Calculation method of futures settlement price
1, formula for calculating the balance of reserve for futures settlement
The balance of settlement reserve is the settlement reserve of the current day = the deposit of settlement reserve of the previous trading day-the trading deposit of the previous trading day-the profit and loss of the trading deposit of the current day-the handling fee, etc.
2, futures profit and loss calculation formula
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Profit and loss of the day = closing profit and loss.
(1) Futures liquidation profit and loss = average historical warehouse profit and loss and daily warehouse profit and loss.
Historical warehouse profit and loss = α (closing price of sales-closing price of the last trading day) * sales volume (closing price of the last trading day-closing price of buying) * closing amount of buying.
Weekly warehouse profit and loss = attending (closing price of the day-opening price of the day) * closing price of the day.
(2) Position profit and loss = historical position profit and loss and opening profit and loss of the day.
Historical position gain and loss = (today's settlement price-the previous day's settlement price) * position.
Today's futures opening profit and loss = ⑩ (selling opening price-settlement price of the day) * selling opening amount.
Combined with the above formula, we can form a general formula for the profit and loss of futures on the same day:
Today's futures profit and loss = α (sales transaction price-settlement price of the day) * sales volume. Attending (settlement price of the day-purchase transaction price) * purchase amount).
3. Calculation formula of futures trading margin.
Futures trading margin of the day = futures settlement price of the day * total positions after futures trading of the day * futures trading margin ratio.