I need some help please in how to calculate the Profit ( and Loss ) calculations for the 10 year, 5 year and 2 year Futures please Say the 10 year moves from 129.10 to 129.39 = ? The 5 year moves from 120.20 to 120.43 = ? The 2 year moves from 108.90 to 109.10 = ? I'm just trying to figure out what my overall P/L on these type of moves would be for the Various Financial Markets ( 30 year too ) Thank you for the help
Check the CME's website. They have the tick sizes listed for each product. http://www.cmegroup.com/trading/int...us-treasury-note_contract_specifications.html Best advice on any product details that fall under the cme, just google the symbol followed by cme...so for 10yr do "ZN cme" should get you right there usually.
Tick(s) * tick value * contract(s) = Gross P&L If it's to hold until maturity : https://www.cmegroup.com/education/files/understanding-treasury-futures.pdf
Thank ya'll both for your replies. K-Pia ..... So in my example for the 10 Year with a move from 129.10 to 129.39 , would the calculation be as followed ..... 19 x $15.62 x 1 contract = $296.78 ? Thank you for the help
#Contracts: 1 Tick size: 1/32 Tick Value: 15.625$ Point Value : 500$ Return: (129-129)*500$ + (39-10)*15.625$ .........: 453.125$ But there is a problem there ... 129.39 should be 130.07 ? No ? However it would be the same P&L. So we disagree with on the tick numbers. How did you get 19 ticks ? Ps: Didn't use my formula but it holds. You made 29ticks * 15.625$ * 1 contract. (129-129)*32+ (39-10) = 29 ticks Or (130-129)*32 + (07-10) = 29 ticks
I think you guys are falling victim to the whole decimal vs 1/32 convention. If your prices are decimalised, which appears to be the case (i.e. price looks like 129.10 and not 129-10 and you can't have prices like 129-39), you haven't made 29 "ticks" worth $15.625 (you've made 29/100s, not 29/32s). In this case just do everything in fractions of a point. Specifically, your PNL would be 0.29 * $500. In general, with all this fraction stuff, to avoid confusion, I always convert to fractions of a full point.
Thank you both for your help So would the 2 year being $7.81 and in 128ths .... Would it's Full 1 Point value be a fourth of $1,000 , so $250 ) ?
No, the point value of a two year note is $2000 (http://www.cmegroup.com/trading/int...us-treasury-note_contract_specifications.html)