Futures point values

The number a fill does not contain

A futures execution report gives you a side, a quantity, a price and a time. What it usually does not give is how much one full point of price movement is worth, and without that there is no way to reach dollars:

P&L = (exit − entry) × quantity × point value

Buy one ES at 5000 and sell at 5010 and you made ten points. Whether that is $10 or $500 depends entirely on the multiplier, and the multiplier lives at the exchange, not in your file.

The table our parser uses

These are the point values our import applies when it converts futures fills into currency. Values are dollars per one full point of price movement.

Two things about this table are worth noticing before you use it.

Point value is not tick value. A point is one full unit of price; a tick is the smallest increment the contract trades in. ES has a point value of 50 and a minimum tick of 0.25, so one tick is $12.50. Confusing the two is the most common way to size a position four times too large. The tick value calculator converts between them.

The smaller contract is not always a tenth. For the index and energy pairs it is: MES to ES, MNQ to NQ, MYM to YM, M2K to RTY, MCL to CL, MGC to GC, M6E to 6E — all exactly one tenth. Three in the table are not, and they are the ones that catch people:

• MBT 0.1 against BTC 5 — a fiftieth, not a tenth.
• MET 0.1 against ETH 50 — a five-hundredth.
• SIL 1000 against SI 5000 — a fifth, because it is the 1,000-ounce silver contract rather than a micro.

Assuming "the small one means divide by ten" is wrong on exactly the contracts where being wrong is expensive.

How a ticker decodes

Futures tickers carry the delivery month and year on the end, and a journal has to strip them to know what it is holding:

NQH5   → root NQ,  March 2025
MESH5  → root MES, March 2025
ESH25  → root ES,  March 2025
6EH5   → root 6E,  March 2025

The month letters run in a fixed sequence — F G H J K M N Q U V X Z for January through December, with I and L skipped because they read as 1. So H is March, M is June, U is September and Z is December: the four quarterly months that carry almost all index-futures volume.

Our parser takes the trailing month letter and one or two year digits, and treats the rest as the root. That rule is what lets NQH5 and NQM5 both resolve to NQ — which is convenient for the multiplier and has a consequence for your statistics, covered in futures rollover.

What happens with a contract we do not know

The table above is the common contracts, not every listed future. When the root is not in it, our parser applies a multiplier of one.

That choice deserves stating plainly, because it does not produce an error and it does not produce a wrong number:

• Nothing breaks and no row is dropped.
• The P&L for that instrument is the price difference times quantity — in points, not in currency.
• On screen, points and dollars look identical. A "+40" is a good day or a rounding error depending on a fact the interface does not display.

The reason for the fallback rather than a refusal is that a wrong multiplier is worse than an absent one: guessing 50 for a contract worth 1000 understates your risk by a factor of twenty, and it looks entirely plausible. Leaving the figure in points is at least reconcilable against your broker's own statement, which is the check that catches it.

If your futures P&L does not match your broker, this is the first thing to test: take one trade, compute the price difference by hand, and see whether the journal's figure equals that difference or that difference times a multiplier. The answer tells you immediately which of the two you are looking at.