FREE Spread Trading Contract Calculator in Excel

When spread trading futures, stocks, ETFs or other securities, it is important to equalize the dollar value of each side of the spread. The short position in Security #1 should be offset as closely as possible by a long position in Security #2.  This series of case studies show you how to properly calculate the number of securities on each leg of your spread trade to equalize their market exposure.

Information Needed

To get started you need these key pieces of information for each contract or security.  You can find contract specifications and tick values for hundreds of futures contracts here:

  • Currency
  • Currency Value vs. Base Currency (your trading currency)
  • Quote Unit
  • Minimum Tick Value
  • Contract Multiplier

NOTE:  We won’t discuss normalizing spreads by volatility, so assume you will need to adjust the contracts on each leg as your spread trade evolves over time.

Continue to Case 1: Simple Spread Contract Equalization >