Interest Rate " Price Change " help ....

June 19th, 2015, 01:30 PM

I will admit, that I have had help from members on here, to help me wrap my brain around Bonds and T-Notes and the way that they are calculated to figure out the PnL is , based on the price change for each.

I have noticed that certain financial websites, have different ways in which they post the price changes for Bonds and T-Notes

So I am trying to take all of these different ways that they can be written, and keep them in my notebook, so that I can quickly refer to it when I see these price changes written in there various formats ( I have attached a screenshot showcasing the examples below )

For example:

the ZB shows a price change of 0.5312
ZN shows 0.25
ZT shows 0.0469

First, what would be the Dollar amount made/lost from the 3 formentioned symbols be?

Second , using ZB and the price change of 0.5312 ..... could this also be written as , 0-53 OR 0'53 ?
and it could be written as 0-25 OR 0'25 for ZN ?

Sorry for my ignorance ,
just trying to get it set in stone the way that the price changes for Bonds and T-notes can be written

June 19th, 2015, 03:16 PM

For ZB (30 Year US Bond), prices are quoted in 32nds of a point. So, a price of 128-17/32 (or just 128-17) would be the decimal equivalent of 128.53125. The value of one full point is $1000, so a move from 128-00 to 128-17 would be $531.25.

For ZN (10 Year Note), prices are quoted in 32nds and halves of 32nds. So, a price of 126-19 1/2 would be the decimal equivalent of 126.609375. The value of one full point is $1000, so a move from 126-00 to 126-19 1/2 would be $609.38.
In your example, a price change in ZN of .25 would be 8/32, or $250.00.

For ZT, (2 Year Note), prices are 32nds and quarters of 32nds. So, a price of 109-14 1/4 (or 109-142) would be the decimal equivalent of 109.4453125. The value of one full point is $2000, so a move from 109-00 to 109-14 1/4 would be $890.63.
In your example, a price change in ZT of .0469 would be 1.5/32, or $$93.75.

[Hopefully I got all the math right!]

June 19th, 2015, 05:22 PM

Coastline,

Thanks so much

Really appreciate you calculating those out

Interest Rate " Price Change " help ....

Discussion in Treasury Notes and Bonds

Interest Rate " Price Change " help ....