CTA · Core
CTA Calendar-Spread Sleeve
Trade nearby versus deferred on the same curve — a pure term-structure book, the smallest-beta cousin of commodity RV.
Definition
Long one expiry, short another. P&L is the change in the slope plus pull-to-spot mechanics. Inventory, seasonality, and roll events drive it. Trend on the calendar (the spread’s own TSMOM) is a valid CTA signal.
Why it matters
Specialist energy and ag CTAs live here. Diversified trend shops often ignore it — leaving a sleeve on the table or a risk they do not measure when they roll.
Case
A WTI calendar into the 2020 negative-front print. The ‘spread’ was not a tame RV; the front was a different market.
How to read it
Which months, liquidity, and whether you trade around expiry. Front-month calendars are not back-month calendars.
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