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ZN, ZF and ZT trade P/L question......
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ZN, ZF and ZT trade P/L question......

  #1 (permalink)
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ZN, ZF and ZT trade P/L question......

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

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  #3 (permalink)
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what do you mean by 118.50? is it supposed to read 118'160 for instance?
Bonds/Treasuries are not priced in decimals as far as I know...

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Hi Fadi,

I'm quite new to Bonds and T-Notes , so my understanding of how they are computed / converted is a bit hazy

How does 118.50 become 118'160 ..... how did you convert this decimal ?

If I know the conversion protocol, then I will be able to confirm if this is " what I meant " :0

Again, I'm a newbie to Bonds

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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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Thank you Pariah Carey for your reply

I see that you're in Memphis,TN too

That's very cool, haven't seen to many members on here that are from my area

Do you trade as your main job/income ?

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And here's a quick method for configuring P/L on the Financials, that I saw on a youtube video .....

Symbol is ZB

a move from 115 2/32 to 114 20/32 = ( 114 34/32 ) minus 114 20/32 = 14/32 , which = 0-14 x $31.25 = $437

This math seem correct for the example given ?

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mdsvtr View Post
Thank you Pariah Carey for your reply

I see that you're in Memphis,TN too

That's very cool, haven't seen to many members on here that are from my area

Do you trade as your main job/income ?

I have been profitable for almost the last year but I'm a long way from quitting my day job. Which is fine because I like my day job, it's stimulating, gives me freedom and I can do it for a long time because I am self employed. I see trading as my retirement plan. Not in any hurry to strike it rich; if it takes 20 years, fine. Anything before that is gravy. Not sure if you're elite but if so check out my journal in the elite section. I trade the 5-year.

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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



mdsvtr View Post
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

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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