I’m not understanding something in Schweser, and hoping someone can help me clear it up… Reading 61 (Book 5, p. 232) says: “Treasury bill futures contracts are based on a $1 million face value 90 day T-bill and they settle in cash… Each change of 0.01 in the price of a T-bill futures contract is worth $25.” Why is that? A price change of 0.01 is the same as 1bp, right? So how does 1bp x $1mil. = $25?? Shouldn’t it be $100? Also says the same thing about Eurodollar futures.
This is set by the Futures exchange as they wish.
You’re right, here it makes sense, but then how did they set $250 for the S&P 500, and $500 for the CRB index, etc?
Oh right… I forgot to adjust for the time window. Thanks.