Chapter 35: Futures Option Strategies for Futures Spreads 707 
2. Draw several profit curves, one for each price of the near-term future at near­
term expiration. 
Example: Expanding on the above example, this method is demonstrated here. 
Figure 35-1 shows how to approach the problem. The horizontal axis depicts 
the spread between March and May soybean futures at the expiration of the March 
futures options. The vertical axis represents the profit and loss to be expected from 
the calendar spread, as it always does. 
The major difference between this profit graph and standard ones is that there 
are now several sets of profit curves. A separate one is drawn for each price of the 
March futures that one wants to consider in his analysis. The previous example 
showed the profitability for only one price of the March futures - unchanged at 594. 
However, one cannot rely on the March futures to remain unchanged, so he must 
view the profitability of the calendar spread at various March futures prices. 
The data that is plotted in the figure is summarized in Table 35-4. Several things 
are readily apparent. First, if the futures spread improves in price, the calendar 
spread will generally make money. These are the points on the far right of the figure 
and on the bottom line of Table 35-4. Second, if the futures spread behaves miser-
FIGURE 35-1. 
Soybean futures calendar spreads, at March expiration. 
gj 
20 
16 
12 
.3 8 
::.: 
0 
ct 4 
0 
-8 
March/May Spread 
March =604 
March =594 
March= 614 
March =584 
March= 574