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When spread trading two different futures contracts, it is important to equalize the value of each side of the spread – the short position in Contract #1 should be offset as closely as possible by a long position in Contract #2. Constructing and maintaining a perfectly balanced spread can be difficult due to differences in:
Currency denominations (e.g. two Nikkei 225 futures denominated in $USD and Yen)
Currency unit sizes (e.g. dollars and cents, pounds and pence)
Quote units (e.g. basis points and dollars)
Contract multipliers (e.g. full size vs. E-Mini S&P 500 futures)
This pre-built Excel workbook allows you to simply plug contract parameters into 1 of 3 different Calculators, and balance the number of contracts to equalize the value of each spread leg. |
