Spread Matrix Calculations
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The calculations made for a Spread Matrix follow:
- Spread ask = (Front Month Ask) – (Back Month Bid)
- Spread bid = (Front Month Bid) – (Back Month Ask)
Note: This formula applies to calculating a commodity spread price. The formula reverses when calculating financial spd prcs (ES, Russell) and currency (6E, Dollar Index). When buying those spreads, you buy the deferred and sell the near.
- Best price outright quantity = Lesser of the front month quantity and back month quantity
- Best price spread quantity = Spread quantity
- Outright price and spread price are equal = Lesser of the front month quantity and the back month quantity + the spread quantity.
Implied Pricing and Implied from Implied Pricing:
Refer to Setting Implieds.