Bond Profit Calculation Help needed please .....

M

md2324

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
 
md2324 said:
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
More...
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
 
md2324 said:
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
More...
#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
 
Last edited:
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 ) ?
 
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