OPT_SPREAD_APPROX(call_put_flag,fut_price1,fut_price2,strike,time, rate,volatility1,volatility2,rho)
OPT_SPREAD_APPROX models the theoretical price of a European option on the spread between two futures contracts.
call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
fut_price1 & fut_price2 are the prices of the two futures contracts.
strike is the strike price at which the option is struck
time is the initial maturity of the option in years.
rate is the annualized risk-free rate of interest.
volatility1 & volatility2 are the annualized volatility in price of the underlying futures contracts.
rho is the correlation between the two futures contracts.
OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.