Bid–Ask Spreads in Futures Markets and When They Widen
Summary
The document corrects the claim that futures markets have no bid–ask spread. It explains how bids and offers at different prices form a spread in the central order book: after orders at the same price trade, a buyer may need to pay the next offer while a seller receives the best remaining bid. Liquid contracts can have a spread of one tick, while less liquid contracts may show several ticks.
The responses describe conditions that can widen spreads, including market distress, fast-moving data releases, late trading hours for Bund futures, and the days before contract expiry. They also note that rapidly changing prices or delayed market data can make the spread appear narrower than it is. These are illustrative observations rather than a systematic study, and spread size varies by contract and market conditions.
Key ideas
- Futures markets have bid and ask prices, even when the spread is very narrow.
- A central order book matches orders, and the best remaining bid and offer determine the spread.
- Spreads can widen during market stress, data releases, thin trading periods, and near expiry.
- Delayed market information can make a changing spread look smaller than it is.
Tags
Full text
# Why there is no Bid Ask Spread in Futures Markets? # Why there is no Bid Ask Spread in Futures Markets? I heard that there is no bid-ask spread in futures markets. Could anyone explain why there would be no difference between the selling and buying price of a futures contract? Thanks in advance! ## Answer by Jan Stuller (score 6, accepted) https://quant.stackexchange.com/a/58036 There is usually always at least 1-tick spread. I used to trade Bund and Treasury futures: For example there could be 500 bids for Bund futures at price 173.11, 800 at price 173.10, whilst there are 250 offers at 173.11 and 700 at 173.12. The 250 buy and sell orders at 173.11 clear immediately, then there would be 250 bids left (out of the original 500) at 173.11 and there would 700 offers at 173.12. If you wanted to buy, you'd have to pay 173.12, if you wanted to sell, you'd have to sell at 173.11. In market distress, the bid-offer spread can easily widen to 5 ticks. During market data releases, algos take over and the price changes so quickly that a human trader has no chance to execute effectively. Also, for Bund futures, the bid-offer spread widens in the last hour of trading (9pm to 10pm european time). Additionally, the Bund and Treasury futures contracts expire in March, June, Sep, Dec each year: the last couple of days before expiry, the bid-offer spread can also widen. ## Answer by JoshK (score 4) https://quant.stackexchange.com/a/58045 This is incorrect. There is always a bid/ask spread in futures markets. Futures are different from equities in that there is only one market that can trade them. That guarantees that there is one central location with one book that is always unlocked (and uncrossed). ## Answer by JohnAllen (score 0) https://quant.stackexchange.com/a/82029 There is a bid ask spread. It can just be very small in the most liquid futures contracts like NQ. Sometimes it can seem like there is less than a 1 tick spread as the price moves up and down and you are seeing slightly delayed info. In most futures contracts there will be a multi-tick spread.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.