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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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