Calendar spread
Opposite positions held at the same time in different series of one contract.
How to read the number
The bet is on the distance between expiries rather than on direction, which is why the outright market risk of the position is small.
When the metric lies
The exchange grants a collateral discount for the linked structure, and the discount disappears the moment one leg is closed. The remaining half suddenly demands full collateral.
Also known as: inter-month spread