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X_TRADER®

Butterfly Matrix Calculations

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The calculations made for a Butterfly Matrix follow:

Price:

Implied Bid Price =

1st Leg (Front Month) BidPrice

-

(2) x [ 2nd Leg (Middle Month) AskPrice ]

+

3rd Leg (Back Month) BidPrice

 

Implied Ask Price =

1st Leg (Front Month) AskPrice

-

(2) x [ 2nd Leg (Middle Month) Bid Price ]

+

3rd Leg (Back Month) AskPrice

 

Quantity:

Implied Bid Quantity =

Lesser of  1st Leg (Front Month) Bid Quantity

and

[ 2nd Leg(Middle Month) Ask quantity ] / 2

and

3rd Leg (Back Month) Bid Quantity

 

Implied Ask Quantity =

Lesser of 1st Leg (Front Month) Ask Quantity

and

[ 2nd Leg (Middle Month) Bid quantity ] / 2

and

3rd Leg (Back Month) Ask Quantity