Futures Calendar Spread Calculator
Calculate a one-to-one same-product futures calendar spread from entered nearby and deferred prices, reconcile both quote orientations, and audit direction-aware gross and net P/L across five exit-spread scenarios and five whole-spread rows.
Enter two contract months and a one-to-one position
Use the same product, price units and multiplier for both months. The app does not verify contract specifications.
Entered calendar-spread result
Futures Calendar Spread 2.0.0.
Calendar-spread calculation audit
Reconcile selected-spread signs, leg changes, gross P/L, entered costs and net P/L.
On smaller screens, scroll each table horizontally; the page itself remains contained.
| Step | Arithmetic | Result |
|---|
Both quote-orientation signs
Nearby minus deferred and deferred minus nearby must remain exact opposites.
| Orientation | Entry spread | Exit spread | Change | Row type |
|---|
Five exit-spread scenario rows
Entry spread, direction, multiplier, whole spreads and entered costs stay fixed while exit selected spread moves.
| Scenario | Exit selected spread | Spread change | Change ticks | Gross per spread | Gross position | Net per spread | Net position | Outcome | Row type |
|---|
Five adjacent whole-spread rows
The selected-spread change and entered per-spread cost stay fixed while the one-to-one spread count changes.
| Spreads | Gross per spread | Gross position | Entered costs | Net position | Outcome | Row type |
|---|
These rows are deterministic arithmetic illustrations, not forecasts, fill simulations, probability estimates, margin calculations or trade recommendations.
How the Futures Calendar Spread Calculator works
Spread change = exit selected spread − entry selected spread
Gross P/L = direction sign × spread change × units per leg × whole spreads
Net P/L = gross P/L − entered round-turn cost per spread × whole spreads
A long selected spread has direction sign +1 and a short selected spread has direction sign −1. This is a mathematical label. Confirm how an exchange or platform maps Buy and Sell actions to the actual legs before trading.
Audited entered-data example
Choose nearby minus deferred and long selected spread. Enter nearby/deferred prices of 5000/5012 at entry and 5010/5016 at exit, a 2-point scenario step, 0.25 spread tick, 50 units per leg, two spreads and USD 10 entered cost per spread.
The selected spread changes from −12 to −6: a +6 move or +24 ticks. Entered tick value is USD 12.50. Gross P/L is +USD 300.00 per spread and +USD 600.00 for two spreads; after USD 20.00 of entered costs, net P/L is +USD 580.00.
Quote orientation changes the sign, not the economics
| Choice | Formula | Mathematical meaning | Still verify externally |
|---|---|---|---|
| Nearby minus deferred | Nearby price − deferred price | The example moves from −12 to −6, a +6 change | Exchange and platform display convention |
| Deferred minus nearby | Deferred price − nearby price | The same example moves from +12 to +6, a −6 change | Product-specific calendar-spread convention |
| Long selected spread | +1 × selected-spread change | Positive gross P/L when the selected spread rises | Which actual leg is bought or sold |
| Short selected spread | −1 × selected-spread change | Positive gross P/L when the selected spread falls | Order mapping, fills and execution risk |
Sign discipline: switching orientation without also interpreting direction consistently reverses the reported spread change. The two-row audit exposes that reversal.
Cost-only break-even is deliberately narrow
The cost-only break-even spread move equals entered round-turn cost per spread divided by entered units per leg. For the audited example that is 10 ÷ 50 = 0.2 spread point, or 0.8 entered tick. A long nearby-minus-deferred spread therefore has a cost-only break-even exit spread of −11.8.
This does not include any commission, exchange fee, clearing fee, bid-ask spread, legging loss, slippage, financing, tax or operational cost that was not included in the one cash-cost input.
Assumptions and limits
- Both legs must represent different delivery months of the same futures product and use matched one-to-one quantities; the app cannot verify that.
- Entry and exit prices may be zero or negative, but the tick size, multiplier and scenario step must be positive.
- The entered spread tick can differ from an outright contract tick. Obtain the product-specific calendar-spread increment from the exchange.
- The five scenario rows move only the selected exit spread and are not a market forecast, confidence interval or probability distribution.
- Net P/L subtracts only the entered per-spread cash cost; it does not claim to reproduce a statement or executable fill.
- Margin credits, spread-book liquidity, legging, settlement, delivery, position limits and account eligibility are excluded.
A careful calendar-spread workflow
- Identify the exact product and two delivery months.
- Confirm both legs have compatible price units, contract multipliers and matched quantities.
- Document the exchange or platform quote orientation.
- Obtain the spread-specific minimum price increment.
- Enter actual observed prices and only documented cash costs.
- Reconcile the leg-change identity and both orientation signs before interpreting P/L.
- Assess execution, liquidity, margin and delivery obligations separately.
Frequently asked questions
- It combines opposite positions in two delivery months of the same futures product. This page models a one-to-one entered spread only.
- Nearby minus deferred and deferred minus nearby are exact sign opposites. Product and platform conventions can differ, so both are displayed while one is selected for the P/L calculation.
- It is a mathematical label: gross P/L is positive when the selected spread rises. It does not assert how a platform Buy action maps to the actual nearby and deferred legs.
- Subtract entry selected spread from exit selected spread, apply the selected long or short sign, then multiply by entered units per leg and whole spreads.
- They hold entry spread, direction, units, whole spreads and entered costs fixed while moving the selected exit spread by minus two, minus one, zero, plus one and plus two entered scenario steps.
- They hold the entered spread change and per-spread cost fixed while scaling gross P/L, entered costs and net P/L across five adjacent positive whole one-to-one spread counts.
- Divide selected-spread change by the positive entered spread tick size. Calendar-spread increments can differ from outright ticks, and this page does not verify the exchange rule.
- It divides only the entered round-turn cash cost per spread by entered units per leg, then applies that move in the selected direction. Any unentered cost remains excluded.
- No. It subtracts only the nonnegative round-turn cash cost entered per complete spread. Margin credits, bid-ask, legging, slippage, financing, taxes and every unentered cost remain excluded.
- Yes. Price fields accept finite zero and negative observations. The scenario step, spread tick and units per leg must remain positive, and whole spreads must be a positive integer.
Sources and methodology
- CFTC — Futures Glossary — defines a calendar spread as buying one delivery month and simultaneously selling another delivery month of the same futures contract.
- CME Group — AIR TRF Calendar Spreads FAQ — documents a same-product nearby/deferred one-to-one spread and a product-specific deferred-minus-nearby convention.
- CME Group — Grain Intramarket Spreads and Storage — describes an intramarket calendar spread as the price difference between two expiration months.
- CME Group — Understanding Bloomberg Credit Futures — shows leg-direction mapping and notes that a calendar-spread tick can differ from the outright minimum price increment.
The operational contract is Futures Calendar Spread version 2.0.0. Independent fixtures cover both quote orientations and directions, zero and negative futures prices, spread and leg-change identities, tick conversion, cost-only break-even, five exit-spread scenarios, five whole-spread rows, CSV structure and field-specific invalid inputs.
Continue the futures planning workflow
Compare broker products separately
The brokers below primarily offer leveraged forex or CFD products, not the exchange-futures calendar-spread model on this page. Verify symbol, contract size, price source, expiry, financing, margin and execution terms independently.
Risk warning and affiliate disclosure: Futures and leveraged derivatives are high risk, and losses can exceed the initial funds deposited. Links above are affiliate links; we may earn a commission at no extra cost to you. This calculator is educational and does not provide personalized advice.