Spreads: Tails, turtles, and all that

This article provides a conceptual framework for analyzing futures contract spreads, particularly spreads involving the Treasury-bond futures contracts. Only intramarket spreads, involving different contracts months of the same futures contract, are considered. Such spreads comprise short positions in one contract month and an equal number of long positions in another contract month. In "bull spreads" the long position is in the nearby contract month; in "bear spreads" the short position is in the nearby contract month.