The settlement of futures trading is generally divided into two levels:
One is the clearing member of the exchange; The other is the settlement between member companies and the customers they represent.
Because the margin trading in futures trading has the characteristics of small and wide. In a sense, futures settlement is one of the most important means of futures risk control. The exchange shall open a unified settlement fund account in the bank, and the members shall open a settlement account in the settlement institution of the exchange, and the transactions of the members in the exchange shall be uniformly settled by the settlement institution of the exchange.
The core content of futures settlement business is the daily mark-to-market system, that is, the daily debt exemption system, which specifically includes the following aspects:
(1) floating gain and loss:
It is the settlement institution that calculates the floating profit and loss of members' open contracts according to the settlement price of the day's transactions. The formula is as follows:
Floating profit and loss = (settlement price of the day-opening price) * contract unit * position handling fee.
If it is positive, it means that the bulls are floating profits or the bears are floating losses. Negative values are just the opposite.
(2) Actual profit and loss:
The profit and loss realized by liquidation is the actual profit and loss. Most futures trading is learned in the usual way. The formula is as follows:
Actual profit and loss of bulls = (closing price-bid price) * contract unit * position handling fee.
Actual profit and loss of short position = (selling price-closing price) * contract unit * position handling fee.
Below, I will tell you about the profit and loss of positions, the difference between the profit and loss of the market and the total profit and loss:
Let's look at the "profit and loss of marked positions" first: there are two situations. First, if you close your position on the same day, then:
Position profit and loss = closing price-opening price
Whether it is profit or loss depends on your buying price or selling price. If you buy when you open a position and the closing price is higher than the opening price, then you are profitable. If you sell when you open a position and the closing price is higher than the opening price, then you are losing money. On the other hand, if you buy when you open a position and the closing price is lower than the opening price, then you are losing money; If you sell when you open a position and the closing price is lower than the opening price, then you are making a profit. If the warehouse of one of your scales was not built on the same day, it is a historical warehouse. Then your opening profit and loss = closing price-yesterday's settlement price Whether it is profit or loss depends on your closing price or yesterday's settlement price. If you buy when you open a position and the closing price is higher than yesterday's settlement price, then you are profitable. If you sell when you open a position and the closing price is higher than yesterday's settlement price, then you are losing money. On the other hand, if you buy when you open a position and the closing price is lower than yesterday's settlement price, then you are losing money; If you sell when you open a position and the closing price is lower than yesterday's settlement price, then you are making a profit.
Let's look at "mark-to-market profit and loss": there are two situations. First, if the position is closed on the same day, then this operation is not "mark-to-market profit and loss".
If you don't open your position on the same day, there will be "mark-to-market gain and loss" = settlement price-opening price. Whether it is a profit or a loss depends on your settlement price and opening price of the day. If you buy when you open a position, and the settlement price on that day is higher than the opening price, then you are profitable. If you sell when you open a position, and the settlement price on that day is higher than the opening price, then you are losing money. On the other hand, if you buy when you open a position, and the settlement price on that day is lower than the opening price, then you are losing money. If you sell when you open a position and the settlement price on that day is lower than the opening price, then you are making a profit.
Finally, there is "total profit and loss"
On the one hand: total profit and loss = closing price-opening price. Whether it is profit or loss depends on your buying price or selling price. If you buy when you open a position and the closing price is higher than the opening price, then you are profitable. If you sell when you open a position and the closing price is higher than the opening price, then you are losing money. On the other hand, if you buy when you open a position and the closing price is lower than the opening price, then you are losing money; If you sell when you open a position and the closing price is lower than the opening price, then you are making a profit. On the other hand: total profit and loss = market value profit and loss+position profit and loss. Whether it is profit or loss, we can see whether the total profit or loss is positive or negative. To illustrate the problem, give a simple example.
For example, yesterday at 0 10405, you sold 1 gold short. Suppose the transaction price of the gold you sold yesterday was 260 yuan/gram, yesterday's settlement price was 255 yuan/gram, and today's settlement price was 265 yuan/gram. Then there are several possibilities.
(1) If you reverse the operation before yesterday's closing, that is, you bought 1 hand gold yesterday and closed the position, assuming your buying price is 258 yuan/gram, then your profit is 2 *1000 = 2,000 yuan. So your profit of 2000 yuan belongs to "position gain and loss" or "mark-to-market gain and loss"? Look clearly, the profit of 2000 yuan here is the profit and loss of the position. And it is profitable.
(2) If you didn't close your position yesterday. So you didn't pay attention to the position profit and loss yesterday, only one paid attention to the market profit and loss. That is, (255-260)* 1000=5000, which is a profit, that is, +5000.
(3) If you haven't closed your position today, then you haven't marked the profit and loss of your position today, only the profit and loss of the market. That is, (265-255) *1000 =10000 is a loss, that is,-10000.
(4) If you close your position tomorrow, the closing price, that is, your buying price, is 263 yuan. Then you don't mark the market profit and loss tomorrow, only one is to mark the position profit and loss. That is, (263-265)* 1000=2000, which is a profit, +2000.
(5) So if it is held from yesterday to tomorrow, the total profit and loss =(263-260)* 1000=3000, which is a loss. On the other hand, from the total profit and loss = mark-to-market profit and loss+mark-to-market profit and loss =5000- 10000+2000=-3000, there is a loss.
The difference between mark-to-market profit and loss and floating profit and loss is that if only a single contract is considered (taking multiple contracts as an example), floating profit and loss is the "settlement price of the opening price of the day"
The daily mark-to-market profit and loss is: "the settlement price of the day-the settlement price of the previous day".
Futures profit and loss settlement? abstract:
1. Take the copper futures 1 hand invested by investors as an example (assuming that the copper price is 60,000 yuan per ton at this time), then the funds will be divided into two parts: one part is the settlement reserve of 70,000 yuan, which is used to bear the profits and losses, and will be settled after the daily closing and transferred according to the profits and losses; One is a trading margin of 30,000 yuan, which is essentially like a deposit. The settlement reserve will not be used until it is used up.
2. Futures settlement shall be conducted by daily debt-free system, and settlement shall be completed in about 15 minutes after daily closing.
3. Futures exchange is the counterparty of all buyers and sellers, and there is no direct trading relationship between buyers and sellers.
4. The futures exchange shall be responsible for the credit status of the member futures companies. When a member company fails to pay the loss in time for some reason, the futures exchange must pay for it and form the right of recourse against the futures company. The same is true for futures companies to their customers.
I. Settlement of Futures Trading
In the futures market, there are three ways to complete futures trading: hedging liquidation, physical delivery and cash delivery. Accordingly, there are three settlement methods.
1, hedge liquidation. Refers to buying positions, selling positions (buying up), or selling positions and buying positions. Most contracts in futures trading are settled in this way.
Settlement result:
Profit and loss = (selling price-buying price) * contract quantity * contract unit-handling fee
Or = (buying price-selling price) * contract quantity * contract unit-handling fee.
2. physical delivery. It accounts for 1-3% of the total number of contracts, which ensures that the futures price truly reflects the actual spot price of the traded goods and provides the possibility for hedgers to participate in futures trading. Therefore, physical delivery is very important. Settlement result: the seller will hand over the bill of lading and sales invoice to the buyer through the settlement department or settlement company of the exchange, and collect all the payment at the same time.
3. Cash settlement. Stock index futures contracts shall be settled in cash when they expire.
Second, the transaction settlement business
1. The daily debt-free settlement system-also known as mark-to-market day by day-refers to the exchange's settlement of all contracts' gains and losses, trading deposits, handling fees and taxes according to the settlement price of the day after the daily trading, and the net transfer of receivables and payables is implemented, and the settlement reserve of members is increased or decreased accordingly.
2. Settlement price-refers to the price of a futures contract on the same day weighted by the volume. If there is no transaction price on that day, the settlement price of the previous trading day shall be the settlement price of that day.
3. Calculation formula of profit and loss of the day
● 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
Average historical warehouse profit and loss = ∑ [(selling closing price-settlement price on the last trading day) × selling liquidation amount]+∑ [(settlement price on the last trading day-buying liquidation amount) × buying liquidation amount]
Average profit and loss of the day = ∑ [(selling opening price of the day-buying opening price of the day) × selling opening price]+∑ [(selling opening price of the day-buying opening price of the day )× buying opening price]
● Position profit and loss = historical position profit and loss+opening profit and loss on the same day.
Historical position profit and loss = ∑ [(settlement price of the previous day-settlement price of the current day) × historical selling position]+∑ [(settlement price of the current day-settlement price of the previous day) × historical buying position]
Opening profit and loss of the day = ∑ [(selling opening price-settlement price of the day) × selling opening amount]+∑ [(settlement price of the day-buying opening price) × buying opening amount]
4. Calculation formula of trading margin
Margin for buying position (yuan) = buying position (hand) × buying margin rate × settlement price of the day (yuan/ton) × contract unit (ton/hand)
Margin for selling position (yuan) = [selling position (hand)-warehouse receipt offset (hand) ]× selling margin rate× settlement price of the day (yuan/ton )× contract unit (ton/hand)
5. Calculation formula of settlement reserve:
Balance of provision for settlement on the current day = balance of provision for settlement on the previous trading day+trading margin on the previous trading day-trading margin on the current day+actual available pledge amount on the current day+profit and loss on the current day+trading margin-transaction fee+other funds, etc.
Calculation formula of transaction cost: = ∑ [volume (lot) × contract transaction cost (yuan/lot)]
For example, customer A bought 200 lots of A050 1 contracts, and the transaction price was 27 10 yuan/ton. On the same day, he sold 100 lots of A050 1 contracts, and the transaction price was 2750 yuan/ton. On that day, the settlement price of A050 1 contract was 2734 yuan/ton. The trading margin ratio is 8%, and half of the Kaiping warehouse fee will be charged on the same day. What is the settlement reserve of securities firms after settlement on the same day?
Trading margin = (200- 100) hand × 10 ton/hand× 2734 yuan/ton × 7% = 19 1380 yuan.
Profit and loss of liquidation = 100 lot × 10 ton/lot × (2750-27 10) yuan/ton = 40,000 yuan.
Profit and loss of positions = 100 lot × 10 ton/lot × (2734-27 10) yuan/ton = 24,000 yuan.
Today's profit and loss = liquidation profit and loss+position profit and loss = 40000+24000 = 64000 (yuan)
Transaction fee = (200+ 100) hand× 4 yuan/hand-100× 2 hand× 2 yuan/hand = 800 yuan.
The formula for calculating the price limit is:
Limit price = settlement price of the previous trading day ×( 1 limit range)
Limit price = settlement price of the previous trading day ×( 1- limit price range)
Calculation formula of settlement reserve balance:
Balance of settlement funds on the current day = balance of settlement reserve on the previous trading day; Trading margin of the previous trading day-profit and loss of current trading margin-withdrawal-handling fee.
Calculation formula of profit and loss of the day:
Profit and loss of the day = closing profit and loss.
Final profit and loss = historical profit and loss are equal, and current profit and loss are equal.
Average historical warehouse profit and loss = ∑ [(selling closing price-settlement price on the last trading day) × selling liquidation amount] ∑ [(settlement price on the last trading day-buying liquidation price )× buying liquidation amount]
Average profit and loss of positions held on the same day = ∑ [(selling closing price on the same day-buying opening price on the same day) × selling closing amount] ∑ [(selling opening price on the same day-buying closing price on the same day )× buying closing amount]
Position profit and loss = historical position profit and loss, opening profit and loss on the same day.
Historical position profit and loss = (settlement price of the current day-settlement price of the previous day) × position.
Opening profit and loss of the day = ∑ [(selling opening price-settlement price of the day) × selling opening quantity] ∑ [(settlement price of the day-buying opening price )× buying opening quantity]
Profit and loss of the day = ∑ [(selling price-settlement price of the previous day) × selling quantity] ∑ [(settlement price of the current day-settlement price of the current day )× buying quantity] (settlement price of the previous trading day-settlement price of the current day )× (selling position of the previous trading day-buying position of the previous trading day)
The calculation formula of the trading margin of the day:
Trading margin of the day = settlement price of the day × total position after the end of the day × trading margin ratio.
Example:
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 (/kloc-)
Futures margin = trading margin of settlement reserve
Settlement reserve: funds not occupied by futures contract transactions.
Trading margin: funds occupied by prepared contract transactions.
Calculation of futures floating profit and loss;
Multiple single floating profit and loss = (settlement price/current price-bid price) * number of positions * number of lots; ; Floating profit and loss of empty orders = (selling price-settlement price/current price) * number of positions * number of lots.
Balance of settlement reserve on the current day = balance of settlement reserve on the previous trading day; Trading margin of the previous trading day-profit and loss margin of the current trading margin-withdrawal-handling fee (etc. )
Today's profit and loss = liquidation profit and loss:
(1) Liquidation profit and loss = historical warehouse profit and loss, current warehouse profit and loss.
Average historical warehouse profit and loss = (selling closing price-settlement price on the last trading day) x selling closing amount or (settlement price on the last trading day-buying closing price) x buying closing amount.
The profit and loss of the current warehouse = (the closing price of the current day-the opening price of the current day) x the closing amount of the current day or (the opening price of the current day-the closing price of the current day) x the closing amount of the current day.
(2) Position profit and loss = historical position profit and loss; Profit and loss of opening positions on the same day.
Historical position profit and loss = (settlement price of the day-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 amount or (settlement price of the day-buying opening price) x buying opening amount.
Today's trading margin = today's settlement price x total position after the end of the day's trading x trading margin ratio.
[case]
A new customer, after receiving the deposit, bought 40 lots of soybean futures contracts (65,438+00 tons each) on April 65,438+0, and the transaction price was 4,000 yuan/ton. On the same day, the customer closed his position and sold 20 lots of soybean contracts, with a transaction price of 4030 yuan/ton, a settlement price of 4040 yuan/ton on the same day, and a trading margin.
Closing profit and loss =(4030-4000)x20x 10=6000 yuan.
Profit and loss of positions = (4040-4000) x (40-20) x10 = 8000 yuan.
Profit and loss of the day =6000 8000= 14000 yuan
Provision for settlement on that day =100000-4040x2x10x5%14000 = 73600 yuan.
On April 2, the customer bought another 8 lots of soybeans, with the transaction price of 4030 yuan/ton and the settlement price of 4060 yuan/ton. The account status is as follows:
Opening profit and loss of the day =(4060-4030)x8x 10=2400.
Historical position profit and loss =(4060-4040)x20x 10=4000
Profit and loss of the day =2400 4000=6400
Balance of provision for settlement on that day = 73600 4040x20x10x5%-4060x28x10x5% 6400 = 63560 yuan.
By April 3rd, all customers had closed 28 contracts of soybeans, with a transaction price of 4,070 yuan/ton and a settlement price of 4,050 yuan/ton that day. The account status is as follows:
Closing profit and loss =(4070-4060)x28x 10=2800
Balance of provision for settlement on that day = 63560 4060x28x10x5% 2800 =123200 yuan (futures are settled without liabilities on that day, and daily gains and losses are included in the provision for settlement. )