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Posted by Tango
on November 14, 2021, 10:08 am
A Calendar Spread Option is one where the futures is the underlying. In the attached report of Exercised and Abandoned CSOs, we can see the sentiment of traders, both spec and commercial, toward spreads. The columns may need some clarification. Display name = Striking Price, Underlying contract = ZH, Underlying price = Fridayís settlement.
Some traders anticipated the spread to go as high as flat and we can see the number of contracts that were abandoned from -2.25 to flat. There is also a ZK that expired as well. In the HK we see a large OI as well but not as large as ZH. Itís still early in the game though. There is also a KU CSO.