This study examines the intraday formation process of transaction prices and bid-ask spreads in the KOSPI200 futures market. By extending the structural model of Madhavan, Richardson, and Roomans (1997), we develop a unique cross-market model that can decompose spread components and explain intraday price formation for the futures market by using order flow information from the KOSPI200 options market, a market that is not only closely related to the futures market but also considered to be one of the most remarkable options market in the world. The results indicate that the model-implied spread and the permanent components of the spread resulting from informed trading tend to be underestimated without the inclusion of options market indicators. Further, the empirical results imply that trades of in-the-money (ITM) options, which have high delta values, generally incur a more adverse information cost component (the permanent component) of the futures market than those of out-of-the-money (OTM) options, which have relatively low delta values.