Futures Calendar Spread Calculator
Calculate profit and loss on a long-one-month, short-another futures spread as the price difference between legs moves.
A calendar spread buys one delivery month and sells another of the same contract in equal size. What is held is not the direction of the asset but the distance between two of its prices, and that distance can move against both legs, or stay perfectly still while the underlying travels a very long way indeed. This futures calendar spread calculator prices the change in that distance rather than the change in either month.
Formula: profit = (exit spread - entry spread) x point value x contracts
Your figures
The other month is sold in the same size. The spread is quoted throughout as the near month minus the far month.
The nearer delivery month — the front month — when the spread was put on.
The same month when the spread was taken off.
The further delivery month — the back month — when the spread was put on.
The same month when the spread was taken off.
Cash value of a one-point move in the quoted price, from your contract specification.
Per contract per fill, from your own broker — nothing is preset. Charged four times: both legs opened and both closed.
Results
Net profit
+US$1,500.00
+15.00 pts of spread change on 2 spreads
- Spread at entryNear month less far month. Negative means the far month was the dearer of the two.
- -40.00 pts
- Spread at exit
- -25.00 pts
- Spread changeThe only price move this position is paid on.
- +15.00 pts
- Near leg
- +US$1,000.00
- Far leg
- +US$500.00
- Gross profitBoth legs together, before costs.
- +US$1,500.00
- Commission on 4 fillsTwo legs, each opened and closed, for every contract of spread.
- US$0.00
- Value of one spread pointWhat a one-point rise in near minus far is worth across the whole position. Negative when the far month is the leg bought, because that position gains as the spread falls.
- +US$100.00
- Distance between the monthsMeasured against zero: whether the two months moved further apart or closer together, whichever way round they were quoted.
- Narrowed or unchanged
What this means
The spread moved from -40.00 pts to -25.00 pts, a change of +15.00 pts. With the near month bought and the far month sold, 2 spreads at US$50.00 a point makes that +US$1,500.00 gross, and US$0.00 of commission across 4 fills leaves +US$1,500.00. The legs are shown separately because most of what moves one month moves the other: the position is paid on the difference between the two, not on the direction of the underlying.
- Every rate, multiplier, margin and commission above is yours to enter. No broker's or exchange's figure is preset, because the figure that applies to a position is the one that account is actually charged; margin fields open empty for that reason, and any other number a field starts with is a round illustration. The contract specifications the site does carry — tick sizes and point values — are the exchange's published ones and are stated as such.
- Commission is charged on four fills rather than two, against a result measured in the small difference between two large numbers. It weighs far more heavily here than on an outright trade.
- Excludes the bid-offer spread on each leg. Legging in and out separately also carries the risk of the market moving between fills, which a spread quoted and traded as one instrument avoids.
- Exchanges margin a recognised spread well below the sum of its legs, because two contracts on the same asset offset almost everything except the change in the relationship between them. That relief is a function of the exchange's risk model, and it can be reduced when volatility rises — which is when a position sized against the cheaper requirement is largest.
- Assumes both legs are the same size and the same point value. A ratio spread, or two months with different multipliers, is not this arithmetic.
- Assumes the point value and commission are in the currency selected above. A contract quoted in another currency has to be converted first — no exchange rate is applied here.
Net profit: +US$1,500.00
The link reopens this calculator with the same numbers. Nothing you enter is sent to a server.
Continue with these figures
About the Futures Calendar Spread calculation
As an intermonth spread calculator it quotes the spread consistently as the near month minus the far month, at entry and at exit, and reports what the change between the two was worth once the point value and contract count are applied. It also breaks the futures spread PnL into the two legs separately, because a broker statement shows two lines rather than one, and a spread that netted a profit while one leg lost heavily is worth being able to see rather than infer.
Commission is charged four times — both legs opened, both legs closed — against a result measured in the small difference between two large numbers, which is why it is a field on this futures spread trading calculator rather than an afterthought at the bottom of the page. The point value, the contract count and the commission rate are yours to enter; nothing about any broker or any contract is assumed.
Futures Calendar Spread formula
entry spread = near entry price − far entry price
exit spread = near exit price − far exit price
spread change = exit spread − entry spread
sign = +1 when the near month is the leg bought
= −1 when the far month is the leg bought
per point = point value × contracts
near leg = (near exit − near entry) × per point × sign
far leg = (far exit − far entry) × per point × −sign
gross profit = sign × spread change × per point
commission = commission per contract × contracts × 4
net profit = gross profit − commission- near month
- The nearer delivery month, often called the front month. Quoted first in the spread throughout this page.
- far month
- The further delivery month, often called the back month. Subtracted, so a dearer far month gives a negative spread.
- spread
- Near minus far, in the contract's own points. Negative in contango, positive in backwardation, and the only price this position responds to.
- sign
- Which side of the spread is held. Positive when the near month is bought, because such a position gains when near minus far rises.
- per point
- Point value multiplied by the number of spreads — what a one-point change in near minus far is worth across the whole position.
- fills
- Four: two legs, each opened and each closed. Commission is charged on every one of them for every contract of spread.
Quoting the spread one way round throughout is what makes the arithmetic legible. Near minus far is negative in contango, because the deferred month is the dearer one, and positive in backwardation. Buying the near month and selling the far one is a position that gains as that figure rises — as the near month strengthens relative to the far one, whether that happens by the near month rallying, the far month falling, or both moving together with the near one moving further. Selling the near and buying the far reverses the sign and nothing else, which is why the whole result flips on one multiplier rather than on a separate formula.
The trade is the difference and only the difference. Neither leg's price matters on its own: the market can rally a hundred points and the spread will barely move if both months rally together, which is precisely the point of holding it. What is being traded is the shape of the curve — whether two delivery dates converge or diverge — rather than the direction of the underlying. Somebody can be entirely wrong about where crude oil is going over a quarter and still be paid, provided the relationship between the two contracts moved the way they expected it to.
That offsetting is also why an exchange margins a recognised spread far below the sum of its legs, frequently by eighty percent or more. Margin is set from the risk of a plausible adverse move, and the two legs are contracts on the same asset differing only in delivery date, so almost everything that moves one moves the other by nearly the same amount at nearly the same moment. The exchange's risk model recognises the pair and charges for the residual — the change in the relationship — rather than for two independent positions. The relief is not a discount granted for good behaviour; it is a measurement of what actually offsets.
The corollary is the part that catches people, and it follows directly from the relief itself. Cheap margin means a spread can be enormous in notional terms for very little money posted, and the residual risk is not zero. Curves move: a supply shock, a squeeze into delivery or a storage constraint can widen a spread violently while both outright legs look calm, and margin relief is reduced at exactly the moment it is being relied upon — which is when a position sized against the cheaper requirement is at its largest. Add four lots of commission against a profit measured in the gap between two similar numbers and the cost side weighs far more heavily here than on an outright trade.
Futures Calendar Spread: a worked example
Four corn spreads with the near month bought at 445.00 cents and the far month sold at 462.00, closed later with the near month at 452.50 and the far month at 461.00, at $50 a cent per contract. The page opens on an index contract with commission at zero, since no broker's rate is preset — enter these prices and $2.50 of commission per contract per fill to reproduce every line below.
- Spread at entry445.00 − 462.00 = −17.00
- Spread at exit452.50 − 461.00 = −8.50
- Spread change−8.50 − (−17.00) = +8.50
- Value of one spread point$50 × 4 contracts = $200
- Near leg(452.50 − 445.00) × 200 = +$1,500
- Far leg(461.00 − 462.00) × 200 × −1 = +$200
- Gross profit+8.50 × 200 = +$1,700
- Commission on 4 fills2.50 × 4 contracts × 4 = $40
- Net profit1,700 − 40 = +$1,660
The far month's seventeen-cent premium shrank to eight and a half, and a position long the near month collects that 8.50 whichever way the crop market went: $1,700 gross and $1,660 after the forty dollars of commission on four fills. Note that the trade made money while the Distance between the months row reads narrowed or unchanged. The two prices did move closer together, and from a negative entry spread moving closer together is a rise in near minus far — which is exactly what this position is paid on.
How to use the Futures Calendar Spread calculator
- Choose which leg you bought first. Everything below it is quoted as near minus far regardless of the answer, and the choice only flips the sign of the result.
- Enter all four prices in the same units the contract is quoted in. Corn in cents against corn in dollars will produce an arithmetically correct answer to a question nobody asked.
- Use the price of each leg at the moment that leg was actually filled. A spread traded as a single instrument fills both at once; legging in separately means two different moments and two different prices, and the entry spread should reflect what was really paid.
- Set the number of contracts to the number of spreads, not to the total number of legs. Four spreads are eight contracts and sixteen fills, and the commission line already accounts for that.
- Enter commission per contract per fill, taken from your own statement rather than from this page — the field opens at zero. It is multiplied by four automatically, because both legs are opened and both are closed.
- Read the two leg lines against your statement before trusting the net. If one leg does not reconcile, the entry or exit price for that month is wrong and the net figure will be wrong by the same amount.
Limitations of the Futures Calendar Spread calculator
Every calculation makes assumptions. These are the ones that matter here.
- The bid-offer spread on each leg is excluded, and it is charged four times just as commission is. On a narrow intermonth spread in a thin delivery month it can exceed the move being traded.
- Legging in and out separately carries execution risk this arithmetic cannot show. The market can move between the two fills, and the spread actually established may differ from the one intended by more than the expected profit.
- Both legs are assumed to be the same size with the same point value. A ratio spread, an inter-commodity spread, or two months carrying different multipliers is a different calculation and this one will not describe it.
- Margin is not modelled here. Exchanges charge a fraction of the outright requirement for a recognised spread, that fraction is set by their risk model rather than by any published percentage, and it can be reduced without notice when volatility rises.
- Delivery risk is outside the arithmetic entirely. Holding a near leg into its delivery period exposes the position to notice days, physical delivery obligations and a liquidity profile that changes sharply in the final week.
- Every figure is assumed to be in the currency selected. A contract quoted in another currency must be converted before entry, since no exchange rate is applied on this page.
Frequently asked questions about Futures Calendar Spread
Why is my entry spread a negative number?
Because the spread is quoted as the near month minus the far month throughout, and in a contango market the far month is the dearer of the two. A negative entry spread simply says the deferred contract cost more when the position was opened. Backwardated markets give a positive figure, and the arithmetic is identical either way — only the sign of the starting point changes.
Why does the exchange charge so much less margin on a spread?
Because margin is sized from the risk of a plausible adverse move, and two contracts on the same asset that differ only in delivery date offset most of that risk. When the underlying moves, both legs move together and nearly cancel; what is left is the change in the relationship between them, which is far smaller. The exchange's risk model recognises the pair and charges for that residual, which is often a fifth or less of the outright requirement.
Can a calendar spread lose more than the margin posted against it?
Yes. The margin is set from a plausible move in the relationship, not a maximum one, and curves can dislocate violently — a squeeze into delivery or a storage constraint can widen a spread far beyond anything the model priced. Because the requirement is small, a spread book can be very large in notional terms, so the loss when a curve does move is measured against that size rather than against the collateral.
The result says the spread narrowed but I made money. Is that wrong?
No. The Distance between the months row measures against zero — whether the two prices moved further apart or closer together, whichever way round they were quoted. From a negative entry spread, narrowing towards zero is a rise in near minus far, and a position long the near month is paid on exactly that rise. Read the profit rather than the description if you want to know whether the move helped.
Is a calendar spread the same thing as rolling a position?
Mechanically they are the same two trades, but the intent differs and so does the accounting. A roll closes an expiring exposure and reopens it further out, so what this page would report as roll spread profit is, for somebody rolling, simply the cost of maintaining a directional position. A calendar spread is held as a position in its own right, with the difference between the two months being the thing expected to move. The roll calculator treats the same prices as a recurring cost; this page treats them as an entry and an exit.
Why is commission charged on four fills rather than two?
Because a spread has two legs and each of them is both opened and closed. Four spreads means eight contracts traded twice, which is sixteen contract-fills in total, and the calculator applies the per-contract rate to all of them. It matters more here than on an outright trade because the profit is the difference between two large and similar numbers, so a fixed cost eats a much larger share of it.
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