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Treasury Futures Calendar Spreads Guide by som is a document available to read on EtoBox.

CBOT Treasury futures calendar spreads allow investors to roll positions between delivery months with a single transaction. This reduces trading costs compared to executing two separate transactions. Calendar spreads have narrow bid-ask spreads of 1/4 of 1/32nd compared to 1/32nd for individual contracts. They also experience massive liquidity during quarterly rolls, allowing large positions to be rolled with minimal market impact costs. In an example, a portfolio manager was able to roll a $3 billion long

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som

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