Spread margin is a deposit requirement, not a risk limit. Position size must reflect the basket’s dollar sensitivity and the cash needed if the relationship moves the wrong way.
Calculate one-basket exposure
Write each leg quantity times its contract multiplier and price change. For matching 5,000-bushel contracts, a one-cent-per-bushel move in a 1:1 calendar spread is $50 per pair before costs. A 1:−2:1 butterfly has four contract units and its own basket move; never size it from a one-leg quote alone.
Use adverse movement, not only close-to-close loss
Inspect the largest historical interim move against the position, then consider a stress move beyond that sample. A trade that later recovered might still have required variation cash while open. Plan size against available risk capital and margin calls, not merely the average winning trade.
Confirm current margin
Ask the broker for initial, maintenance and house margin for the exact products, months and ratios. Spread credits depend on eligibility and can change. If the legs are entered separately, there may be temporary outright requirements and execution exposure.
Define the position limit
Choose a maximum acceptable dollar loss per idea, include execution costs and divide by a realistic per-basket stress loss. Recheck the limit when the spread changes, volatility rises or contract liquidity falls. Do not increase size simply because a ranking shows a high historical win rate.
Research the exact spread
Compare dated legs, historical years and current market conditions before using an average curve.
Open Futures Spread Analyzer →Frequently asked questions
Is margin my maximum possible loss?
No. Futures losses can exceed the amount posted as margin.
Can equal contract counts balance two commodities?
Not necessarily. Contract sizes, quote units and volatility can differ.
Exchange references
Confirm current specifications, listed combinations and margins with the exchange and broker.
Continue the Futures Spread Trading Strategies series
Also see Calendar Spread Trading, Intercommodity Spreads and Butterfly Spreads.
Test the structure yourself
Inspect individual years, trading windows and the full basket before making a decision.
Explore the Analyzer →Educational material only, not investment advice. Illustrative examples exclude trading costs unless stated. Historical results do not guarantee future performance.