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My question comes from real word moves in the formentioned Products ( ZN 10-year, ZF 5-year and the ZT 2-year )

The P/L " moves " are as follows for the 3 .....

1. ZN ...... a move from 127.00 to 125.00

2. ZF ...... a move from 119.25 to 118.50

3. ZT ...... a move from 109.30 to 109.10

A fellow member on here ( dano0726 ) has helped me a lot, with certain Bond / Treasury calculation questions that I've had in the past.
Just wanted to give him a break on asking all 1,000+ of my Bond / Treasury questions

Thanks for the help in breaking down the numbers for these 3 trades
I appreciate it - Michael

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

You have to know the value of your points and the value of your ticks. In ZF and ZN a point is $1,000 and in all the treasuries I believe the tick size is based off various fractions of 1/32 of a point. In ZF it's 1/4 of 1/32 of a point, therefore the tick value is 1000/32/4= 7.81. In ZN it's 1/2 of 1/32, so 1000/32/2= 15.61. Now in ZT a point is $2,000, and a tick is 1/4 of 1/32, so 2000/32/4= 15.61 same as ZN. I believe I'm rounding these numbers off somewhat.

This also tells you that you need 128 ticks to equal a point in ZF, but just 64 ticks to equal a point in ZN. I agree that your examples are unclear because you're using decimals, but it appears that you're showing two points in ZN and 3/4 of a point in ZF. I'm not sure about ZT, maybe 1/5 of a point? I don't think you're supposed to use decimals for the price.

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Bonds are traditionally priced in 32nds
Each ZB point is divided in 32 smaller divisions or 1/32 = 0.03125 in the decimal system.

The price is usually written in this format 000'000
To the right of the apostrophe (') you have the fractions of the point.

So if you see a price of 145'240 it means 145 points and 240/320 of a point => 145.75 in the decimal system
Similarly 118'160 is equivalent to 118 points and 160/320 of a point => 118.5 in the decimal system

Now if you have a decimal price like 148.10 and you wish to convert that to 32nds price format you have to multiply 0.10 by 320 = 32 and your price would be 148'032 in this case.
This however is not a possible price for ZB futures on ECBOT. The tick size for that instrument being 10/320.

The possible prices for ZB are something like 148'000 148'010 148'020 ... 148'100 148'110 148'120 148'130 ... all the way up to '148'310 and then you switch to 149'000 and start all over again, 149'010 149'020 149'030 149'040 ... jumping each time by 10

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... and finally to come back to your specific question on ZT, ZF, and ZN

They follow the same logic as with ZB, except that they have a different tick size:
ZB -> 10/320 - and possible prices are something like 124'000 124'010 124'020 124'030 etc...
ZN -> 5/320 - and possible prices are something like 124'000 124'005 124'010 124'015 etc...
ZF -> 2.5/320 - and possible prices are something like 124'002 124'005 124'007 124'010 etc...
ZT -> 2.5/320 - and possible prices are something like 124'002 124'005 124'007 124'010 etc...

The multiplier is also sometimes different:
For ZB, ZN, ZF it is x1000 while for ZT it is x2000

To calculate your P/L on the above you have to do the following:
1. ZN from 127.00 to 125.00 = 2.00 points -> 2.00pts x 1000 = 2000$ (correct prices in 32nds are 127'000 to 125'000)
2. ZF from 119.25 to 118.50 = 0.75 points -> 0.75pts x 1000 = 750$ (correct prices in 32nds are 119'080 to 118'160)

3. ZT from 109.30 to 109.10 = 0.20 points -> 0.20pts x 2000 = 400$ (but this is not a very accurate and realistic situation since you cannot have 109.30 and 109.10 as prices for this instrument)
The closest prices possible would be 109.3046875 and 109.1015625 to give you a P&L of 406.25$

Do not round your decimals with bonds
The correct price in 32nds for point number 3 would be a move from 119'097 to 109'032

Cheers
Fadi

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