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# Bond CALCULATION " Cheat Sheet " ??

Discussion in 'Financial Futures' started by md2324, Nov 2, 2017.

1. ### md2324

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

2. ### Overnight

Those look like futures tickers. Are you asking about the futures on those instruments, or the instruments themselves?

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3. ### JackRab

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 ...

Last edited: Nov 2, 2017
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4. ### md2324

Overnight ,
the Futures for these Instruments please

JackRab ,
Thank you very much for the breakdown for the various contracts

5. ### md2324

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

6. ### JackRab

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

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7. ### md2324

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

8. ### JackRab

3.390, 700, 220

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