Where does the 1.63 coefficient in the spread comes from?

Options & Futures
1

see title

2

Hi Alex,



The 1.63 is the hedge ratio or the relationship between two instruments.



To calculate that, you can run a linear regression and fit a line to it. The slope of the line is the hedge ratio or regression beta or 1.63.



You can refer to this unit for more details: https://quantra.quantinsti.com/startCourseDetails?cid=55&section_no=2&unit_no=6#course_type=paid&unit_type=Video



Thanks