Futures Bid-Ask Spread: Read the Cost of a Fill
A tight futures spread can still hide too little quoted size for the order you want to place.
The futures bid-ask spread is the gap between the highest quoted buying price and the lowest quoted selling price for a contract. It helps explain execution cost, but it does not show how much can trade there. Before comparing a fill with a quote, check the exact contract month, quote time, order size and available depth.
Read both sides of the quote
The best bid is the highest displayed price at which someone is offering to buy. The best ask is the lowest displayed price at which someone is offering to sell. A last-traded price records a completed transaction; it is not another name for either current quote.
CME's liquidity-tool methodology describes an order book that changes as orders arrive, trade or are canceled. A screenshot therefore captures a moment. It cannot promise that the same price and quantity will remain when an order reaches the market.
Suppose a hypothetical contract has a bid of 100.00, an ask of 100.25 and a tick size of 0.25 price units. The spread is 0.25, or one tick. The midpoint is 100.125. That midpoint is a comparison benchmark, not evidence that an order could execute at that price.
Keep the contract month attached to the quote. Two months of the same futures product have separate order books. Our contract-expiration guide explains why identifying the month matters when a position is closed or rolled.
Calculate the spread in ticks and dollars
Start with the price difference, then convert it using the contract's tick size. To express the result in money, use its tick value. The futures tick-value guide explains how those contract specifications fit together.
| Calculation | Result |
|---|---|
| Ask 100.25 minus bid 100.00 | 0.25 price units |
| 0.25 spread divided by 0.25 tick size | 1 tick |
| 1 tick × hypothetical $5 tick value | $5 per contract |
| $5 × 3 contracts | $15 |
The $15 describes a simplified immediate round trip: buying three contracts at 100.25 and selling all three at 100.00, with unchanged quotes and enough quantity on both sides. It excludes commissions and other charges. No intervening market move is needed to produce that loss.
A midpoint comparison gives a different description of the same example. The purchase is half a tick above the midpoint and the sale is half a tick below it. Together they total one tick per contract. Do not charge a full spread to both legs and then call the result the same calculation.
Depth changes the cost of a larger order
A one-tick spread says nothing about whether the displayed best ask holds one contract or a hundred. CME's explanation of liquidity measures treats quoted size as an additional consideration alongside the gap between prices. A narrow gap with little size can behave differently from the same gap with substantial size.
Extend the hypothetical quote with this sell-side depth. Assume the book stays unchanged while the example order executes and its instructions permit these fills.
| Ask price | Contracts available | Contracts bought |
|---|---|---|
| 100.25 | 2 | 2 |
| 100.50 | 1 | 1 |
Buying three contracts produces an average price of (2 × 100.25 + 1 × 100.50) ÷ 3 = 100.3333, rounded. That is about one-third of a tick above the initial best ask on average. Across the order, the extra price cost is one contract-tick: $5 using the hypothetical tick value. This is additional to the initial gap between the best bid and ask.
The example isolates depth. In a real execution, prices and quantities may change before or during the fills. An average fill price can sit between valid individual price increments because it combines several executions. Inspect the individual fills before concluding that an invalid price traded.
Compare the quote with actual fills
A useful execution record keeps the reference quote and its time beside the order's side, quantity, instructions and individual fills. State the benchmark when describing slippage. A purchase measured against the best ask at submission is a different calculation from one measured against the midpoint or a price observed earlier.
A limit order can set a price boundary, but the quote alone does not establish that the order filled. For trigger conditions, partial fills and order protection, read the futures order-types guide. The execution report, including any remaining unfilled quantity, determines what position the order actually created.
Data access also matters to the comparison. Check whether the feed is real time and whether the view includes depth beyond the best prices. Level 1 versus Level 2 market data covers those access and billing questions. Paying for additional data does not reserve the displayed orders.
Historical averages describe a period, not your next fill
CME's Liquidity Tool user guide separates spread, book depth and cost-to-trade views. Select the contract, date range and time zone before comparing observations. A spread chart and a size-specific execution-cost measure answer different questions.
The methodology uses time-weighted observations and excludes closed-market periods from those averages. It also describes missing measures when the needed quotes or quantity are unavailable. A missing observation should not be read as a zero-cost execution.
For a resident of a different time zone, the trading session deserves particular attention. CME's lesson on liquidity and immediacy identifies trading hours as a factor to consider with the spread. An average for a broad period is not a guarantee about the minute when your order arrives.
Futures are leveraged instruments and losses can be substantial. This guide explains quotes and execution arithmetic; it does not recommend a trade or promise a fill. Check your broker's and prop firm's applicable rules separately.
Questions
What is a futures bid-ask spread?
It is the best ask minus the best bid for the same contract at a given time. Divide that price gap by the contract's tick size to express it in ticks.
Is a one-tick spread always cheap?
The money value depends on the contract's tick value and the number of contracts. Depth, changing quotes and fees can add to the execution cost.
Can an average fill price fall between ticks?
Yes. Multiple valid fills at different prices can produce an average between the individual price increments, as the three-contract example shows.
Does the midpoint guarantee a possible fill?
No. It is the average of the best bid and ask. A displayed midpoint alone does not show an available order at that price.
Sources
- CME Group: Understanding the CME Liquidity Tool Methodology
- CME Group: How Traders Measure Liquidity
- CME Group: Liquidity and Immediacy
- CME Group: Liquidity Tool User Guide
Official education pages checked October 23, 2026. All prices, quantities and dollar amounts in the worked examples are hypothetical.