Calendar Spread Quant Interview Guide
Calendar spread quant interview guide covering nearby versus deferred contracts, curve shape, storage, roll, risk, and examples.
Candidates analyzing same-commodity contracts across expiries.
Calendar spreads compare expiries
A calendar spread goes long one contract month and short another contract month in the same underlying commodity or futures market.
Curve shape drives the trade
Storage, inventory, seasonality, delivery timing, and demand expectations can move nearby and deferred contracts differently.
Concrete example
Long nearby oil and short deferred oil expresses a view that prompt supply is tightening relative to future supply and storage.
Expiry mechanics matter
As contracts approach delivery, liquidity, margin, delivery optionality, and roll rules can change spread behavior materially.
Common mistakes
Candidates often analyze the spread like an outright futures position. Calendar spreads need curve and contract-month reasoning.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.