The settlement process of stock trading includes two steps: liquidation and delivery. Confirm the amount of funds and securities receivable and payable by both parties through liquidation; Through delivery, the actual receipt and payment of funds and securities are completed. That is to say, the settlement of stock trading does not settle the floating gains and losses of holding stocks, and the gains and losses before holding stocks are all book floating gains and losses, which are irrelevant.
Different from stock settlement, stock index futures implement debt-free settlement system on the same day, also known as "mark-to-market" system. In layman's terms, it is to calculate the account once a day. Its practice is that after the daily trading, the computer of the settlement department of the futures company will settle the profits and losses, trading margin and handling fee of all contracts for investors according to the settlement price of the day, transfer the net accounts receivable and payable at one time, and increase or decrease the margin accordingly. Once the investor's margin balance is lower than the specified standard, he will receive a notice of additional margin, asking the investor to make up the margin in the account within the specified time; Otherwise, it will face a huge risk of being forced to close or even explode. Therefore, the daily "floating profit and loss" on futures orders is very important, which is related to whether investors' positions can be kept. Therefore, we should "mark the market day by day" and calculate the profit and loss every day. This requires investors to rationally allocate and manage their own funds, which is also the basic requirement for futures investors to survive and make profits.
There are two ways of futures settlement: one is "hedging one by one" settlement; The other is to settle accounts by "marking the market day by day". The accounts calculated by the first method include "floating profit and loss" and "carrying forward profit and loss one by one", which is a static profit and loss calculation method; The second method includes "mark-to-market closing profit and loss" and "mark-to-market profit and loss", which is a dynamic profit and loss calculation method. At present, both exchanges and futures companies adopt the second settlement method of "marking the market day by day" and cancel the settlement method of "hedging one by one".
The purpose of "marking the market" is to keep up with the changes in the market. To put it simply, "marking the profit and loss of the market" means settling the profit and loss every day, and making the profit and loss of the position fluctuate with the change of the market while the market price changes. If the position is opened on the same day, then the position price refers to the opening price. The "mark-to-market profit and loss" of buying positions is the difference between the settlement price and the opening price, and the "mark-to-market profit and loss" of selling positions is the difference between the opening price and the settlement price. If the position is opened on the previous trading day, the position price refers to the settlement price of the trading day before the settlement date, and the "mark-to-market profit and loss" is only related to the settlement price of two days, and has nothing to do with the price at the time of initial opening. The "mark-to-market profit and loss" of buying positions is the difference between the settlement price of the previous trading day and the settlement price of the previous trading day, and the "mark-to-market profit and loss" of selling positions is the difference between the settlement price of the previous trading day and the settlement price of the current day.
The following example illustrates the difference between mark-to-market profit and loss and floating profit and loss (to simplify the calculation, the handling fee is not considered).
situation
Suppose a customer opens an account with a capital of 500,000 yuan and buys five stock index futures contracts IF 16 12 one day. The opening price is 3 150 and the closing price is 3 135.
(1) After the first day of closing:
Floating profit and loss = (3135-3150) × 300× 5 =-2.25 (ten thousand yuan)
Balance of the day = 50-2.25 = 47.75 (ten thousand yuan)
Market value gain and loss = (3135-3150) × 300× 5 =-2.25 (ten thousand yuan)
Customer equity at the beginning of the period is 500,000 yuan, and customer equity at the end of the period is 50-2.25 = 47.75 yuan (ten thousand yuan).
(2) If the position is still open the next day, the settlement price is 3 170. After the market closes the next day:
Floating profit and loss = (3170-3150) × 300× 5 =+3 (ten thousand yuan)
Book balance of the day = 50+3 = 53 (ten thousand yuan)
Market value gain and loss = (3170-3135) × 300× 5 =+5.25 (ten thousand yuan)
Customer's equity at the end of the last trading day =47.75 (ten thousand yuan)
At the end of today, the book customer's equity = 47.75+5.25 = 53 (ten thousand yuan).
Therefore, if only one contract is considered (taking multiple orders as an example), the calculation method of floating profit and loss is "settlement price of opening price of the day", while the calculation method of daily mark-to-market profit and loss is "settlement price of the day-settlement price of the previous day".