What does Intermarket Spread mean?
The purchase of a futures contract on one exchange and the simultaneous sale of the futures contract on a different exchange for the same commodity for the same delivery month. An investor enters an intermarket spread to exploit the price difference in the two markets for exactly the same futures contracts. It is similar to Arbitrage in share market.
Futures Knowledge Explains Intermarket Spread
For example, an investor may buy Corn Futures September at Chicago Board of Trade and sell Corn Futures September at Kansas City Board of Trade, if there exits difference in price of the future contracts in the two markets.