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Calculating Implied Quantities

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Let's examine how to calculate implied quantities. In most cases, the implied quantity is the minimum quantity shared between the two known direct prices that imply the unknown implied price.

Example: In this example there is a 150 lot bid in June at 6000 and a 50 lot Ask in September.


 Crude Oil ContractBid QtyBid PriceAsk PriceAsk Qty
Leg 1June1506000  
Leg 2September  601150
SpreadJune - September50-11  

The implied quantity is generated by taking the minimum quantity of the two legs used to generate the implied spread Bid price. Only 50 contracts of the June - September spread may trade at -11 as there are only 50 contracts offered in Leg 2 of the spread.