Derivatives Guide

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

$PnL = ± n*m*(Fut\_CurrentPrice - Fut\_EntryPrice)$

PnL for a long/ short position in an Inverse Futures

$PnL = ± n*m*(1/ Fut\_EntryPrice - 1/ Fut\_CurrentPrice)$

where

$m$

is the multiplier and $n$

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 11mo ago

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