Futures Contracts

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Futures Contracts

List of cryptocurrency exchanges supporting future contracts

Quick overview of Futures contracts per exchange

BitMEX


Deribit

  • Mark Price: The mark price is being calculated as the index price + 30 seconds EMA of (Fair Price - Index Price). The Fair Price is the 1BTC deep average of bid and ask of the order book.


OKEx

  • Mark Price Computation: Mark price = Spot Index Price + Moving Average of Basis

The date of expiry is included in the name of each instrument. https://www.okex.com/markets/futures-info/btc-usd-weekly.

  • BTCUSD0522
  • BTCUSD0529
  • BTCUSD0626
  • BTCUSD0925


Technical specifications of these contracts

BitMEX

Mechanics of Futures Markets
  • When trading futures contracts, a trader needs to be aware of several mechanics of the futures market. The key components a trader needs to be aware of are:


1 Multiplier: How much is one contract worth? You can see this information under the Contract Specifications for each instrument.

2 Position Marking: Futures contracts are marked according to the Fair Price Marking method . The mark price determines Unrealised PNL and https://www.bitmex.com/app/liquidation.

3 Initial and Maintenance Margin: These key margin levels determine how much leverage one can trade with and at what point liquidation occurs.

4 Settlement: How and when the futures contract expires, or settles, is important for traders to understand. BitMEX employs an averaging over a period of time prior to settlement to avoid price manipulation. This time frame may vary from instrument to instrument and traders should read the individual contract specifications to see when is expiry and the individual settlement procedure.

5 Basis: The basis refers to what premium or discount the futures contract trades at when compared to the underlying spot price and is usually quoted as an annualised %. Basis exists since futures contracts expire in the future and there is either a positive or negative time value element attached to that expiry uncertainty.

Further information available here.

Calculation of Fair Price for Futures Contracts here

The Fair Price marking calculation for Futures Contracts is slightly different to a Perpetual Contract, and is done by comparing the Impact Mid Price of a contract to its underlying Index Price. This is used to then calculate the % Fair Basis which is then used in the derivation of the Fair Price. Detailed info on the Fair price for Futures Contracts.


  • Impact Bid, Ask, and Mid Price
Impact Bid, Ask, and Mid Price
Impact Mid Price = Average (Impact Bid Price, Impact Ask Price) where;
Impact Bid Price = The average fill price to execute the Impact Margin Notional on the Bid side
Impact Ask Price = The average fill price to execute the Impact Margin Notional on the Ask side

The Impact Margin Notional is the notional available to trade with 0.1 XBT worth of margin (i.e. 0.1 XBT / Initial Margin) and is used to determine how deep in the order book to measure either the Impact Bid or Ask Price.

For Example:

Contract Initial Margin Impact Margin Notional
XBT Quarterly 1% 0.1 XBT / 0.01 = 10 XBT
XBJ Quarterly 4% 0.1 XBT / 0.04 = 2.5 XBT
ETC Weekly 10% 0.1 XBT / 0.10 = 1 XBT


  • Fair Price Derivation

Once BitMEX has calculated the Impact Mid Price, it can use this number to calculate the % Fair Basis. The % Fair Basis will then be used to calculate the Fair Value of the futures contract which is added to the Index Price to finally create the Fair Price which is used for marking purposes.

% Fair Basis = (Impact Mid Price / Index Price - 1) / (Time To Expiry / 365)
Fair Value = Index Price * % Fair Basis * (Time to Expiry / 365)
Fair Price = Index Price + Fair Value

For Example

Impact Mid Price = $105
Underlying Index = $100
Time To Expiry = 30 Days
% Fair Basis = ($105 / $100 - 1) / (30 / 365) = 60.8%
Fair Value = $100 * 60.8% * (30/365) = $5
Fair Price = $100 + $5 = $105
Bitcoin Futures instruments on BitMEX
  • XBTM20 - June 2020 (See Month Codes Reference)
Expiry Date Jun 26, 2020, 2:00:00 PM
Mark Price The Mark Price is the price at which the contract is marked for Unrealised PNL and Liquidation purposes.

Full Contract details here https://www.bitmex.com/app/contract/XBTM20


  • XBTU20 - September 2020 (See Month Codes Reference)
Expiry Date Sep 25, 2020, 2:00:00 PM
Mark Price The Mark Price is the price at which the contract is marked for Unrealised PNL and Liquidation purposes.

Full Contract details here https://www.bitmex.com/app/contract/XBTU20

Term Definition for BitMEX
Term Definition
Wallet Balance Deposits - Withdrawals + Realised PNL
Unrealised PNL Current profit and loss from all open positions.
Margin Balance Your total equity held with the exchange. Margin Balance = Wallet Balance + Unrealised PNL.
Position Margin The portion of your margin that is assigned to the initial margin requirements on your open positions. This is the entry value of all contracts you hold divided by the selected leverage, plus unrealised profit and loss.
Order Margin The portion of your margin that is assigned to the initial margin requirements on your open orders.
Available Balance Your margin available for new positions. Available Balance = Margin Balance - Order Margin - Position Margin.

Deribit

Bitcoin Futures instruments on Deribit

There are general Contract specifications for futures on Deribit to be found here on their guide. Deribit offers three instruments for futures contracts.

Expiry Date Jun 26, 2020, at 08.00 UTC
Mark Price

The mark price is the price at which the future contract will be valued during trading hours. This can (temporarily) vary from the actual futures market prices to protect against manipulative trading. The mark price is being calculated as the index price + 30 seconds EMA of (Fair Price - Index Price). The Fair Price is the 1BTC deep average of bid and ask of the order book.

Contract 1 dollar per Index Point, with size in USD, in multiples of $10
Contract size 10 USD


Expiry Date Sep 25, 2020, at 08.00 UTC
Mark Price

The mark price is the price at which the future contract will be valued during trading hours. This can (temporarily) vary from the actual futures market prices to protect against manipulative trading. The mark price is being calculated as the index price + 30 seconds EMA of (Fair Price - Index Price). The Fair Price is the 1BTC deep average of bid and ask of the order book.

Contract 1 dollar per Index Point, with size in USD, in multiples of $10
Contract size 10 USD


Expiry Date Dec 25, 2020, at 08.00 UTC
Mark Price

The mark price is the price at which the future contract will be valued during trading hours. This can (temporarily) vary from the actual futures market prices to protect against manipulative trading. The mark price is being calculated as the index price + 30 seconds EMA of (Fair Price - Index Price). The Fair Price is the 1BTC deep average of bid and ask of the order book.

Contract 1 dollar per Index Point, with size in USD, in multiples of $10
Contract size 10 USD


OKEx

Bitcoin Futures instruments on OKEx

OKEx offers four Future contracts instruments. All detailed charts for OKEx and trading is in their live market chart - https://www.okex.com/markets/futures-info/btc-usd-weekly. The date of expiry is included in the name of each instrument.

  • BTCUSD0522
  • BTCUSD0529
  • BTCUSD0626
  • BTCUSD0925
Mark Price
  • Mark Price Definition

To safeguard users from unnecessary liquidation triggered by abnormal market price, Mark Price is introduced to calculate the UPL.

  • Mark Price Computation

Mark price = Spot Index Price + Moving Average of Basis

Moving Average of Basis = MA((Best Offer + Best Bid)/2 - Spot Index Price)

Mark Price is constructed based on the Spot Index Price and the Moving Average of Basis. The moving average mechanism smooths out temporary price spikes, reducing unnecessary liquidation under volatile market conditions.

  • Mark Price Application
    • a. UPL calculations

Long positions: UPL = Face Value x Number of Contracts x Latest Mark Price - Face Value x Number of Contracts x Settlement Reference Price Short positions: UPL = Face Value x Number of Contracts x Settlement Reference Price - Face Value x Number of Contracts x Latest Mark Price

    • b. Settlement Price

The Settlement Price for futures contracts is set to the Latest Mark Price at 08:00 UTC every day. The contract delivery time is at 08:00(UTC) on Friday of the expiry week.


For Margin Futures information visit https://okexsupport.zendesk.com/hc/en-us/articles/360035845611-I-OKEx-USDT-Margin-Futures-Introduction


Binance

Contract Specifications

Kraken

Contact Specifications

https://support.kraken.com/hc/en-us/articles/360022632172-Fixed-Maturity-Futures-Contract-specifications

  • Inverse Futures instrument Kraken offers has a code FI_XBTUSD
  • Listed contract - Month, Quarter
  • Last Trading - 16:00 London time
    • Month: Last Friday* of the month
    • Quarter: Last Friday* of a month in the March quarterly cycle (March, June, September, December)
  • LAst trading for Inverse Contracts - 16:00 London time
    • Month: The last Friday* of the calendar month where no contract exists in the following calendar month.
    • Quarter: The last Friday* of the calendar month where a contract exists in the following calendar month
  • Position limits - See Margin Schedule
  • Mark Price - The Mark Price is calculated using the Premium that is bound to the Mid Price, which is capped at a premium of 1% for contracts with 1 day to expiry to expiry and and 6% for contracts with 90 days to expiry.

Note: in the extremely rare circumstance that the Index Price is unavailable for whatever reason, the above caps may not apply and the Mark Price will be equal to the Mid Price.


Phemex