Electronic trading allows traders to execute calendar spreads simultaneously rather than pairing two outright contracts. Through implied functionality, calendar spreads and outrights are tightly connected, reshaping liquidity provision in outright markets. We examine how the trading architecture of calendar spreads affects the trading outcomes for different groups of agricultural futures market participants. Using Chicago Mercantile Exchange (CME) intraday data, we focus on spread traders who rely on calendar spreads to meet their trading needs, and outright market makers. Counterfactual analyses show that calendar spreads improve execution quality and generate more informative signals about the futures term structure. Implied functionality increases adverse-selection risk borne by market makers, while leaving their gross revenues largely unchanged. Our findings highlight the trade-offs inherent in the current calendar-spread trading design.
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