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Quoted spreads
A calendar spread buys one delivery month and sells another — you stop betting on the price of oil and start betting on the shape of time. Lower vol, lower drawdown, mean-reverting. This lab dissects 421 exchange-quoted spreads across 8 years of tick data — naming, gameplay, arbitrage, correlation, and a playable market-making game.
Each room is a self-contained deep-dive with live charts on real data. New here? Walk it in order; hunting something specific? Jump straight in.
What a spread is. Month codes F…Z, human names — Dec–Dec, Dec–Jun, Jun–Jul. Sign = the whole regime.
Contango vs backwardation on a time-slider. Watch April-2020 collapse into super-contango. Carry, seasonality, the ladder of tenors.
All 421 real spreads as a living scatter. Tenor × volume × regime. The liquid 1-month core that holds 274M of the volume.
Why spreads move as a family. The 12×12 heatmap, the 3-factor curve (level / slope / curvature), and why a fly is a pure shape bet.
Box, butterfly, cash-and-carry. The no-arb math, the SPX repo market, the $57k blowup, the 2020 storage break. Payoff diagrams.
The game quant firms run in interviews. Learn expected value, read the ladder/DOM, quote a two-way market, and don't get picked off. Playable.
Brainstormed, structurally-grounded strategy hypotheses — OU bands, seasonal overlays, curvature flies, the EIA-Wednesday catalyst.
Every stat traces to spreads.db (Databento CL spreads). Market mechanics cite primary sources in /research. Educational — not advice.