and CME allow direct exchange trading in calendar spreads (the order book for spreads is separate from that of the underlying futures), which are quoted in terms of implied prices (price differences between futures of different expiries). Exchange-traded futures spreads greatly reduce execution risk and slippage, allowing traders to place guaranteed limit orders for entire spreads, otherwise impossible when entering into spreads via two separate futures orders. See also Forward contract External links The Fundamentals of Trading U.S. Treasury Bond and Note Futures by CME Group Answers.com description of interest rate futures contracts Euronext description of short sterling contracts Quandl: Rates Futures – free, historical data Interest Rate Futures Contract Specifications and Tick Values at ExcelTradingModels.com References Derivatives (finance)