Futures

Mark-to-Market

Futures gains and losses are settled day by day.

highlighted = computed this step

Daily settlement

A futures position is settled daily. Each day, the change in settlement price is paid or collected instead of waiting until maturity.

Δ cash=new settle−previous settle\Delta\text{ cash}=\text{new settle}-\text{previous settle}

Settlement path

Starting from entry $105.00, the settlements are $107.00, $104.00, and $106.00.

settles: $107.00,$104.00,$106.00\text{settles: }\$107.00,\$104.00,\$106.00
Futures mark-to-marketDaily futures settlement PnL is recomputed from settlements.DaySettleDaily P&LCumulative1$107.00$+2.00$+2.002$104.00$-3.00$-1.003$106.00$+2.00$+1.00Final P&L$+1.00

Daily and cumulative cash

The daily gains and losses are a gain of $2.00, a loss of $3.00, and a gain of $2.00. The cumulative path is $2.00, negative $1.00, and $1.00, ending at final settle minus entry.

$106.00−$105.00=$1.00\$106.00-\$105.00=\$1.00