Tick Value & P&L Calculator
gross P&L = price change × multiplier × contracts. Compare an E-mini against its Micro for the exact same point move to see the 10x relationship directly.
1. Equity-Index Futures Economics: linear exposure, daily settlement, and cash settlement
A futures position is a standardized long or short obligation whose P&L changes linearly with the quoted index; it is not ownership of an ETF and its risk is not capped at the performance-bond deposit. Understanding central clearing, daily variation settlement, and final cash settlement makes every later lesson on leverage, margin, and expiration intelligible.
Do not describe margin as the purchase price, assume a long can lose only the cash posted, confuse cash settlement with physical delivery of 500 stocks, or treat futures P&L like an option payoff.
2. The Index-Futures Product Map: ES/MES, NQ/MNQ, YM/MYM, and RTY/M2K
Contract choice determines dollars at risk, normal noise, liquidity, and what part of the equity market the trader is expressing—large-cap breadth through ES, growth/technology concentration through NQ, price-weighted blue chips through YM, or small caps through RTY. Micros are one-tenth the multiplier of their E-mini counterparts, which makes them a precision-sizing instrument rather than a different market thesis. CME’s Micro E-mini overview confirms the one-tenth relationship and multipliers.
| Exposure | E-mini | Multiplier | Minimum tick | Tick value | Micro | Multiplier | Minimum tick | Tick value |
|---|---|---|---|---|---|---|---|---|
| S&P 500 | ES | $50/point | 0.25 | $12.50 | MES | $5/point | 0.25 | $1.25 |
| Nasdaq-100 | NQ | $20/point | 0.25 | $5.00 | MNQ | $2/point | 0.25 | $0.50 |
| Dow Jones Industrial Average | YM | $5/point | 1.00 | $5.00 | MYM | $0.50/point | 1.00 | $0.50 |
| Russell 2000 | RTY | $50/point | 0.10 | $5.00 | M2K | $5/point | 0.10 | $0.50 |
A “point” is not always one tick, an NQ point is not worth an ES point, and a micro’s smaller dollar value does not make an oversized stack of micros low risk.
3. Tick, Point, Notional, and P&L Math
Know `notional = index price × multiplier`, `gross P&L = price change × multiplier × contracts`, and `planned trade risk = stop distance in ticks × tick value × contracts + estimated costs/slippage`. Thus a 20-point NQ move is $400 per contract but $40 per MNQ, while an eight-point ES move is $400 and the same MES move is $40; the trader must be able to calculate this before submitting an order.
Do not size from required day margin, count chart “points” as dollars, omit the number of contracts, or calculate a stop’s risk without commissions and realistic slippage.
4. Performance Bonds, Leverage, and Mark-to-Market
Exchange initial margin, maintenance margin, a broker’s house requirement, and a broker’s discounted intraday margin are different numbers; all can change as volatility changes. Futures margin is a good-faith performance bond, while the trader’s actual exposure is the full notional and gains/losses are credited or debited through variation settlement; CME explains these distinctions in Margin: Know What’s Needed.
“My broker lets me open one NQ with $1,000” does not mean $1,000 is an appropriate account size or maximum loss; discounted day margin is a liquidation threshold/entry requirement, not a risk budget, and a broker may liquidate before an exchange-level margin call.
5. Contract Codes, Listed Months, Expiration, and Continuous Symbols
Learn the root plus month code—H March, M June, U September, Z December—and year, then distinguish a tradable dated contract from a vendor-created continuous chart. The major U.S. equity-index contracts are quarterly and financially settled; knowing the active contract prevents placing an order in a thin or expiring month and prevents chart research from silently mixing contracts.
`ES1!`, `/ES`, or another continuous symbol may be a charting construction rather than an executable contract; do not assume the front calendar month is always the volume leader or hold through final settlement merely because delivery is cash.
6. The Globex Trading Day: exchange clock, maintenance break, RTH, and ETH
For these contracts, CME Globex currently runs from Sunday 6:00 p.m. ET through Friday 5:00 p.m. ET, with a daily 5:00–6:00 p.m. ET maintenance period; the new futures trade date begins in the prior calendar evening. Traders must separately define regular trading hours (commonly the U.S. cash-equity session, 9:30 a.m.–4:00 p.m. ET) and extended/overnight hours because session templates change candles, volume profiles, VWAP resets, and “daily” highs/lows. CME ES specifications list the current Globex schedule.
Do not assume midnight starts the futures day, mix RTH-only indicators with full-session levels without labeling them, or submit orders into the maintenance window; use the exchange’s Chicago clock or a DST-aware time zone rather than a permanently hard-coded offset.
7. Asia, London, and New York: liquidity handoffs rather than official exchanges
“Asia,” “London,” and “New York” are trader-defined analytical windows inside one Globex session, not three official CME sessions, so you must fix your own exact DST-aware boundaries; one workable convention is Globex reopen–2:00 a.m. ET for Asia, 2:00–8:30 a.m. ET for London/Europe, and 8:30 a.m.–4:00 p.m. ET for New York, with the 9:30 a.m.–4:00 p.m. cash session marked separately. Track each window’s high, low, range, volume, and inventory, then study how liquidity and volatility change near the actual local-market opens, 8:30 a.m. U.S. releases, the 9:30 a.m. cash open, and the 4:00 p.m. cash close.
Do not present arbitrary ICT-style clock windows as exchange rules, shift historical windows by an hour when U.S. and European daylight-saving dates diverge, or assume an overnight high has equal significance in every volatility regime.
Key Takeaways
- Margin is a performance bond, not a loss cap. Real exposure is the full notional, marked to market daily — not the cash posted to open the position.
- Micros are a 10x sizing ratio, not a separate market. ES is $50/point vs. MES at $5/point (same relationship for NQ/MNQ, YM/MYM, RTY/M2K) — a point is never worth the same dollar amount across products.
- Risk in dollars, always. `stop distance in ticks × tick value × contracts + costs` must be calculated before every order — chart "points" are not dollars.
- The Globex day is not the calendar day — and the "sessions" are yours to define. Sunday 6:00 p.m. ET through Friday 5:00 p.m. ET with a daily maintenance break; RTH and ETH produce different candles, VWAP resets, and daily highs/lows, and "Asia," "London," and "New York" are trader-drawn windows inside that one Globex session, not exchange sessions.
- A continuous symbol (ES1!, /ES) may not be executable. The tradable instrument is root + quarterly month code (H, M, U, Z) + year, financially settled — confirm which dated contract you are actually charting or ordering in.
Check your understanding
1. Is a long futures position's maximum loss capped at the margin deposited?
2. A 20-point move in NQ and the same 20-point move in MNQ produce what dollar difference?
3. "My broker lets me open one NQ with $1,000 of day margin." What does this actually tell you?
4. A continuous chart symbol like ES1! or /ES on most platforms is:
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