Can you provide worked examples of hypothetical P&L under different scenarios?
The graph below shows the hypothetical² price for a BitMEX Bitcoin UP contract XBT7D_U110 (right axis) as the .BXBT30M index changes (left axis). We have provided prices for each day (12:00 UTC) throughout the seven-day life of the product.
Listing date and time is Friday, 1 December 2017 at 12:00 UTC.
.BXBT30M = USD 9,945.52
Expiry date and time is Friday, 8 December 2017 at 12:00 UTC.
.BXBT30M = USD 14,655.44
In this example we consider the contract XBT7D_U110. The strike is calculated to be USD 11,000. This is the nearest USD 250 increment to 110% of USD 9,945.52.
P&L and Margin Scenario 1: Buy 100 contracts and hold to maturity
Assume you begin with 10 XBT in your account.
Fri 1 Dec 12:00 UTC (listing date and time): Buy 100 contracts at hypothetical² last price = 0.0065 XBT
Unrealised P&L = number of contracts * (last price - entry price) = 100 * (0.0065 - 0.0065) = 0 XBTRealised P&L = 0 XBTPosition margin = 100 * 0.0065 = 0.65 XBTWallet balance = deposits - withdrawals + realised P&L = 10 XBTAvailable balance = wallet balance + unrealised P&L - order margin - position margin = 10 + 0 - 0 - (100 * 0.0065) = 9.35 XBTMargin balance = wallet balance + unrealised P&L = 10 + 0 = 10 XBT
Sat 2 Dec 12:00 UTC: hypothetical² last price = 0.0087 XBT
Unrealised P&L = 100 * (0.0087 - 0.0065) = 0.22 XBTRealised P&L = 0 XBTPosition margin = 100 * 0.0087 = 0.87 XBTWallet balance = 10 XBTAvailable balance = 10 + 0.22 - 0 - 0.87 = 9.35 XBTMargin balance = 10 + 0.22 = 10.22 XBT
Calculations for all other dates until expiry (3, 4, 5, 6, and 7 Dec) follow the same methodology, just using different hypothetical² last prices.
Fri 8 Dec 12:00 UTC (expiry): Settlement price = 0.0249 XBT
Unrealised P&L = 0 XBTRealised P&L = number of contracts * (settlement price - entry price) = 100 * (0.0249 - 0.0065) = 1.84 XBTPosition margin = 0 XBTWallet balance = 10 - 0 + 1.84 = 11.84 XBTAvailable balance = 11.84 XBTMargin balance = 11.84 XBT
P&L and Margin Scenario 2: Buy 100 contracts and sell before expiry
Assume you begin with 10 XBT in your account.
Sat 2 Dec 12:00 UTC: Buy 100 contracts at hypothetical² last price = 0.0087 XBT
Unrealised P&L = number of contracts * (last price - entry price) = 100 * (0.0087 - 0.0087) = 0 XBTRealised P&L = 0 XBTPosition margin = 100 * 0.0087 = 0.87 XBTWallet balance = deposits - withdrawals + realised P&L = 10 XBTAvailable balance = wallet balance + unrealised P&L - order margin - position margin = 10 + 0 - 0 - (100 * 0.0087) = 9.13 XBTMargin balance = wallet balance + unrealised P&L = 10 + 0 = 10 XBT
Sun 3 Dec 12:00 UTC: Hypothetical² last price = 0.0121 XBT
Unrealised P&L = 100 * (0.0121 - 0.0087) = 0.34 XBTRealised P&L = 0 XBTPosition margin = 100 * 0.0121 = 1.21 XBTWallet balance = 10 XBTAvailable balance = 10 + 0.34 - 0 - 1.21 = 9.13 XBTMargin balance = 10 + 0.34 = 10.34 XBT
Mon 4 Dec 12:00 UTC: Sell 100 contracts at hypothetical² last price = 0.0096 XBT
Unrealised P&L = 0 XBTRealised P&L = number of contracts * (exit price - entry price) = 100 * (0.0096 - 0.0087) = 0.09 XBTPosition margin = 0 XBTWallet balance = 10 + 0.09 = 10.09 XBTAvailable balance = 10.09 XBTMargin balance = 10.09 XBT
² The hypothetical price is a theoretical value calculated using a Black-Scholes model and constant parameters (interest rate = 0, repo = 0, implied volatility = 190). It is only being used for illustrative purposes and is not a true reflection of the actual market price at which you can buy/sell.