Mark-to-Market calculations

What is Daily MtM?

Daily MtM is the change in value of a position from the previous trading day. It is used for margin calls, P&L updates, and risk monitoring. Formula: \text{Daily MtM} = (\text{Today's Price} - \text{Yesterday's Price}) \times \text{Contracts} \times \text{Lot Size}

What is Month-to-Date MtM (MtD)?

Month-to-Date MtM tracks the cumulative change in value since the first trading day of the month. Formula: \text{MtD MtM} = (\text{Today's Price} - \text{Price on 1st of Month}) \times \text{Contracts} \times \text{Lot Size}

What is Year-to-Date MtM (YtD)?

Year-to-Date MtM tracks the total change in position value from January 1st or the position start date within the year. Formula: \text{YtD MtM} = (\text{Today's Price} - \text{Price on Jan 1st}) \times \text{Contracts} \times \text{Lot Size}

What is the Daily MtM on April 2?

Given: Long 80 WTI contracts (lot size: 1,000 barrels).
Contract price: $95.00
April 1 price: $96.20
April 2 price: $97.00
April 30 price: $98.75
Calculation: (97.00 - 96.20) \times 80 \times 1{,}000 = 0.80 \times 80{,}000 = 64{,}000
➡ Daily MtM = +$64,000

What is the Month-to-Date MtM on April 30?

Given: Long 80 WTI contracts (lot size: 1,000 barrels).
Contract price: $95.00
April 1 price: $96.20
April 2 price: $97.00
April 30 price: $98.75
Calculation: (98.75 - 96.20) \times 80 \times 1{,}000 = 2.55 \times 80{,}000 = 204{,}000
➡ MtD MtM = +$204,000

If the price on Jan 2 was $90.00, what is the Year-to-Date MtM on April 30?

Given: Long 80 WTI contracts (lot size: 1,000 barrels).
Contract price: $95.00
April 1 price: $96.20
April 2 price: $97.00
April 30 price: $98.75. Price on Jan 2 was $90.00
Calculation: (98.75 - 90.00) \times 80 \times 1{,}000 = 8.75 \times 80{,}000 = 700{,}000
➡ YtD MtM = +$700,000

How can MtM data be used across timeframes?

Daily MtM: for managing margin calls and short-term risk
Month-to-Date MtM: for reporting monthly performance
Year-to-Date MtM: for analyzing annual profitability or evaluating trading strategy

What is Daily MtM?

Daily MtM is the change in value of a position from the previous trading day. It is used for margin calls, P&L updates, and risk monitoring. Formula: \text{Daily MtM} = (\text{Today's Price} - \text{Yesterday's Price}) \times \text{Contracts} \times \text{Lot Size}

What is Month-to-Date MtM (MtD)?

Month-to-Date MtM tracks the cumulative change in value since the first trading day of the month. Formula: \text{MtD MtM} = (\text{Today's Price} - \text{Price on 1st of Month}) \times \text{Contracts} \times \text{Lot Size}

What is Year-to-Date MtM (YtD)?

Year-to-Date MtM tracks the total change in position value from January 1st or the position start date within the year. Formula: \text{YtD MtM} = (\text{Today's Price} - \text{Price on Jan 1st}) \times \text{Contracts} \times \text{Lot Size}

What is the Daily MtM on April 2?

Given: Long 80 WTI contracts (lot size: 1,000 barrels).

Contract price: $95.00

April 1 price: $96.20

April 2 price: $97.00

April 30 price: $98.75

Calculation: (97.00 - 96.20) \times 80 \times 1{,}000 = 0.80 \times 80{,}000 = 64{,}000

➡ Daily MtM = +$64,000

What is the Month-to-Date MtM on April 30?

Given: Long 80 WTI contracts (lot size: 1,000 barrels).

Contract price: $95.00

April 1 price: $96.20

April 2 price: $97.00

April 30 price: $98.75

Calculation: (98.75 - 96.20) \times 80 \times 1{,}000 = 2.55 \times 80{,}000 = 204{,}000

➡ MtD MtM = +$204,000

If the price on Jan 2 was $90.00, what is the Year-to-Date MtM on April 30?

Given: Long 80 WTI contracts (lot size: 1,000 barrels).

Contract price: $95.00

April 1 price: $96.20

April 2 price: $97.00

April 30 price: $98.75. Price on Jan 2 was $90.00

Calculation: (98.75 - 90.00) \times 80 \times 1{,}000 = 8.75 \times 80{,}000 = 700{,}000

➡ YtD MtM = +$700,000

How can MtM data be used across timeframes?

Daily MtM: for managing margin calls and short-term risk

Month-to-Date MtM: for reporting monthly performance

Year-to-Date MtM: for analyzing annual profitability or evaluating trading strategy

You are long 40 contracts of RBOB. Each contract = 42,000 gallons.
Yesterday’s price: $2.70
Today’s price: $2.75
➡ What is your Daily MtM?

Calculation: (2.75 - 2.70) \times 40 \times 42{,}000 = 0.05 \times 1{,}680{,}000 = 84{,}000

➡ Daily MtM = $84,000

You are short 100 WTI contracts, lot size 1,000 barrels.
Yesterday’s price: $96.50
Today’s price: $97.00
➡ What is your Daily MtM?

Calculation: (97.00 - 96.50) \times (-100) \times 1{,}000 = 0.50 \times (-100{,}000) = -50{,}000

➡ Daily MtM = -$50,000

You are long 25 contracts of HO (heating oil). Lot size = 42,000 gallons.
Price on April 1: $2.60
Today’s price: $2.75
➡ What is your MtD MtM?

Calculation: (2.75 - 2.60) \times 25 \times 42{,}000 = 0.15 \times 1{,}050{,}000 = 157{,}500

➡ MtD MtM = $157,500

You are short 60 RBOB contracts. Lot size = 42,000 gallons.
Price on April 1: $3.10
Today’s price: $3.20
➡ What is your MtD MtM?

Calculation: (3.20 - 3.10) \times (-60) \times 42{,}000 = 0.10 \times (-2{,}520{,}000) = -252{,}000

➡ MtD MtM = -$252,000

You are short 80 WTI contracts, lot size = 1,000 barrels.
Jan 1 price = $90.00
Today’s price = $97.50
➡ What is your YtD MtM?

Calculation: (97.50 - 90.00) \times (-80) \times 1{,}000 = 7.50 \times (-80{,}000) = -600{,}000

➡ YtD MtM = -$600,000

You are long 120 contracts of RBOB. Lot size = 42,000 gallons.
Jan 1 price = $2.65
Today’s price = $2.95
➡ What is your YtD MtM?

Calculation: (2.95 - 2.65) \times 120 \times 42{,}000 = 0.30 \times 5{,}040{,}000 = 1{,}512{,}000

➡ YtD MtM = $1,512,000