Profit Loss Math
All open positions on Delta are marked at the fair price of the Futures contract. Thus, Unrealized PnL and Liquidation Prices are computed using Fair Prices, while Realized PnL is based on actual entry and exit prices.
PnL for a long/ short position in a Vanilla Futures
PnL for a long/ short position in an Inverse Futures
where
is the multiplier and
is the position size (i.e. number of contracts).
If a position is acquired at multiple entry prices, an average entry price is computed and used for PnL computation.
Last modified 6mo ago