Descriptive Study of U.S Treasury Futures' Calendar Spread Around the Roll Period

Using end of the day settlement prices from 1980 – 2018 of U.S. Treasury futures, we study the characteristics of the calendar spread around the roll periods. This is the time when most market participants roll their exposure from the soon to be expiring contract to the next one, generally in the ten days prior to and including the “first intention day”(when the exchange gives notice of delivery).

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