Understanding how profit and loss (PnL) is calculated in expiry futures contracts is essential for any trader engaging in leveraged cryptocurrency trading. 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 trading performance.
This guide breaks down the core components of PnL calculation in expiry futures, using clear explanations and real-world examples—without relying on complex tables. We’ll also explore key concepts like margin impact, leverage effects, and how position sizing influences your returns.
Understanding Key Terms in Futures Trading
Before diving into calculations, it’s important to define the foundational terms used across futures markets.
Size
"Size" refers to the number of contracts or the value 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 values, allowing independent management of directional exposure.
👉 Learn how advanced traders calculate position size for optimal risk control.
Entry Price
The entry price is the average price at which your current position was opened. It changes when you add to an existing position or reverse your trade direction. For accurate PnL tracking, this value must be dynamically updated.
For U-stablecoin-margined contracts (e.g., BTC-USDT):
$$ \text{New Entry Price} = \frac{(\text{Current Size} \times \text{Entry Price}) + (\text{Added Size} \times \text{Added Entry Price})}{\text{Current Size} + \text{Added Size}} $$
For coin-margined contracts (e.g., BTC-USD):
$$ \text{New Entry Price} = \frac{\text{Current Size} + \text{Added Size}}{\left(\frac{\text{Current Size}}{\text{Entry Price}}\right) + \left(\frac{\text{Added Size}}{\text{Added Entry Price}}\right)} $$
These formulas ensure that your average cost basis reflects all entries accurately.
Floating Profit and Loss (Floating PnL)
Floating PnL shows your unrealized gain or loss based on the current market price (mark price). This changes in real time as prices fluctuate.
U-Stablecoin-Margined Contracts
Long Position:
$$ \text{PnL} = \text{Face Value} \times |\text{Size}| \times \text{Multiplier} \times (\text{Mark Price} - \text{Entry Price}) $$
Short Position:
$$ \text{PnL} = \text{Face Value} \times |\text{Size}| \times \text{Multiplier} \times (\text{Entry Price} - \text{Mark Price}) $$
Coin-Margined Contracts
Due to inverse pricing (quoted in USD but settled in BTC), the formula uses reciprocal pricing:
Long Position:
$$ \text{PnL} = \text{Face Value} \times |\text{Size}| \times \text{Multiplier} \times \left(\frac{1}{\text{Entry Price}} - \frac{1}{\text{Mark Price}}\right) $$
Short Position:
$$ \text{PnL} = \text{Face Value} \times |\text{Size}| \times \text{Multiplier} \times \left(\frac{1}{\text{Mark Price}} - \frac{1}{\text{Entry Price}}\right) $$
Floating PnL Ratio
This metric expresses your unrealized profit or loss as a percentage of the margin allocated to the position.
$$ \text{Floating PnL Ratio} = \left(\frac{\text{Floating PnL}}{\text{Position Margin}}\right) \times 100\% $$
A high ratio indicates significant leverage impact—positive or negative—and should prompt careful risk evaluation.
Closed PnL: Realized Gains from Exit Trades
When you close part or all of a position, the Closed PnL reflects the actual profit or loss locked in at execution price.
Formulas mirror Floating PnL but use Close Price instead of Mark Price:
U-margined Long:
$$ (\text{Close Price} - \text{Entry Price}) \times |\text{Size}| \times \text{Face Value} \times \text{Multiplier} $$
Coin-margined Short:
$$ \left(\frac{1}{\text{Close Price}} - \frac{1}{\text{Entry Price}}\right) \times |\text{Size}| \times \text{Face Value} \times \text{Multiplier} $$
These values are realized—they directly affect your account balance after fees.
Settlement PnL: Final Adjustment at Contract Expiry
At expiry, open positions are settled at the final settlement price. Any remaining unrealized PnL becomes Settlement PnL, calculated similarly to Closed PnL but using the Settlement Price.
For example:
- A long BTC-USD contract held to expiry will realize gains based on the difference between entry and settlement prices using inverse math.
- Settlement ensures all open positions are resolved fairly based on a verified index price.
Realized PnL: Total Net Gain or Loss
Your total realized outcome includes:
$$ \text{Realized PnL} = \text{Closed PnL} + \text{Settlement PnL} - \text{Trading Fees} $$
Fees—both taker and maker—are deducted from profits (or added to losses), making them critical in high-frequency or leveraged strategies.
👉 Discover how top traders minimize fees while maximizing PnL accuracy.
The Realized PnL Ratio further contextualizes performance:
$$ \left(\frac{\text{Realized PnL}}{\text{Closed Position's Margin}}\right) \times 100\% $$
This helps assess capital efficiency and strategy viability over time.
Practical Examples
Example 1: Updating Entry Price (U-Margined)
You hold a long BTC-USDT position:
- Initial size: 10 contracts @ $100,000
- Add: 5 contracts @ $160,000
Using the weighted average formula:
$$ (10 \times 100,000 + 5 \times 160,000) / (10 + 5) = \$120,000 $$
Your new average entry is $120,000.
Example 2: Floating PnL (Coin-Margined Short)
Short position:
- Size: 1,000 contracts
- Face value: $100 per contract
- Entry: $100,000
- Mark price: $80,000
$$ 100 \times 1,000 \times (1/80,000 - 1/100,000) = 0.25~\text{BTC profit} $$
Even though the price dropped, the inverse calculation yields positive BTC gains.
Frequently Asked Questions (FAQ)
What’s the difference between Floating PnL and Realized PnL?
Floating PnL is unrealized—it changes with market movements. Realized PnL occurs when you close a position or it settles at expiry, locking in actual gains or losses.
Why do coin-margined contracts use reciprocal pricing?
Because payouts are in cryptocurrency (e.g., BTC), not fiat. As the underlying asset’s price rises, fewer coins are needed to repay obligations, hence the use of $1/\text{price}$ for accurate valuation.
How does adding to a position affect my entry price?
It recalculates your average cost basis. Adding at a better price improves your breakeven; adding at a worse one increases risk exposure.
Does leverage affect PnL calculations?
Leverage amplifies both gains and losses by reducing required margin. While not directly in the formulas, higher leverage increases the PnL ratio dramatically—even small price moves can trigger liquidation.
Are trading fees included in Realized PnL?
Yes. Trading fees are subtracted from Closed and Settlement PnL to determine net Realized PnL. Ignoring fees can lead to overestimation of profitability.
Can I have negative Realized PnL?
Absolutely. If the market moves against your position and you exit or settle at a loss—especially under high leverage—your Realized PnL will be negative, reducing your account equity.
Core Keywords
- Expiry futures PnL calculation
- Coin-margined futures
- U-stablecoin-margined futures
- Floating PnL formula
- Realized PnL vs Floating PnL
- Futures settlement price
- Leverage trading risks
- Entry price averaging
Trading expiry futures requires precision in understanding how every variable—from margin to multiplier—affects your bottom line. By mastering these formulas and monitoring both floating and realized outcomes, you can make data-driven decisions that align with your risk appetite.
Remember: digital asset trading involves substantial risk. Always test strategies in demo environments and never risk more than you can afford to lose.
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