign or maps a buy order to the same leg directions.
For this worked example, define S = near futures price - deferred futures price.
A position that is long the near contract and short the deferred contract therefore has point P&L equal to the change in S.
If your platform uses the opposite quote convention, the displayed sign reverses even though the two economic legs are unchanged.
Worked example: two leg calculations must reconcile
Assume the near contract is 101.20 and the deferred contract is 102.00 at entry.
Under S = near - deferred, the entry spread is 101.20 - 102.00 = -0.80.
Later, the near contract is 103.10 and the deferred contract is 103.40, so the spread is -0.30.
The spread changed by -0.30 - (-0.80) = +0.50 point.
The long near leg gained 103.10 - 101.20 = 1.90 points. The short deferred leg lost 103.40 - 102.00 = 1.40 points.
Net P&L is 1.90 - 1.40 = +0.50 point, exactly matching the spread change.
With a $50 point value, gross P&L is 0.50 × $50 = $25 per 1:1 spread. Four spreads produce $100 before fees and other adjustments. [!TRYMARK] Calendar-spread checkpoint On September 18, record 101.20 and 102.00 at entry, 103.10 and 103.40 at exit, the S = near - deferred rule, and a $50 point value. Recheck both legs and the $25 result.
Both contracts can rise while the spread drives the result
In the example, both futures prices rose, but the near contract rose by 1.90 while the deferred contract rose by 1.40.
The difference between those moves is the +0.50-point spread gain.
If the near contract had ended at 100.80 and the deferred at 101.90, S would be -1.10 and the spread change would be -0.30.
The long near leg would lose 0.40 while the short deferred leg would gain 0.10, for a net loss of 0.30 point.
This is why an outright bullish or bearish view is not enough to explain calendar-spread P&L.
A listed spread order is different from legging manually
CME's listed FX calendar spreads execute the two legs simultaneously, which removes legging risk for that listed strategy.
Submitting two separate outright orders is different because one leg can fill before the other or at a changed price.
Margin can also reflect offsets between related expiries, but the credit is product-specific and broker requirements can differ.
Futures spread ratios explains why contract counts and economic sensitivity should still be checked separately.
Fees can apply to both legs, so gross spread P&L is not the same as net account P&L.
Use a calendar-spread checklist
This guide uses a simplified 1:1 spread. Product rules, ratios, tick sizes, settlement, delivery, and margin treatment can differ.
- Confirm the exact futures product and both expiry months
- Write the venue's displayed spread convention
- Map a buy and sell order to the actual long and short legs
- Confirm the contract multiplier and spread tick size
- Distinguish a listed spread order from two separate outright orders
- Check margin treatment, fees, liquidity, and both lifecycle dates
- Reconcile spread P&L with the two leg P&Ls before relying on the result
Common questions
How do you calculate a futures calendar spread price?
Choose a documented convention such as near price minus deferred price, then apply that same convention at entry and exit. The change in that spread should reconcile with the two leg P&Ls.
Can both futures contracts rise while a calendar spread makes money?
Yes. A long-near, short-deferred spread can gain if the near contract rises more than the deferred contract under the convention used in this article.
Does buying a calendar spread always mean long near and short deferred?
No. The displayed strategy and buy-sell mapping can vary by venue and product. Read the strategy definition and confirm the resulting legs before submitting the order.
Is calendar-spread margin always lower than outright margin?
No universal amount applies. Clearing models may recognize offsets between related expiries, but credits are product-specific and brokers can impose different requirements.