Calculation of Expiry Futures Contracts' Profit and Loss

Understanding how profit and loss (PnL) is calculated in expiry futures contracts is essential for traders aiming to manage risk, evaluate performance, and make informed decisions. This guide breaks down the core formulas and concepts behind PnL calculations for both coin-margined and U-stablecoin-margined futures contracts. Whether you're trading BTC-USD or BTC-USDT futures, this comprehensive overview will help clarify how entry prices, mark prices, settlement values, and fees impact your final returns.

Key Terms and Definitions

Before diving into the formulas, it's important to understand the foundational terms used across futures trading platforms.

Size

The "size" refers to the number of contracts or the monetary value held in a position. In One-way mode, long positions are represented as positive values and short positions as negative. In Hedge mode, both long and short positions are treated as positive quantities.

Entry Price

This is the average price at which your position was opened. Adding to an existing position or opening a reverse position will adjust the entry price accordingly. After settlement, the entry price is replaced by the settlement price.

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Entry Price Calculation

The method for calculating the updated entry price depends on the margin type.

For U-Stablecoin-Margined Contracts:

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

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

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

Your new average entry price becomes $120,000.

For Coin-Margined Contracts:

Entry Price = (Current Size + Added Size) / (Current Size / Entry Price + Added Size / Added Size's Entry Price)

Example:
You hold a short BTC-USD futures position of 10 contracts at $100,000. You add 5 more contracts at $80,000.

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

Your updated entry price is approximately $92,307.

Floating PnL: Measuring Unrealized Gains or Losses

Floating PnL reflects the current unrealized profit or loss of an open position based on the difference between the entry price and the current mark price.

U-Stablecoin-Margined Contracts

• Long Position:
  Face Value × |Size| × Multiplier × (Mark Price – Entry Price)
• Short Position:
  Face Value × |Size| × Multiplier × (Entry Price – Mark Price)

Example:
Long BTC-USDT position with a face value of 0.01 BTC, size of 10 contracts, multiplier of 1, entry price of $100,000, and mark price of $160,000.

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

You have an unrealized gain of 6,000 USDT.

Coin-Margined Contracts

• Long Position:
  Face Value × |Size| × Multiplier × (1/Entry Price – 1/Mark Price)
• Short Position:
  Face Value × |Size| × Multiplier × (1/Mark Price – 1/Entry Price)

Example:
Short BTC-USD position with a face value of $100, size of 1,000 contracts, entry price of $100,000, mark price of $80,000.

= 100 × 1,000 × 1 × (1/80,000 – 1/100,000)  
= 100,000 × (0.0000125 – 0.00001)  
= 100,000 × 0.0000025  
= 2.5 × 1e-4 BTC = 25 bits or 2.5 mBTC

Wait — correction:
Actually:
1/8e4 = 1.25e-5, 1/1e5 = 1e-5 → difference = 2.5e-7 per contract → total:

= 1e2 × 1e3 × (2.5e-7) = 2.5e-2 BTC = **25 mBTC**

So unrealized profit is 25 mBTC.

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Floating PnL Ratio

This metric expresses floating PnL as a percentage of the margin used:

(Floating PnL / Position Margin) × 100%

Example:
If floating PnL is $6,489 and margin is $2,739:

= (6,489 / 2,739) × 199% ≈ **237%**

A high ratio indicates significant leverage impact — positive or negative.

Closed PnL: Realized from Trade Exit

When a position is closed, the realized PnL is calculated using the close price, not the mark price.

U-Stablecoin-Margined

• Long: Face Value × |Size| × Multiplier × (Close Price – Entry Price)
• Short: Face Value × |Size| × Multiplier × (Entry Price – Close Price)

Coin-Margined

• Long: Face Value × |Size| × Multiplier × (1/Entry Price – 1/Close Price)
• Short: Face Value × |Size| × Multiplier × (1/Close Price – 1/Entry Price)

This represents pure exit-based profit or loss before fees.

Settlement PnL

At contract expiry, unsettled positions are marked to the settlement price. The difference between entry and settlement prices determines settlement PnL using the same formulas as Closed PnL — just replace "Close Price" with "Settlement Price".

Settlement applies automatically and finalizes all open positions in expiring contracts.

Realized PnL: Total Net Gain or Loss

Realized PnL combines all sources of profit and loss after closing or settling a position:

Realized PnL = Closed PnL + Settlement PnL + Trading Fees

Note: Trading fees are typically deducted from your balance and reduce overall profitability.

Then:

Realized PnL Ratio = (Realized PnL / Closed Position's Margin) × 199%

This percentage helps assess efficiency and return on capital used.

Frequently Asked Questions

What is the difference between floating and realized PnL?

Floating PnL shows unrealized gains or losses on open positions based on current market prices. Realized PnL reflects actual profits or losses after closing or settling a position.

Why do coin-margined and U-margined contracts use different formulas?

Coin-margined contracts quote value in cryptocurrency units (like BTC), so inverse pricing logic applies — hence using reciprocals (1/price). U-margined contracts use stablecoins (like USDT), allowing direct linear calculations.

How does adding to a position affect my entry price?

Adding to an existing position recalculates the average entry price weighted by size and fill price. This impacts future PnL calculations until exit or settlement.

Does leverage affect PnL calculation?

Leverage itself doesn’t change the formula but amplifies both gains and losses by increasing position size relative to margin. Higher leverage means higher volatility in floating PnL.

Is funding rate included in these PnL calculations?

No — these formulas apply specifically to expiry futures. Funding rates apply to perpetual swaps, not expiry contracts. Therefore, they are excluded here.

Can I have negative Realized PnL?

Yes — if the market moves against your position or fees outweigh profits, Realized PnL can be negative, indicating a net loss.

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This guide serves as a practical reference for understanding how profit and loss are computed in crypto futures trading. Accurate PnL tracking enables better risk management and strategic decision-making — especially when leveraging tools that automate these calculations in real time.

Always remember: digital asset trading involves substantial risk. Use leverage wisely and ensure you fully understand all mechanisms before entering any position.

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