Support Board
Date/Time: Sat, 18 Jan 2025 07:53:14 +0000
Post From: Notional difference
| [2018-01-30 04:12:31] |
| User409029 - Posts: 5 |
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I was wondering if you can chart notional difference for spreads? I know how to plot spreads using the difference study but the values in the right column make no sense and don't allow for me to determine an accurate price for each movement. The notional difference is a function of the futures price x a multiplier. So for the Russell 2000 future is 50 ($50 x the current price) and for the emini S&P future is 50 ($50 x the current price). The CME recommended spread for these future contracts is 3*RTY-2*ES. I believe the complete equation for notional difference in this scenario would be 3*(50 x RTY price) - 2*(50 x ES price) Of course I may be mistaken so feel free to correct me. I hope you get the idea as I would like to be able to determine the price movement per contract for a given spread. Thanks for your help! Ned |