Mini-Future — Long
The underlying bought partly on credit from the issuer; a stop-loss closes the position before the credit is exhausted.
Payoff at maturity
Move the parameters; the product formula and its building blocks are recomputed from the same engine that is tested against the workbook.
The stop-loss is path dependent and the financing level is adjusted daily. The chart is the value on a given date, given whether the stop-loss was hit.
- Stop-loss not hit
Value 20 %
Per 10'000 of nominal
| Underlying at maturity | Level | Value | Amount | Gain / loss |
|---|---|---|---|---|
| −30 % | 70 % | 5 % | 500 | −9'500 |
| unchanged | 100 % | 20 % | 2'000 | −8'000 |
| +30 % | 130 % | 50 % | 5'000 | −5'000 |
For leverage products the nominal stands for the initial underlying level; the amount is the value of a position that controlled 10,000 of underlying at the start. Premium, financing and time value are not included. Scenario: Stop-loss not hit.
Data table and formulas
Mini-Future - Long (2210), scenario "Stop-loss not hit": value per unit at maturity for an underlying at 0 % → 5 %; 80 % → 5 %; 85 % → 5 %; 100 % → 20 %; 200 % → 120 % of its initial level.
| Series | Formula | 0 % | 25 % | 50 % | 75 % | 100 % | 125 % | 150 % | 175 % | 200 % |
|---|---|---|---|---|---|---|---|---|---|---|
| Long Underlying | S | 0 | 25 | 50 | 75 | 100 | 125 | 150 | 175 | 200 |
| Short Zero Bond | −financing level | -80 | -80 | -80 | -80 | -80 | -80 | -80 | -80 | -80 |
| Stop-Loss Barrier with Residual Value | if S < stop-loss level: stop-loss level − S; otherwise 0 | 85 | 60 | 35 | 10 | 0 | 0 | 0 | 0 | 0 |
| Product | if S ≥ stop-loss level: S − financing level; otherwise stop-loss level − financing level | 5 | 5 | 5 | 5 | 20 | 45 | 70 | 95 | 120 |
Largest difference between the sum of the blocks and the product formula over the grid: 0.0e+0.
How it is built
Each block drawn on its own, then added. The last chart is the sum, and it is identical to the product line above.
- Long UnderlyingS
- Short Zero Bond−financing level
- Stop-Loss Barrier with Residual Valueif S < stop-loss level: stop-loss level − S; otherwise 0
- Product: stop-loss not hitif S ≥ stop-loss level: S − financing level; otherwise stop-loss level − financing level
Largest gap between the sum of the blocks and the product formula on this grid: 0.0e+0. The same identity is tested for every product and scenario in the site's test suite.
Construction, as listed in the workbook
- Long Underlying (Zero-Strike Call)
- Short Zero Bond (face = Financing Level)
- Stop-Loss Barrier with Residual Value (Stop-Loss - Financing Level)
- Equivalent: Down and Out Long Call - ITM (strike = Financing Level, barrier = Stop-Loss, rebate = residual value)
In plain English
The issuer finances part of the underlying, the financing level, and you pay the rest. The value of the mini-future is underlying minus financing level, so a small amount of capital controls the whole exposure. The financing level rises a little every day as interest accrues, which is why the product is open-ended but should be watched.
A stop-loss sits between the current price and the financing level. If it is hit, the issuer unwinds the position and pays the residual value, approximated here as stop-loss minus financing level. Equivalently the product is a down-and-out call with strike at the financing level, barrier at the stop-loss and a rebate equal to the residual.
Chances and risks
Chances
- Leverage without time value or volatility sensitivity.
- Open-ended: no expiry to manage.
- Residual value after a stop-loss, unlike most knock-outs.
Risks
- A stop-loss event ends the position with a small residual.
- Daily financing costs raise the financing level.
- Issuer credit risk.
Who it fits
- Traders who want transparent leverage and will monitor the position.
Who it does not fit
- Investors who do not follow their positions daily.
Nearby on the map
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