Identify the price type first
Two long contracts of the same dated futures series are already open at D0. Quantity and expiry remain unchanged; there are no new trades, rolls, exercise or delivery within the window. Price is in points and the factor M is 10 USD/(point·contract).
S0=100 is the previous daily settlement basis, not an established entry price. The next settlements S1=103 and S2=101 are supplied separately from last executed trades of 104 and 102. Daily settlement must be distinguished from final expiry settlement or delivery.
| Moment | Last executed trade | Daily settlement | Meaning of basis |
|---|---|---|---|
| D0: basis | Not supplied | 100 | Previous settlement; entry unknown |
| D1 | 104 | 103 | Current settlement S1 |
| D2 | 102 | 101 | Current settlement S2 |
One unchanged position and explicit units
Variation here means monetary revaluation of the carried position at the specified settlements. Under the selected normal method, first determine one contract’s monetary value V(S)=currency-rounded(S×M), then calculate q×[V(current S)−V(previous S)]. Signed q is positive for a long and negative for a short.
The published CME calculation document is dated June 11, 2015. It is not a newly dated 2026 contract specification or a universal method for inverse/notional products or all exchanges. Our V values are 1000, 1030 and 1010 USD: exact whole amounts, so rounding has no effect.
Two monetary revaluation intervals
First interval: 2×(1030−1000)=+60 USD. Second: 2×(1010−1030)=−40 USD. Their sum for this window is +20 USD. The table shows gross settlement variation for the fixed position, not full trade profit with an unknown entry.
Independent endpoint check: 2×10×(101−100)=20 USD. The intermediate settlement cancels in the sum. This 20 USD is not another receipt on top of +60 and −40. With q=−2 at the same prices, the figures would be −60, +40 and a total of −20 USD.
| Interval | Previous S | Current S | Points | Contracts q | USD/(point·contract) | Variation, USD | Cumulative, USD |
|---|---|---|---|---|---|---|---|
| D0 → D1 | 100 | 103 | 3 | 2 | 10 | +60 | +60 |
| D1 → D2 | 103 | 101 | -2 | 2 | 10 | −40 | +20 |
Why substituting the last trade changes the answer
Replacing S1=103 with the last executed trade 104 gives 2×10×(104−100)=80 USD instead of 60. The 20 USD difference is caused by changing the input field. It is not a detected broker error: the figures were invented to test what the calculation means.
The CME Daily Settlement File Layout bearing copyright 2023 separates Last and Sett; a B/A suffix on Last can indicate a bid/ask. Our example explicitly supplies an executed trade. An unidentified vendor Close or Last must not automatically be labelled either the last executed trade or exchange settlement.
Collateral is not an expense
A performance bond is collateral for obligations, not a purchased contract’s price or a commission. If a hypothetical 1000 USD is merely reclassified from free to restricted funds, that reclassification changes total assets by −1000+1000=0. Do not subtract 1000 from variation of 20.
The 1000 does not establish an actual margin requirement. It cannot determine free or withdrawable cash, broker requirements or a liquidation level. Do not divide 20 by this reserve and call it an account return: account capital and other terms are unspecified.
Teaching intervals and actual settlement cycles
CME describes intraday and end-of-day settlement cycles, with additional cycles possible. Our two table rows aggregate two selected valuation intervals; they do not promise exactly two client bank transfers or a particular broker posting time. Clearing-member settlement and the customer statement are distinct accounting levels.
Additional charges and flows are absent by teaching assumption. No new executions occur, so no entry/exit commissions or extra spread are invented within the window. Actual fees, taxes, financing and other flows are unspecified: real net trade or account results remain UNKNOWN.
Exercise: change the second settlement
Keep two long contracts, factor 10 USD/(point·contract), S0=100 and S1=103. Change only S2=101 to S2=99. Find the second interval’s variation, the total and the endpoint check.
Answer: V(99)=990 USD per contract; 2×(990−1030)=−80 USD in the second interval. Total 60−80=−20 USD. Check:2×10×(99−100)=−20 USD. This is an alternative teaching scenario; do not add it to the original example or treat the check as a separate cash flow.
What to verify before using a chart
Before calculating, independently verify provider, exact symbol and expiry, price-field definition, currency, factor and rounding rules. If Close is unidentified, record UNKNOWN. Do not replace a missing settlement with a similar-looking chart price.
Then study an available ordinary price chart and save analysis through the existing Student Wyckoff guide. The platform does not perform clearing, execution or futures cash accounting, and does not promise a settlement feed, every expiry or a margin calculator. Field verification and the cash statement remain separate external work.
- Identify the price type before converting points into cash.
- Reconcile intervals without adding the check a second time.
- Separate collateral, variation and the unknown net result.
Primary sources
Sources explain the mechanics and limitations; the editorial examples use invented numbers rather than market quotations.
Your next practical step
Use the existing guide to study an ordinary chart. Verify provider-field definitions and settlement cash records separately; platform access does not replace that check.
Open the first-chart guide ↗