Settlement refers to the calculation and distribution of the trading margin, profit and loss, handling fees, delivery payment and other related funds of the customers who hold the future positions (whether trading on the same day or not) after the transaction ends on each trading day.
The daily settlement of customers by futures companies mainly includes the following contents:
(1) Transaction processing and position statistics. After trading every day, it is necessary to count what transactions have been made and how many positions have been held.
(2) Settlement management. Every day, the net amount of funds receivable and payable, such as profit and loss, margin and expenses, should be transferred, and the customer's rights and interests should be increased or decreased accordingly. The profit of the day is transferred to the customer's account; The loss of the day is deducted from the customer's account. The part of the trading margin at the settlement of the day that exceeds the trading margin at the settlement of yesterday shall be deducted from the customer's account; The trading margin at the settlement of the day is lower than that at the settlement of yesterday, and this part is credited to the customer account of the member. The handling fee is deducted directly from the customer's account.
(3) Risk management. Evaluate the risk according to the customer's margin occupation. After the daily settlement is completed, if it is found that the balance of available funds of the customer is lower than 0, the settlement result will be regarded as the margin notice issued by the futures company to the customer, and the negative number will be the margin amount. The futures company will issue an additional margin notice to the customer.
Every day, customers will receive the transaction statement from the futures company. A complete settlement document consists of three parts: the statement of capital status (including liquidation gains and losses), the transaction record table, the position summary table, and sometimes an additional margin notice is attached.
① The statement of fund status (including liquidation gains and losses) records the available funds, deposits and withdrawals, floating gains and losses, risk degree, handling fees, customers' rights and interests, liquidation gains and losses item by item, and margin occupation.
(2) The transaction record sheet records all the transaction details of the day, including transaction types, transaction directions, transaction prices, number of transactions, opening and closing positions, transaction costs, etc.
③ The position summary table records the position details as of today, including transaction type, transaction direction, delivery period, average position price, floating profit and loss, margin occupation, etc.
(4) When the available funds are negative, additional margin is required, and the settlement bill is accompanied by a notice of additional margin.
After the daily settlement, the futures company will timely send all the information of the customer's account, including the transaction settlement data and the margin notice, to the China Futures Market Margin Monitoring Center for the record.
See table 1 for an example of futures transaction statement.
Although the futures company is responsible for the settlement work every day, the computer will automatically send the settlement sheet to the customer after calculation, but it is very important for investors to understand how the "account" is calculated so that they can submit the statement in time when in doubt.
Table 1 Customer Futures Trading Settlement Daily
The account calculation of futures trading is more complicated than that of stock trading.
First of all, the settlement basis is the settlement price of the day. Then how is this settlement price determined?
According to the trading regulations, the settlement price of stock index futures on the same day refers to the weighted average price of the transaction price in the last hour of a futures contract according to the volume. The reasons for this are: first, to prevent possible market manipulation; The second is to avoid the daily settlement price deviating too much from the futures closing price and spot opening price.
If there is no transaction in the last hour of the contract, the weighted average price of the transaction price in the previous hour is the settlement price of the day. If there is still no deal during this period, push it forward for another hour, and so on. If the last transaction on the day of the contract is less than 1 hour from the opening time, the weighted average transaction price of the whole day shall be taken as the settlement price of the day. If there is no transaction on the contract day, the calculation formula of settlement price on that day is:
Settlement price of the day = settlement price of the previous trading day of the contract+settlement price of the benchmark contract-settlement price of the previous trading day of the benchmark contract.
Among them, the "benchmark contract" is the contract closest to the delivery month with transactions on that day. For newly listed contracts, the benchmark listing price is the settlement price of the previous trading day. If the benchmark contract is a delivery contract on the same day, the settlement price of delivery shall be the settlement price of the benchmark contract on the same day.
If the settlement price of the day calculated according to the above formula exceeds the daily limit price of the contract, the daily limit price shall be taken as the settlement price of the day. If the settlement price of the day cannot be determined by the above method or the calculated settlement price is obviously unreasonable, the settlement price of the day will be determined by the ownership of the transaction.
From this perspective, there is a significant difference between the settlement price of stock index futures and the closing price of the day. Investors must not take it for granted that the settlement price of stock index futures is the closing price.
Secondly, the "mark-to-market profit and loss" calculation method is adopted, and the daily settlement price of each futures contract is used as the basis for calculating the daily profit and loss. In the calculation of futures trading account, profit and loss calculation, equity calculation, position margin calculation, customer position risk calculation and available fund balance calculation are the five most basic contents.
A
Profit and loss calculation
According to the time of opening and closing positions, the calculation of profit and loss can be divided into the following four types: opening positions today and closing positions today. After opening positions today, opening positions will be converted into closing positions, closing positions on the previous trading day and continuing to close positions on the previous trading day. Various calculation methods are as follows:
1. If you open a position today and close it today, calculate the bid-ask spread.
2. If you don't open a position today, calculate the difference between today's settlement price and opening price.
3. If the position of the previous trading day is closed today, the difference between its closing price and the settlement price of the previous trading day shall be calculated.
4. If you continue to hold the position of the previous trading day today, calculate the difference between the settlement price of today and the settlement price of the previous trading day.
When calculating the price difference, be careful not to make a mistake in the direction of buying and selling. The specific calculation formula is:
Today's profit and loss = liquidation profit and loss+position profit and loss
Final profit and loss = average historical warehouse profit and loss+average current warehouse profit and loss
Position profit and loss = historical position profit and loss+opening profit and loss of the day.
The above item-by-item calculation can also be integrated into a formula and handed over to the computer for processing:
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) }× contract multiplier.
It should be noted that when calculating profit and loss, the selling price is always subtracted from the buying price multiplied by the number of lots and then multiplied by the contract multiplier.
situation
An investor held more than 10 of the Shanghai and Shenzhen 300 stock index futures contract in the previous trading day, and the settlement price of the contract in the previous trading day was 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 = (1510-1505) × 5+(151505) × 3+(1505)
= 205 (points)
Or:
Profit and loss of the day = (1510-1515) × 5+(15-1505 )× 8+(/)
= 205 (points)
Convert into funds:
Profit and loss of the day =205 points ×300 yuan/point = 6 1500 (yuan)
B
Calculate the equity, margin change and fund balance of the stock index futures contract on that day.
The fund balance is also called "available funds", and its calculation formula is:
Available funds = customer's equity-the total margin occupied by the position.
The calculation formula of customer's rights and interests on that day is:
Customer's equity = fund balance of the previous day+fund deposit and withdrawal of the current day+fund adjustment of the current day+liquidation profit and loss of the current day+floating profit and loss of the current day-transaction cost of the current day.
situation
After a customer opened an account in a futures company, the deposit received paid 5 million yuan, and he opened a position on August 1 day to buy 40 futures contracts of September SSE 50 index, with the transaction price of 1200 points; On that day, the customer sold 20 futures contracts closed by the index, and the transaction price was 12 15 points; The settlement price of the day is 12 10 point. Assuming that the margin rate of the transaction is 15% and the handling fee is 100 yuan per lot, the customer account is as follows (see Table 3-3):
Liquidation profit and loss of the day = (1215-1200) × 20× 300 = 90000 (yuan)
Profit and loss of positions on that day = (1210-1200) × (40-20 )× 300 = 60000 (yuan)
Profit and loss of the day =90000+60000= 150000 (yuan)
Handling fee = (40+20) × 100 = 6000 yuan.
Exercise on that day = 5000000+150000-6000 = 5144000 (yuan)
Margin occupancy =1210× 20× 300×15% =1089000 (yuan)
(Note: The deposit is calculated according to the settlement price of the day instead of the opening price)
Fund balance (funds that can continue to open positions) = 5 144000- 1089000.
= 4055000 yuan
Table 2 Fund Project Table
On August 2nd, customers bought 8 futures contracts of this index, and the transaction price was 1230 points. Subsequently, 28 contracts were sold in September, and the transaction price was 1245 points; Later, in September, 40 contracts were sold, with a transaction price of 1235 points. The settlement price of the day is 1260, and the account status is as follows (see Table 3):
Gain/loss of liquidation on that day = (1245-1230) × 8× 300+(1245-1210) × 20× 300.
=36000+2 10000
= 246,000 yuan
Profit and loss of positions held on that day = (1235-1260) × 40× 300 =-300,000 (yuan)
Profit and loss of the day = 246,000-300,000 =-54,000 (yuan)
Handling fee = 100×76=7600 (RMB)
Japanese right = 5144000-54000-7600 = 5082400 (yuan)
Margin occupancy =1260× 40× 300×15% = 2,268,000 yuan.
Fund balance (funds that can continue to open positions) = 5082400-2268000
= 28 14400 (yuan)
Table 3 Fund Project Table
On August 3rd, the customer bought and closed 30 lots, and the transaction price was 1250 points; Later, I bought 30 contracts in September, and the transaction price was 1270 points. The settlement price of the day is 1270 points. The account information is as follows (see Table 4):
Liquidation profit and loss = (1260-1250) × 30× 300 = 90000 (yuan)
Historical position gain and loss = (1260-1270) ×10× 300 =-30000 (yuan)
(Note: The cost price of the position contract is not the actual opening price 1235 points, but the settlement price of the previous day 1260 points. )
Opening profit and loss of the day = (1270-1270) × 30× 300 = 0.
Profit and loss of the day = 90000-30000+0 = 60000 (RMB)
Handling fee = 100× 60 = 6000 yuan.
Exercise on that day = 5082400+60000-6000 = 5136400 (RMB)
Margin occupancy =1270× 40× 300×15% = 2,286,000 yuan.
Fund balance (open trading fund) = 5 136400-2286000
= 2850400 yuan
Table 4 Fund Project Table
Of course, all the above calculations are automatically completed by the computer of the futures company. Only investors are allowed to understand the principle and method of calculation here.
There are many ways to query your daily transaction statement, mainly including:
(1) Website of China Futures Market Monitoring Center.
(2) The trading system used.
(3) The website of the futures company.
In the actual trading process, sometimes this happens: the price rises after opening a position at a low price on the same day, but the purchase price on that day is higher than the settlement price, and the mark-to-market profit and loss is negative, but in fact the transaction is profitable. This often confuses investors.
situation
Xiao Xu bought 10 lots of Shanghai and Shenzhen 300 stock index futures contracts within one month at 3684. However, when he opened the report and looked at the "results" carefully, Xiao Xu was somewhat puzzled.
"Based on the closing price of 3,684 points, the account should have a floating profit of 1.8 million yuan. How did it become a floating loss of 2 100 yuan? Is there an error in the settlement system of the futures company? " Xiao Xu said to himself.
"There is nothing wrong, it is your own fault." Qian Duoduo, a futures expert, smiled.
Now Xiao Xu is more confused.
Qian Duoduo said: "The settlement of futures is different from the settlement of stocks. The floating gains and losses of stocks are calculated at the closing price. For example, if you buy a stock at 10 yuan, the closing price is 10.50 yuan, and your profit per share is 50 cents. " Qian Duoduo explained: "Whether it is commodity futures or financial futures, investors' floating profits and losses are calculated according to the settlement price rather than the closing price. "
"You take a closer look at the closing price and settlement price of the contract. Although the closing price is 3690 points, the weighted average price of 1 hour is 3683.3 points. In other words, after the close of the day, the floating profit and loss on your books are settled at the price of 3683.3 points, not at the closing price of 3690 points. " Qian Duoduo said: "Your floating loss (3683.3-3684) × 300 yuan/point×10 lot =-2 100 yuan, which is consistent with the statement."
Xiao Xu asked: "Why should we calculate the floating profit and loss according to the settlement price? Isn't the closing price very good? "
"There are two reasons: one is to prevent the market from manipulating the closing price; The second is to avoid the daily settlement price deviating too much from the futures closing price and spot opening price. " Qian Duoduo said, "If the floating profit and loss is calculated by the closing price, it is possible for both bulls and bears to make the closing price favorable to them by pulling up or suppressing the closing price, and the floating profit and loss is calculated by the weighted average price of the last 1 hour, which increases the difficulty of manipulating futures prices."
"However, it should be noted that the instantaneous floating profit and loss during the trading period is calculated according to the real-time price in the session." Qian Duoduo further explained.