Question
What formula does MRCI use to calculate spread equity values, such as the Crude Oil versus Heating Oil spread?
Answer
Spread equity calculations depend on the price relationship between the contracts as well as each contract's individual specifications, including contract size and point value.
Because each market has unique contract characteristics, there is not a single formula that applies to every spread. In some cases, different contract sizes or pricing units must be converted before calculating the equity value of the spread.
For a detailed explanation of how MRCI calculates seasonal spread equity values, please refer to the following resources:
How to Calculate Equity Spreads
This page explains the methodology used to calculate seasonal spread profits and losses, including examples for various markets.
Futures Symbols and Contract Codes
This reference provides futures symbols, delivery month codes, and other contract specifications used throughout MRCI research.
These resources will help you understand how MRCI converts price movements into actual dollar gains and losses for spread positions.
