Calculation of Expiry Futures Contracts' Profit and Loss

·

Understanding how profit and loss (PnL) is calculated in expiry futures contracts is essential for any trader navigating the world of cryptocurrency derivatives. Whether you're trading coin-margined or U-stablecoin-margined futures, knowing the formulas behind entry price adjustments, floating PnL, realized gains, and settlement mechanics can significantly improve your risk management and decision-making.

This guide breaks down each key concept with clear explanations and practical examples—helping both novice and experienced traders grasp the mathematical foundations of futures trading on platforms like OKX.

👉 Learn how futures PnL works and start calculating your potential returns today.

Key Terms and Formulas

Before diving into examples, let’s define the core components used in futures PnL calculations.

Size

The size refers to the number of contracts or the value (in crypto or fiat) held in a position. In One-way mode, long positions are represented as positive values, while short positions are negative. In Hedge mode, both long and short positions are treated as positive sizes, allowing independent management of directional exposure.

Entry Price

Your entry price is the average price at which your current position was opened. It changes when you add to your position or reverse your trade direction. After settlement, it's replaced by the settlement price.

For U-stablecoin-margined contracts (e.g., BTC-USDT):

Entry Price = (Current Size × Entry Price + Added Size × Added Size’s Entry Price) / (Current Size + Added Size)

For coin-margined contracts (e.g., BTC-USD):

Entry Price = (Current Size + Added Size) / (Current Size / Entry Price + Added Size / Added Size’s Entry Price)
Note: All size values in these formulas are treated as positive numbers.

Floating PnL

Floating PnL reflects unrealized gains or losses based on the current market (mark) price.

Floating PnL Ratio

This metric shows performance relative to margin used:

(Floating PnL / Position Margin) × 100%

It helps assess risk exposure and efficiency of capital use.

Closed PnL

When a position is partially or fully closed, Closed PnL captures the realized gain or loss using the close price instead of the mark price.

Formulas mirror Floating PnL but replace Mark Price with Close Price.

Settlement PnL

At contract expiration, positions are settled at the final settlement price. The Settlement PnL uses this price in place of mark or close prices in the same formula structure.

👉 See how settlement impacts your final returns in expiring futures contracts.

Realized PnL

Total realized profit or loss includes:

Realized PnL = Closed PnL + Settlement PnL + Trading Fees

Note that trading fees are typically deducted from your account balance and reduce overall profitability.

Realized PnL Ratio

Measures return on the margin allocated to closed positions:

(Realized PnL / Closed Position’s Margin) × 100%

Practical Examples

Let’s walk through real-world scenarios to illustrate how these formulas work.

Example 1: Adjusting Entry Price

U-Stablecoin-Margined Contract (BTC-USDT)

You hold a long position of 10 BTC-USDT expiry futures contracts at an entry price of $100,000. You add another 5 contracts at $160,000.

New Entry Price:

= (10 × 100,000 + 5 × 160,000) / (10 + 5)
= (1,000,000 + 800,000) / 15
= $120,000

Your average entry price increases due to the higher-cost addition.

Coin-Margined Contract (BTC-USD)

You have a short position of 10 BTC-USD contracts at $100,000 and add 5 more at $80,000.

New Entry Price:

= (10 + 5) / (10 / 100,000 + 5 / 80,000)
= 15 / (0.0001 + 0.0000625)
= 15 / 0.0001625 ≈ $92,307

This inverse calculation reflects how coin-margined contracts handle pricing differently due to denomination in BTC.

Example 2: Calculating Floating PnL

U-Stablecoin-Margined Long Position

Floating PnL:

= 0.01 × 10 × 1 × (160,000 – 100,000)
= 6,000 USDT

You’re sitting on an unrealized gain of $6,000.

Coin-Margined Short Position

Floating PnL:

= 100 × 1,000 × 1 × (1/80,000 – 1/100,000)
= 100,000 × (0.0000125 – 0.00001)
= 100,000 × 0.0000025 = 0.25 BTC

Your unrealized profit is ¼ of a Bitcoin.

Example 3: Floating PnL Ratio

Using the above U-stablecoin example:

Floating PnL Ratio:

(6,000 / 1,600) × 100% = 375%

A ratio above 100% indicates strong performance relative to capital at risk—though it also suggests high leverage usage.

Frequently Asked Questions

Q: What’s the difference between floating and realized PnL?
A: Floating PnL is unrealized—it changes with market movements. Realized PnL is locked in after closing a position or settlement.

Q: Why do coin-margined contracts use inverse pricing formulas?
A: Because profits are paid in the base currency (e.g., BTC), so calculations use inverse prices (1/price) to maintain consistency in BTC-denominated gains.

Q: Does trading fee affect my final profit?
A: Yes. Trading fees are subtracted from your realized PnL and can impact net returns, especially in high-frequency strategies.

Q: How does leverage affect PnL calculations?
A: Leverage amplifies both gains and losses. While it doesn’t change the formula directly, it increases sensitivity to price moves and reduces margin buffer.

Q: Can I have negative realized PnL even if I didn’t close manually?
A: Yes. Automatic settlement at expiry may result in a loss if the settlement price is unfavorable compared to your entry.

Q: Is there a way to track these metrics automatically?
A: Most advanced trading platforms, including OKX, provide real-time dashboards showing floating and realized PnL, margin usage, and ratios.

Core Keywords

This article integrates the following SEO-optimized keywords naturally throughout:

These terms align with common search queries from traders seeking clarity on derivatives performance tracking.

👉 Master futures trading math and gain confidence in your next move.

Digital asset trading involves significant risk and may result in partial or total loss of capital. This content is for informational purposes only and does not constitute financial advice. Always conduct independent research and consider your risk tolerance before engaging in leveraged trading. OKX is not liable for any losses incurred through trading activities. Not all products are available globally. For full details, review the OKX Terms of Service.