Futures Documentation

1.Futures

Bitcoin Futures on Deribit exchange receive cash settlement rather than the physical delivery stock. This means the buyer of BTC Futures, at settlement won’t buy the actual BTC, nor the seller sell the BTC at agreed price. There will be only a transfer of losses/gains at settlement.

1.1.Contract Specifications

Underlying asset/ ticker Deribit BTC Index
Contract 1 dollar per Index Point
Trading hours 24H
Minimum price change US $0.01
Settlement There is only settlement at expiration. Your realised and unrealised profits are always in real time added to your equity and are always available for withdrawal if your margin permits this.
Expiration dates Weekly future with each friday at 08.00 UTC. As soon as “current week” expires, a new “this week” instrument will be created with expiration date 1 week away.
Contract size US $10
Initial margin 10% (25x margin trading). Initial margin requirements can be changed without prior notice if market circumstances demand such action. Usual initial margin is 5%.
Maintenance margin 5%. When account equity is lower than the maintenance margin, positions in the account will be incrementally (up to 400 future contracts/liquidation) reduced as to keep maintenance margin lower than the equity in the account. Maintenance margin requirements can be changed without prior notice if market circumstances demand such action.
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. See here for a detailed explanation.
Delivery/Expiration Every Friday 08.00 UTC
Delivery Price Time weighted average of Deribit BTC index measured between 07.30 and 08.00 UTC
Delivery method Cash settlement in BTC
Fees Taker fee 0.05% / Maker rebate 0.02% / Delivery fee 0.025%

1.2.Mark Price

To calculate unrealised profits and losses in future contracts, not always the last traded price of the future is used.

If the last traded price is not within the current best bid-ask, then the bid price or ask price will be used, whichever is nearer to the last traded price.
Further the mark price can never differ more than 10% from the Deribit BTC index +/- implied interest rate (which we call the ” fair price” for the weekly future, or when in last half hour before expiration, the estimated delivery price. These rules will prevent liquidations due to manipulative trading. Implied interest rate can change every 6 seconds with a limited rate to follow traded prices, though with a certain limit in velocity, such that with an immediate move of the future, the mark price can only move immediately up to 10% either way from fair price. Fair price will always trail mark price, by increasing/decreasing the fair price at a limited rate every 6 seconds.

Examples:

1.
INDEX=870.00
BID/ASK= 871-871.50
LAST= 871.70

The Mark Price for calculating profits/losses in future contracts will be 871.50

2.
INDEX=870.00
BID/ASK=871/871.50
LAST= 871.20

The Mark Price will be 871.20

The implied interest rate is updated every 6 seconds to make the mark price follow the bid-ask, this happens at a limited velocity to prevent immediate drops or raises in mark price without any changes in the Index. (though

 

1.3.Example (futures)

For better understanding how Bitcoin Futures work on the Deribit platform, below is set out an example.

If you buy 100 future contracts with size US $10 each at a price of US $600 per BTC, you go long $1000 worth of bitcoin for $600 (100 contracts of US$10 dollar each makes US$1000). Imagine that you close the contracts by selling at $700. Basically you agreed upon buying $1000 worth of bitcoins for $600/bitcoin, and later you sold $1000 worth of bitcoin for $700/bitcoin. Your profit is 1000/600 – 1000/700 = 0,238095BTC or 166.66USD with bitcoin priced at $700. If both orders were taker orders, the total fee paid on this round trip would have been 2x 0.05% of 1000USD = 1USD (debited in BTC, so 0.5/600BTC + 0.5/700BTC = 0.0008333 + 0.00071425 = 0.00154755 BTC.) The margin you required to purchase US $1000 worth of contracts is $40 dollar (4% of $1000) and thus 40/600BTC= 0,0666BTC

1.4.Order types (futures)

Currently our matching engine handles “limit orders” and “post-only” orders.

By placing a post-only order, your order will not match immediately with the orderbook under any circumstance, such that in case of execution of the order, the trader will receive a rebate or pay lower transaction costs.

Examples:
You place a “post-only” buy order for USD 800, but in the orderbook is a sales order for USD 799. In this case, the matching engine will adjust the price of your order to 798.99. Your order will not execute immediately and if executed you will receive a rebate instead of paying commissions.

You place a “post-only” sales order for USD 800, but in the orderbook is a buy order for USD 801. In this case, the matching engine will adjust the price of your sales order to USD 801.01.

If your original order would enter the order book immediately without any matching, the order goes in the orderbook with the original price given in the order, as if it was a normal limit order.

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