Determining Big Point Value

Simply put, the Big Point Value is the amount of money you will make if you buy one contract and it goes up by one full point. That is one number to the left of the decimal. So Gold going from 401 to 402, or Soybeans from 4 to 5. Be sure to look at your data to see how the prices are represented.

 

Different data vendors store the data for the same futures markets in different units.

 

For example, Data Provider A might store the same line of data for the British Pound in dollars like:

 

20020703, 1.4886, 1.4944, 1.4882, 1.4898, 4356, 41414

 

While Data Provider B might store a line of price data for the British Pound in cents like:

 

20020703, 148.86, 149.44, 148.82, 148.98,4 356, 41414

 

The Big Point Value Mapping reconciles this unitary difference (148.86 vs. 1.4886) for these two vendors The Big Point Value is multiplied by the prices stored in the price data file to determine the dollar value of a one point move in the underlying.

 

Using the above example, the British Pound entry in the Futures Dictionary for Data Vendor A would be:

 

62500

 

While the entry for British Pound for Data Vendor B would be:

 

625

 

These values, and all Big Point Values, derive from the contract size. According to the Chicago Mercantile Exchange, the  BP contract size is "62,500 pounds sterling (British pounds)". Therefore if a data vendor lists the price for the BP contract in full dollars, i.e. like Vendor A above 1.4886, since there are 62,500 pounds in a contract. The Big Point Value is 62,500. If the vendor lists the price in cents like Vendor B above at 148.86, the Big Point Value is 625.

 

Using Vendor A's Pricing the price of a British Pound goes form 1.4886 to 2.4886, this will result in a gain of $62,500 since there are 62,500 British Pounds in a contract. Using Vendor B's pricing, this corresponds to a price movement of 100, from 148.86 to 248.86 which will also result in a gain of $62,500. Thus the Big Point Value for Vendor A is 100 times the size of the Big Point Value for Vendor B because the price units are 1/100th as large.

 

For a given price, the contract value should be the same. The contract value can be determined by multiplying the price by the Big Point Value for the market. Since the Big Point Value adjusts for unitary differences the price for a data vendor multiplied by the Big Point Value for that vendor should be the same as that of any other data vendor. Thus:

 

148.86 x 625 = 1.4886 x 62500

 

The Big Point Value should be expressed directly in the currency in which the futures contract is priced. For example, the SOFFEX Swiss Government bond contract is priced in Swiss Francs (ISO currency code CHF) so its Big Point Value should be expressed directly in terms of CHF.

 


Edit Time: 9/20/2017 07:56:26 AM


Topic ID#: 126

 

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