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

June 11th, 2015, 04:56 AM

mdsvtr

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 ?

I would think about it in another way: (converting to the decimal system is most intuitive in my opinion)

Price of 115'020 => 115.0625 in the decimal system (115 + 20/320)
price of 114'200 => 114.6250 in the decimal system (114 + 200/320)

So the range for the P&L calculation is 115.0625 - 114.6250 = 0.4400

Finally, the multiplier for this instrument is x1000 so you get a total gross P/L of 0.4400 x 1000 = 440$ (without commissions)

June 11th, 2015, 08:31 AM

What does 147.26 mean in terms of interest rates

Is there a formula to get to the more normal 2 percent

I have emailed the exchange three times over a month ago and not received a reply

here in Australia the interest rate futures are calculated by the inverse from 100 so 3% is 97

fairly straightforward but I am at a loss as to understand the 30 year bonds

Can anyone help please

June 13th, 2015, 11:50 AM

Fadi,

Thanks so much for taking the time to write out the Bond and Treasury numbers and calculations for me

I " Finally " understand the math behind it

I printed off what you wrote, and am going to go back through and work the numbers, to help familiarize myself with the math
I need to do something constructive over the weekend

Thank you again for the write up and for sharing

June 24th, 2015, 04:18 PM

oztrader25

What does 147.26 mean in terms of interest rates

Is there a formula to get to the more normal 2 percent

I have emailed the exchange three times over a month ago and not received a reply

here in Australia the interest rate futures are calculated by the inverse from 100 so 3% is 97

fairly straightforward but I am at a loss as to understand the 30 year bonds

Can anyone help please

Oz -- when you see "147.26" that means ZB is trading at 147 and 26/32nds....

June 25th, 2015, 05:30 AM

So is that one point four seven two six percent (%)

June 29th, 2015, 04:32 PM

Oz:

When you see the quote of 147-26 or 147.26, that just means Globex 30-year U.S. Treasury Bonds are currently trading (or have settled) at the final futures price of 147 and 26/32nds.

To extrapolate an implied or implicit yield -- that's a different story...

I have an Old School methodology that computes 147-26 to be an implicit bond yield of 3.434% -- there are spreadsheets available on the CME Group website that go into much more precise detail how to compute the bond yield for each basis point (which would be 1/32nd) move, up or down, in ZB price

July 8th, 2015, 09:54 PM

I just post the Excel spreadsheet I use everyday to convert to decimal for Treasuries ZF ZB ZN. It's no big deal just helpful while doing levels in ZF.

It's here

Download: Simple Excel spreadsheet for ZB ZF ZN conversion to decmial

No big shakes here just something I use to plot my levels on 5 yr notes, ZF, using rancho's tradeplan indy. Ron

Blash

Ronald J Cutaia Jr

November 29th, 2016, 01:49 AM

dano0726

Oz:

When you see the quote of 147-26 or 147.26, that just means Globex 30-year U.S. Treasury Bonds are currently trading (or have settled) at the final futures price of 147 and 26/32nds.

To extrapolate an implied or implicit yield -- that's a different story...

I have an Old School methodology that computes 147-26 to be an implicit bond yield of 3.434% -- there are spreadsheets available on the CME Group website that go into much more precise detail how to compute the bond yield for each basis point (which would be 1/32nd) move, up or down, in ZB price

Dano,

Can you elaborate a bit more on your "Old School" methodology...? Would love to learn more about this.

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

Discussion in Treasury Notes and Bonds

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