Two, the daily profit and loss of futures refers to the profit and loss of futures contracts calculated at the settlement price of the day. The profit of the day is included in the member settlement reserve, and the loss of the day is deducted from the member settlement reserve.
Futures contracts take the settlement price of the day as the basis for calculating the profit and loss of the day.
Today's profit and loss = liquidation profit and loss (marked to market day by day)+position profit and loss (marked to market day by day)
(1) Closing profit and loss (mark to market day by day) = average historical profit and loss+average current profit and loss.
Average historical warehouse profit and loss = ∑ (selling closing price-settlement price on the last trading day) x selling liquidation amount+∑ [(settlement price on the last trading day-buying closing price) x buying liquidation amount]
Average profit and loss of the day = ∑ [(selling closing price of the day-buying opening price of the day) x selling closing price]+∑ [(selling opening price of the day-buying closing price of the day) x buying closing price]
(2) Position profit and loss (mark to market day by day) = historical position profit and loss+opening profit and loss on the same day.
Historical position profit and loss = (settlement price of today-settlement price of the previous day) x position.
Opening profit and loss of the day = ∑ [(selling opening price-settlement price of the day) x selling opening quantity]+∑ [(settlement price of the day-buying opening price) x buying opening quantity]
To sum up, the total profit and loss formula of the day is:
Profit and loss of the day = ∑ [(selling price-settlement price of the day) × selling quantity]+∑ [(settlement price of the day-buying price )× buying quantity]+(settlement price of the previous trading day-settlement price of the day) × (selling position of the previous trading day-buying position of the previous trading day)
The profit and loss of the day are transferred at the time of settlement, and the profit is included in the settlement reserve, and the loss is withdrawn from the settlement reserve.
Give examples. An investor holds a stock index futures contract 10 on the last trading day, and the settlement price on the last trading day is 1500 points. On that day, the investor bought 8 long positions in the contract at the transaction price of 1505, and sold 5 positions at the transaction price of 15 10. The settlement price of the day is 15 15, so the profit and loss of the day is calculated as follows:
Profit and loss of the day = (1510-1515) × 5+(15-1505 )× 8+(/)
If the contract multiplier of the contract is 300 yuan/point, the investor's profit and loss on that day is 205 points ×300 yuan/point =6 1500 yuan.