From Traderpedia

Definition: In spread trading, the product of combining bids and/or offers from different calendar contracts of the same market. In options, implied volatility.

Bids and offers in individual futures contracts are combined to create additional liquidity in spread contracts, often at improved prices.

These are called "Implied In" prices.

Existing bids and offers in spread contracts are combined with bids and offers in individual futures contracts to create additional liquidity in other futures contracts. These are called "Implied Out" prices.

For market makers, implied prices allow relatively low risk spread contracts to generate liquidity in the underlying contracts. For market takers, implied prices mean more liquidity and better prices, whether trading spreads or the underlying contracts.

[edit] External links

For an FAQ about implieds, click the following CME link

For a presentation explaining the mathematics of how implieds are calculated and derived, click the following link