Futures

Bitcoin Futures on Deribit are cash settled rather than settled by physical delivery of BTC. This means that at the settlement, the buyer of BTC Futures will not buy the actual BTC, nor the seller will sell BTC. There will only be a transfer of losses/gains at the settlement of the contract, based on the expiration price (calculated as the last 30 minute average of the BTC price index).

 

Contract Specifications BTC


Underlying Asset/Ticker

Deribit BTC Index

Contract

1 USD per Index Point, with contract size USD 10

Trading Hours

24/7

Minimum Tick Size

0.50 USD

Settlement

Settlements take place every day at 8:00 UTC. Realized and unrealized session profits (profits made between settlements) are always added in real-time to the equity. However, they are only available for withdrawal after the daily settlement. At the settlement, session profits/losses will be booked to the BTC cash balance.

Expiration Dates

Expirations always take place at 08:00 UTC, on the last Friday of the month. Currently, there are 3 quarterly futures (Expiring the last Friday of March, June, September, and December). A new future with a new expiry date will be added 1 hour before the expiry of the front future.

Contract Size

10 USD

Mark Price

The mark price is the price at which the futures contract will be valued during trading hours. This can (temporarily) vary from the actual futures market price in order to protect market participants against manipulative trading.

 

Mark Price = Index price + 30 seconds EMA of (Futures Market Price - Index Price).

 

The market price is the last traded futures price if it falls between the current best bid and the best ask. Otherwise, if the last traded price is lower then the best bid, the market price will be the best bid. If the last traded price is higher than the best ask, the market price will be the best ask.

Delivery/Expiration

Friday, 08:00 UTC.

Delivery price

Time-weighted average of Deribit BTC index, as measured between 07:30 and 08:00 UTC.

Delivery Method

Cash settlement in BTC.

Fees

Check this page for Deribit fees.

Position Limit

The maximum allowed position is 1,000,000 contracts (USD 10,000,000). Portfolio margin users are excluded from this limit and can build up larger positions. On request, the position limit could be increased based on an account evaluation.

Initial Margin

The initial margin starts with 1.0% (100x leverage trading) and linearly increases by 0.5% per 100 BTC increase in position size.

 

Initial margin = 1% + (Position Size in BTC) * 0.005%

Maintenance Margin

The maintenance margin starts with 0.525% and linearly increases by 0.5% per 100 BTC increase in position size.

 

When the account margin balance is lower than the maintenance margin, positions in the account will be incrementally reduced to keep the maintenance margin lower than the equity in the account. Maintenance margin requirements can be changed without prior notice if market circumstances demand such action.

 

Maintenance Margin= 0.525% + (PositionSize in BTC) * 0.005%

Block Trade

Minimum USD 200,000.00

 

Contract Specifications ETH


Underlying Asset/Ticker

Deribit ETH Index

Contract

1 USD per Index Point, with contract size USD 1

Trading Hours

24/7

Minimum Tick Size

0.05 USD

Settlement

Settlements take place every day at 8:00 UTC. Realized and unrealized session profits (profits made between settlements) are always added in real-time to the equity, however, they are only available for withdrawal after the daily settlement. At the settlement, session profits/losses will be booked to the ETH cash balance.

Expiration Dates

Expirations always take place at 08:00 UTC, on the last Friday of the month. Currently, there are 3 quarterly futures (Expiring the last Friday of March, June, September, and December). A new future with a new expiry date will be added 1 hour before the expiry of the front future.

Contract Size

1 USD

Initial Margin

The initial margin starts with 2.0% (50x leverage trading) and linearly increases by 1.0% per 5,000 ETH increase in position size.

 

Initial margin = 2% + (Position Size in ETH) * 0.0002%

Maintenance Margin

The maintenance margin starts with 1.0 % and linearly increases by 1.0% per 5,000 ETH increase in position size.

Mark Price

The mark price is the price at which the futures contract will be valued during trading hours. This can (temporarily) vary from the actual futures market price in order to protect market participants against manipulative trading.

 

Mark Price = Index price + 30 seconds EMA of (Futures Market Price - Index Price)

 

The market price is the last traded futures price if it falls between the current best bid and the best ask. 

 

Otherwise, if the last traded price is lower then the best bid, the market price will be the best bid. If the last traded price is higher than the best ask, the market price will be the best ask.

Delivery/Expiration

Friday, 08:00 UTC.

Delivery price

Time-weighted average of Deribit ETH index as measured between 07:30 and 08:00 UTC.

Delivery Method

Cash settlement in ETH.

Fees

Check this page for Deribit fees.

Position Limit

The maximum allowed position is 5,000,000 contracts (USD 5,000,000). Portfolio margin users are excluded from this limit and can build up larger positions. On request, the position limit could be increased based on an account evaluation.

Block Trade

Minimum USD 100,000.00

 

Examples of Initial Margin:

BTC Position size

Maintenance Margin

Margin in BTC

0

1% + 0 = 1%

0

25

1% + 25/100 * 0.5% = 1.125%

0.28125

350

1% + 350/100 * 0.5% = 2.75%

9.625

 

Examples of Maintenance Margin:

BTC Position size

Maintenance Margin

Margin in BTC

0

0.525%

0

25

0.525% + 25 * 0.005% = 0.65%

0.1625

350

0.525% + 350 * 0.005% = 2.275%

7.9625

 

Example:

To better understand how futures contracts work on Deribit, below is an example:

A trader buys 100 futures contracts (size of one futures contract is 10 USD), at 10,000 USD per BTC. The trader is now long  (buys) 1,000 USD worth of BTC with a price of 10,000 USD (100 contracts x 10 USD = 1,000 USD).

  • Let's assume that the trader wants to close this position and sell these contracts at the price of 12,000 USD. In this scenario, the trader agreed to buy 1,000 USD worth of bitcoins at 10,000 USD, and later sold 1,000 USD worth of BTC for 12,000 USD/BTC.
  • The trader's profit is 1,000/10,000 – 1,000/12,000 = 0.01666 BTC or 200 USD, with BTC priced at 12,000 USD.
  • If both orders were taker orders, the total fee paid on this round would be  2 * 0.075% of 1,000 USD = 1.5 USD (debited in BTC, so 0.75/10,000 BTC + 0.75/12,000 BTC = 0.000075 + 0.0000625 = 0.0001375 BTC)
  • The margin required to purchase 1,000 USD worth of BTC contracts is 10 USD (1% of 1,000 USD) and thus equals 10/10,000 BTC= 0.001 BTC. Margin requirements increase as a percentage of the position,  with a rate of 0.5% per 100 BTC.

 

Mark Price

When calculating unrealized profits and losses of futures contracts, not always the last traded price of the future is used.

To calculate the mark price, first, we must calculate the 30 second EMA (exponential moving average) of the difference between the last traded price (or the best bid/ask when the last traded price falls outside the current best bid/ask spread) and the Deribit Index.

  • The mark price is calculated as:

Index Price + 30 seconds EMA of (Last Traded Price - Deribit Index)

  • Further, there is a limit of how fast the spread between the Deribit BTC Index and the last traded future price can change:

The trading range is limited by a bandwidth of 3% around the 2 minute EMA of the mark price and index price difference (+/-1.5%).

The mark price bandwidth is displayed in the futures order form showing the current minimum and maximum allowed trading price (above the price field). 

The mark price can never differ by more than a certain % from the Deribit Index. By default, the percentage that the mark price is allowed to trade away from the index is 10% for BTC and 10.5% for ETH. If the market requires trading with higher discount or premium (for example, in volatile periods or periods of ever-increasing contango or backwardation), the bandwidth can be increased.

 


Allowed Trading Bandwidth

The trading range is bound by 2 parameters:

Deribit Index + 1 minute EMA (Fair Price - Index) +/- 1.5% and a fixed bandwidth around the Deribit Index +/- 10.0%.

 

If market circumstances require so, bandwidth parameters could be adjusted at the sole discretion of Deribit.

 

Limit orders beyond the bandwidth will be adjusted to the maximum possible buy price or minimum possible sell price. Market orders will be adjusted to limit orders with the minimum or maximum price allowed at that moment.