Deribit Perpetual

The Deribit Perpetual is a derivative product similar to a future, however, without an expiry date. The perpetual contract features funding payments. These payments have been introduced to keep the perpetual contract price as close as possible to the underlying crypto price - the Deribit BTC Index. If the perpetual contract trades at a higher price than the index, traders that have long positions need to make funding payments to the traders having short positions. This will make the product less attractive to the long position holders and more attractive to the short position holders. This subsequentially will cause a perpetual price to trade in line with the price of the index. If the perpetual trades at a price lower than the index, the short position holders will have to pay the long position holders.

 

The Deribit perpetual contract features a continuous measurement of the difference between the mark price of the contract and the Deribit BTC Index. The percentage difference between these two price levels is the basis for the 8-hourly funding rate that is applied to all outstanding perpetual contracts.

 

Funding payments are calculated every millisecond. The funding payments will be added to or subtracted from the realized PNL account, which is also part of the available trading balance. At the daily settlement, the realized PNL will be moved to or from the cash balance, from which withdrawals can be made.

 

The total funding paid will show up in the transaction history in the "funding" column. This column shows the funding amount that is applied to the trader's entire net position in the period between the relevant trade and the trade before that. Put differently: the trader can see the funding paid or received on the position between position changes.

 

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.

Contract Size

10 USD

Initial Margin

The initial margin starts with 1.0% (100x leverage trading) and linearly increases by 0.5% per 100 BTC increase in the 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 the position size. When the account's margin balance is lower than the maintenance margin, positions in the account will be incrementally reduced in order 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% + (Position Size in BTC) * 0.005%

Mark Price

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

 

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

 

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

Delivery/Expiration

No Delivery / Expiration

Fees

Check this page for Deribit fees.

Position Limit

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 raised based on an account evaluation.

 

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.

Contract Size

1 USD

Initial Margin

The initial margin starts with 2.0% (50x leverage trading) and linearly increases by 1% per 5,000 ETH increase in the position size.

 

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

Maintenance Margin

The maintenance margin starts with 1% and linearly increases by 1% per 5,000 ETH increase in the position size.

Mark Price

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

 

Mark Price = Index price + 30 seconds EMA of (Perpetual Fair Price - Index Price)

 

The perpetual fair price is the average of bid and ask price for 1 ETH size order.

Delivery/Expiration

No Delivery / Expiration

Fees

Check this page for Deribit fees.

Position Limit

Maximum allowed position is 10,000,000 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 raised based on an account evaluation.

 

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

 

Funding Rate

When the funding rate is positive, long position holders pay funding to the short position holders; when the funding rate is negative, short position holders pay funding to the long position holders. The funding rate is expressed as an 8-hour interest rate, and is calculated at any given time as follows:

 

Premium Rate

Premium Rate = ((Mark Price - Deribit Index) / Deribit Index) * 100%

 

Funding Rate

Sequentially, the funding rate is derived from the premium rate by applying a damper.

  • If the premium rate is within -0.05% and 0.05% range, the actual funding rate will be reduced to 0.00%.
  • If the premium rate is lower than -0.05%, then the actual funding rate will be the premium rate + 0.05%.
  • If the premium rate is higher than 0.05%, then the actual funding rate will be the premium rate - 0.05%.
  • Additionally, the funding rate is capped at -/+0.5%, expressed as an 8-hour interest rate.

 

Funding Rate = Maximum (0.05%, Premium Rate) + Minimum (-0.05%, Premium Rate)

 

Time Fraction

Time Fraction = Funding Rate Time Period / 8 hours

 

The actual funding payment is calculated by multiplying the funding rate by the position size and the time fraction.

 

Funding Payment = Funding Rate * Position Size * Time Fraction


Example 1

If the mark price is at USD 10,010 and the Deribit index is at USD 10,000, the funding rate and premium rate are calculated as follows:

 

Premium Rate = ((10,010 - 10,000) / 10,000) * 100% = 0.10%

 

Funding Rate = Maximum (0.05%, 0.10%) + Minimum (-0.05%, 0.10%) = 0.10% - 0.05% = 0.05%

 

Let's assume a trader has a long position of USD 10,000 (1 BTC) for 1 minute, and during this minute the mark price remains at USD 10,010 and the Deribit index remains at USD 10,000, in this case the funding calculation for this period is:

 

8 hours = 480 minutes:

 

Funding Rate = 1/480 * 0.05% = 0.0001041667%

 

Funding Payment = 0.0001041667% * 1 BTC = 0.000001041667 BTC

 

The short position holders receive this amount and the long position holders pay it.

Example 2

If a trader chose to hold the position of the previous example for 8 hours and the mark price and Deribit index remained at USD 10,010 and USD 10,000 for the entire period, then the funding rate would be 0.05%. The funding payment would be paid by the longs and received by the shorts. For 8 hours, it would have been 0.0005 BTC (or USD 5.00).

Example 3

If the mark price is USD 10,010 for 1 minute and then changes to USD 9,990 the minute after that, however, the Index remains at USD 10,000, then the net funding in these 2 minutes for a 1 BTC long position is exactly 0 BTC.

After the first minute, the trader would pay 1/480 * 0.05% = 0.0001041667% * 1 BTC = 0.000001041667 BTC, however, the minute after, the trader would receive exactly the same amount.

Example 4

The mark price is USD 10,002, and the Index remains at USD 10,000.

 

In this case, the real-time funding is zero (0.00%) because the mark price is within the 0.05% range from the index price(within USD 9,990 and USD 10,010).

 

This can be checked by using the premium rate and funding rate formulas:

 

Premium Rate = ((10,002 - 10,000) / 10,000) * 100% = 0.02%

 

Funding Rate = Maximum (0.05%, Premium Rate) + Minimum (-0.05%, Premium Rate) = 0.05% - 0.05% = 0.00%

 

In reality, the spread of the Deribit BTC Index and the mark price changes continuously, and all changes are taken into account. Therefore, the examples above are extreme simplifications of the actual calculations. The funding paid or received is continuously added to the realized PNL and is moved to or from the cash balance at the daily settlement, at 08:00 UTC.

 

Fees on Funding

Deribit does not charge any fees on funding. All the funding payments are transferred between the holders of the perpetual contracts. This makes the funding a zero-sum game, where longs receive all funding from shorts, or shorts receive all funding from longs.

 

Mark Price

It is essential to understand how the mark price is calculated. We start by determining the "Fair Price". The fair price is calculated as the average of the fair impact bid and the fair impact ask.

The fair impact bid is the average price of a 1 BTC market sales order or the best bid price - 0.1%, whichever has a greater value.

 

The Fair Impact Ask is the average price of a 1 BTC market purchase order or the best ask price + 0.1%, whichever has a lower value.

  • Fair Price = (Fair Impact Bid + Fair Impact Ask) / 2

 

The mark price is derived using both the Deribit Index and the fair price, by adding to the Deribit Index the 30 second exponential moving average (EMA) of the Fair Price - Deribit Index.

  • Mark Price = Deribit Index + 30 second EMA (Fair Price - Deribit Index)

 

Further, the mark price is hard limited by Deribit Index +/- 0.5%, so under no circumstances, the mark price of the future can divert for more than 0.5% from the Deribit Index.

 

Trading outside of this bandwidth is still allowed.

 

The 30 second EMA is recalculated every second, so in total, there are 30 time periods in which the measurement of the latest second has a weight of 2 / (30 + 1) = 0.0645 or (6.45%).

 

Allowed Trading Bandwidth

Two parameters bound the trading range:

 

Perpetual trades are limited by Deribit Index + 1 minute EMA (Fair Price - Index) +/- 1.5%, and a fixed bandwidth of the Deribit Index of +/- 7.5%.

 

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