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  • Leg1 has a prior day’s settlement of 2880.30
  • Leg2 = Trade Price + Leg1
    • 80.65 + 2880.2530
  • Leg2 = 2960.95

This Calendar Spread trades at 80.65

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  • Leg1 = 2.574
  • Leg2 is calculated:
    • Leg1 - Spread Trade Price
    • 2.574 - 0.00025 
  • Leg2 = 2.57375

Resulting legs:

  • Leg1 Buy 8 lots of NGM2 at 2.574
  • Leg2 Sell 1 lot of NNN2 at 2.57375 

Pricing Example Leg2 Calculated Outside of Daily Limits

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