Tick Value
The tick is the minimum price change allowed for a futures contract, fixed by the exchange in the contract specifications. The tick value is the dollar gain or loss per contract for a one-tick move, equal to the tick size multiplied by the contract size or multiplier. Knowing the tick value converts a quoted price change into a precise cash flow, which is the building block of every futures P&L, margin, and risk calculation.
Why it matters
Think of a tick as the smallest possible step on the futures price ladder. The exchange sets this minimum to keep the order book clean and to make pricing comparable across orders. The tick value tells you exactly how much one step on that ladder costs in dollar terms for a single contract. Multiply by the number of ticks and the number of contracts, and you have the position P&L for the day. Tick value is the unit of measurement that turns abstract price points into account-statement dollars.
Formulas
Worked examples
ASX SPI 200 futures have a tick size of one index point and a contract multiplier of A$25.
Tick value A$25 per contract per tick. A 10-point move in the futures price changes the margin account by $10 \times 25 =$ A$250 per contract. For 5 contracts, the cash flow is A$1,250 per 10-point move.
ASX 90-day Bank Accepted Bill futures have a tick size of 0.01 per cent on the yield quote (one basis point) and a notional face value of A$1,000,000. Yields are around 4 per cent.
Tick value A$24.66 per contract. The value varies slightly with the yield level because the contract uses simple interest pricing on a discount instrument. The ASX Interest Rate Derivatives pricing guide provides the exact formula.
Common mistakes
- ✗Tick size is the same across contracts. It varies. ES E-mini futures have a tick of $0.25$ index points worth US$12.50, while CME WTI crude has a tick of US$0.01 per barrel worth US$10 per contract.
- ✗Tick value is always constant. For interest-rate contracts priced from a discount or yield, the dollar value of one basis point changes with the underlying rate. The ASX 90-day bank bill tick value is the canonical example.
- ✗Tick value equals minimum brokerage cost. The two are unrelated. Tick value is the dollar move per minimum price step. Brokerage and exchange fees are charged per contract per round trip regardless of price movement.
Revision bullets
- •Tick size is the minimum price increment for a contract
- •Tick value tick size contract multiplier
- •ASX SPI 200 tick value A$25 per index point
- •ASX 90-day BAB tick value A$24 per basis point, varies with yield
- •Convert ticks to cash P&L for any futures position
Quick check
ASX 90 Day Bank Bill futures have a tick size of $0.01\%$ on the yield quote and face value A$1,000,000. The tick value is approximately:
A trader buys 4 ASX SPI 200 futures at 7,200. The price rises to 7,225 by close. Total profit equals:
Connected topics
In learning paths
Sources
- Australian Securities Exchange. ASX SPI 200 and Mini SPI 200 Index Futures Brochure. ASX, 2023.Primary source for the SPI 200 contract multiplier of A$25 per index point and the one-point tick size used in the worked example.
- Australian Securities Exchange. ASX 90 Day Bank Accepted Bill Futures and Options Factsheet. ASX, 2024.Specifies the 0.01 per cent tick size and the variable A$24-ish tick value driven by simple-interest discount pricing.
- Australian Securities Exchange. Interest Rate Derivatives Price and Valuation Guide. ASX, 2025.Formal pricing reference giving the exact tick value formula for ASX 24 interest rate contracts including 90-day bank bills.
- Hull, John C. Options, Futures, and Other Derivatives. 11th ed. Pearson, 2022. ISBN 978-0-13-693997-9.Discusses contract specification design including tick size and the dollar value per minimum price movement.