Spread trades and implied prices on the tape

Spread trades and implied prices on the tape explain many prints that do not match the bid and offer you see in an outright contract. An outright is a single futures expiry, such as December ES. A calendar spread is one order to buy one expiry and sell another. This note works through two invented ES examples, a direct spread trade and an implied match, and shows what each one leaves in time and sales. The note on time and sales explained with a real sequence of prints covers the tape itself.

How a calendar spread is priced

All numbers below are invented. In this note the spread price is the front month minus the back month. Each exchange sets its own quoting convention for each product, so check the contract specification before you read a real spread quote.

At 09:50:00 New York time the outright books look like this.

December minus March is about minus 50.00 points, so the spread trades near minus 50.00.

Example one, a direct spread trade

At 09:50:10, one trader buys 100 December March spreads from another trader at minus 50.00 in the spread book. Neither trader sent an order to the outright books.

The exchange reports three trades.

The exchange assigns the leg prices by its own rules. The two leg prices differ by the spread price. Here December prints at 5,050.25 and March at 5,100.25, which is minus 50.00 apart.

On the December tape, a 100 lot prints at the offer. A reader who watches only the December tape could take it for an aggressive buy of 100 contracts. The December offer at 5,050.25 still shows the same size after the print, because the trade did not come out of the outright book. The same 100 lot appears on the March tape at 5,100.25.

Example two, an implied bid

At 09:51:00 a different trader bids for 20 December March spreads at minus 50.00. That order says "buy December and sell March, as long as December is 50.00 points below March." The March book has 30 contracts bid at 5,100.00.

The exchange's implied engine combines the two orders. If a seller sells December at 5,050.00, the spread trader buys that December contract and sells March at 5,100.00 into the March bid. The difference is minus 50.00, which matches the spread bid. So the exchange shows an implied bid of 20 contracts at 5,050.00 in the December book. The size is 20 because the spread bid is the smaller of the two orders.

At 09:51:05, a seller hits the December bid for 20 contracts. The exchange reports these trades.

The December print is an ordinary sell at the bid. The March print takes 20 of the 30 contracts bid at 5,100.00, and the March bid drops to 10. A March tape reader sees 20 contracts trade at the bid, but no trader sent a sell order to the March book.

What leg prints do to volume, delta and footprints

Across the two examples, December traded 120 contracts and March traded 120. In each contract, 100 of the 120 came from a spread trade that did not trade against the outright book.

• A volume profile adds each leg print at its price, so the 5,050.25 row in December gains 100 contracts.
• Delta needs a side for each trade. A leg print from a direct spread trade has no aggressor in the outright book, so platforms treat it differently. One platform may count it as a buy because it printed at the offer, and another may leave it out.
• A footprint shows the same 100 contracts at 5,050.25 on whichever side the platform picked.

Leg prints are a common reason two platforms show different delta for the same bar. During roll week, traders move positions from one expiry to the next, and spread volume can be a large share of the total.

Implied prices in the spread book

Implied pricing also works in the other direction. A December offer and a March bid can combine into an implied bid in the spread book. Exchanges choose which products get implied pricing, so not every spread and outright pair has it. On a DOM, an implied bid looks like any other bid. Some feeds report implied size separately, and some platforms add it to the displayed total. The note on MBP and MBO data covers what a book feed reports at each price.

Spread trades on order flow platforms

Jigsaw daytradr lists futures and exchange-traded spreads among its markets, with a Depth & Sales ladder and a reconstructed tape. Quantower has historical time and sales in a multi-panel workspace, and ATAS has Smart Tape. This site has not verified how each platform marks leg prints or implied fills, so read the documentation before you compare two tapes. The glossary defines the aggressor side and the other tape terms in this note.

A check you can run

Pick one day in the last roll week for the contract you trade. Open the outright tape and the calendar spread tape side by side. Find five spread trades of 50 contracts or more, and look for a print of the same size in the same second on each outright tape. Write down whether your platform counted those leg prints in delta.