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Bond CALCULATION " Cheat Sheet " ??
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Bond CALCULATION " Cheat Sheet " ??

  #1 (permalink)
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Bond CALCULATION " Cheat Sheet " ??

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

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  #3 (permalink)
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md1933 View Post
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

You mean the tick value ?

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Your P&L will then be :

# of Contracts X ticks X tick value of the product

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md1933 View Post
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

Here's a sample Excel formula for ZN. Sorry I don't have the others as I never traded them.

The formula requires a 1) buy/sell 2) entry price 3) exit price (both entry and exit quoted as in the sheet) and it gives you PnL in ticks, which you can then multiply by the tick value.

Attached Files
Register to download File Type: xlsx ZN.xlsx (12.8 KB, 11 views)
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Thank you both very much for your help and replies
I really appreciate it

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rleplae and xplorer ,
I wanted to please ask you both, 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 both very much again for all of your help and time in helping me get through my rudimentary Bond Calculation phase

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md1933 View Post
rleplae and xplorer ,
I wanted to please ask you both, 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 = ? Tick value $31.25

2nd. The 10 Year , a move from 124.70 to 125.40 = ? Tick value $15.625

3rd. The 5 Year , a move from 117.05 to 117.27 = ? Tick value $7.8125

Thank you both very much again for all of your help and time in helping me get through my rudimentary Bond Calculation phase

I have put the 'minimum price fluctuations' (i.e. what the tick value is) above next to each instrument.

The best way to go about it now is to open up your trading platform, select the instrument you want and count the number of price intervals (ticks) from the start price to the end price. Multiply those ticks by the tick value and you're done.

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md1933 View Post
rleplae and xplorer ,
I wanted to please ask you both, 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 both very much again for all of your help and time in helping me get through my rudimentary Bond Calculation phase

151.10 would not be a valid price, the instrument price is changing in 1/32 increments
1/32 = 0.03125

which means price can go :
151 -> 151.03125 -> 151.0625 -> 151 .09375 etc

correct notation would be 151 -> 151'1 -> 151"2 -> 151"3

each 1/32 as explained by @xplorer is 31.25$
this is because one full point is 1000$ and 1000$/32 = 31.25$

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rleplae

So there's only 32 points in a point , therefore , if ZB moves say 26 ( 151'26 in this example ) , then that would mean a Profit of $650 ( $31.25 x 26 ) ?


My only question now is , assuming a move of 26 Ticks for both the 5 , 10 and 2 year ......... What would the Profit be for these three ?

For the 10 year , would it be the 26 ticks x $15.625 = $406.25 ?

For the 5 year , would it be the 26 ticks x $$7.8125 = $203.125 ?

And then the 2 year would be ........ 26 ticks x $7.8125 ( BUT x 2 ) = $406.25 ( so the same profit as the 10 year )?

Thank you again for all the help

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