Hi , Can someone please provide a Link to and or a PDF that has the Bonds and the breakdown of how to calculate the P&L of each of the 4 major ones ( ZB,ZN,ZT and ZF ) ?? I would be most grateful .......... I'm having trouble Calculating these on the fly Thank you for the help
Those look like futures tickers. Are you asking about the futures on those instruments, or the instruments themselves?
Those are futures. All multipliers are 1000, except for ZT, which is 2000. They have different ticksizes which makes it a bit annoying. They are quoted in 1/32, meaning per future it's $31.25 per '010, except for ZT, which is $62.50 per '010 Tick size ZB = 1/32, each tick = 31.25 per future But generally.. if ZB/ZN/ZF move by 1/32 ('010) it's 31.25 and for ZT it's 62.50 EDIT. Actually the ticks are smaller for ZN: 1/64 and ZF/ZT: 1/128 just to keep it simple... but if you calculate in 1/32's it's a bit easier. Just think as 1/32 as a full tick... and ZN has half ticks... and ZF/ZT have quarter ticks... I can see where you get into trouble, it's f^&kin annoying ...
Overnight , the Futures for these Instruments please JackRab , Thank you very much for the breakdown for the various contracts
JackRab , what please , is the Contract value of each of the 4 contracts please ? Meaning ........ if say ZT moves 1.4 of a point , how much in real dollars would that equal ? Thank you again for all of your help
Well.. that's the problem.. it's not quoted in points, but points and 1/32s. So currently ZT is at 107'207 (actually 107'2075) bid... which is 107 and 20.75/32.. so in normal quotation that would be 107.6484375 Underlying contract size is 2.000 for ZT (the others is 1.000) so 2000 x 107.6484375 = 215.296,88 USD... I don't know what you mean in this case by the 1.4 points... because the price doesn't go beyond '320... which means 107'320 = 108'000 since 32/32=1... So one full point = 2k USD 16/32 point... so.. 000'160 = 1000 USD For say ZN, price is now 125'050 = 125 5/32... at 1.000 underlying value thats 125.156,25 USD value. Full point - 1k USD, 16/32 = 500.. 1/32=31.25
JackRab , I wanted to please ask you , what the Profit would be , for the following three ( Current / Real life trades ) 1st. The 30 Year , a move from 151.10 to 154.49 = ? 2nd. The 10 Year , a move from 124.70 to 125.40 = ? 3rd. The 5 Year , a move from 117.05 to 117.27 = ? Thank you very much again for all of your help and time in helping me get through my rudimentary Bond Calculation phase