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.
2. Contract Specifications
|Underlying asset/ ticker||Deribit BTC Index|
|Contract||1 dollar per Index Point, with contract size $10 USD|
|Trading hours||24H and 7 days a week|
|Minimum tick size||0.1 USD|
|Settlement||Daily settlements at 8.00 UTC. Your realized and unrealized session profits (profits made from one settlement to other settlement) are always in real time added to your equity but are only available for withdrawal after settlement. At settlement your session profits/losses will be booked to your BTC cash balance.|
|Expiration dates||Expirations are always at 08.00 UTC at the end of the month. Currently there is monthly future expiring every month (last friday of the month), and there is a quarterly future expiring the end of the quarter after the expiration date of the monthly future. A new future with new expiry date will be added every second last friday of the month at 08:00 UTC.|
|Contract size||10 USD|
Starting with 2.0% (50x leverage trading), linearly increasing 0.5% per 100BTC increase in position size.
Your position is 0 BTC size: initial margin is 2% ( = 0 BTC)
Your position is 25 BTC in size: initial margin is 2% + 25/100 *0.5% = 2.125% (= 0.53125 BTC)
Your position is 350 BTC in size: initial margin is 2% + 350/100 *0.5% = 3.75% (= 13.125 BTC)
Starting with 1.5%, linearly increasing with 0.5% per 100BTC increase in position size. When account margin balance is lower than the maintenance margin, positions in the account will be incrementally 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.
Your position is 0 BTC size: maintenance margin is 1.5% ( = 0 BTC)
Your position is 25 BTC in size: maintenance margin is 1.5% + 25/100 *0.5% = 1.625% (= 0.40625 BTC)
Your position is 350 BTC in size: maintenance margin is 1.5% + 350/100 *0.5% = 3.25% (= 11.375 BTC)
|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 (MarketPrice-Indexprice). Where market price is the last traded futures price if this falls between current best bid or best ask. Else market price will be best bid if last traded price is lower than best bid, or market price will be best offer if last traded price is higher than best offer.|
|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|
Taker fee 0.05% / Maker rebate -0.02% / Delivery fee 0.025%. Liquidation trades are charged 0.1% extra fee, which will be income for the insurance fund.
|Position Limit||Maximum allowed position is 1.000.000 contracts ($ 10.000.000). Portfolio margin users are excluded from this limit and can build up larger positions. On request position limit could be raised on a per account basis evaluation.|
3. Mark Price
To calculate unrealized profits and losses in future contracts, not always the last traded price of the future is used.
To calculate the mark price, first we calculate the 30 seconds EMA (exponential moving average) of the difference between last traded price (or best bid/ask when last traded price is outside of current BBO) and the Deribit Index.
The mark price is then calculated as the Index Price + 30 seconds EMA of (Last Traded Price - Deribit Index)
Further there is a limit to how fast the spread between the Deribit BTC Index and the last traded future price can change: Trading range is limited by a bandwidth of 4% around the 2 minutes ema of MarkPrice-IndexPrice. (2% up and 2% down)
Thus the spread between the BTC index and the futures mark price is allowed to move up to 2% from index + 2 minute exponential moving average of this spread. In the futures order form you see the current minimum and maximum prices that are allowed for trading (above the price field), and thus automatically this is the allowed potential mark price bandwidth at that moment.
Also the mark price can never differ more than a certain % from the Deribit BTC index. By default the percentage the Deribit BTC index is allowed to trade away from the index is 10%. If the market requires trading with more than 10% discount or premium in for example volatile periods or simply periods of ever increasing contango or backwardation, the bandwidth could be increased.
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 10 USD each at a price of 10.000 USD per BTC, you go long (you buy) 1000 USD worth of bitcoin for 10.000 USD (100 contracts of 10 USD dollar each makes 1000 USD). Imagine that you close the contracts by selling at 12.000 USD. Basically you agreed upon buying 1000 USD worth of bitcoins for 10.000 USD/bitcoin, and later you sold 1000 USD worth of bitcoin for 12.000 USD/bitcoin. Your profit is 1000/10.000 – 1000/12.000 = 0,01666BTC or 200 USD with bitcoin priced at 12.000 USD. If both orders were taker orders, the total fee paid on this round trip would have been 2x 0.05% of 1000 USD = 1 USD (debited in BTC, so 0.5/10.000 BTC + 0.5/12.000 BTC = 0.00005 + 0.000041666 = 0.00091666 BTC) The margin required to purchase 1000 USD worth of contracts is 25 USD (2.5% of 1000 USD) and thus 25/10.000 BTC= 0,0025 BTC. Margin requirements as a percentage of position increase slowly with increasing position size with a rate of 0.5% per 100BTC.
5. Order Types
Currently our matching engine handles "Market", "Limit" orders and "Stop Limit" orders. Further you can specify if you want an order to be hidden and or post-only.
|Market||Market: Your order will be matched for the best possible price. The only price limit attached to this order is the allowed trading bandwidth of the instrument imposed by Deribit Risk Management System.|
|Limit||Limit: Your buy order comes with a maximum limit price or your sales order comes with a minimum sales price. Your order will not match above the order price for buy orders or below the order price for sales orders.|
|Stop-Limit||Stop Limit: A conditional order, where the Limit order only is being sent to the market once the mark price or the index price reached a certain level. For a Buy Stop Limit order the trigger price needs to be higher than current, and for a Sell Stop Limit, the trigger price needs to be lower than current values.|
|Post-Only||Post only: By placing a post-only order, your order will not match immediately with the order book under any circumstance, such that in case of execution of the order, the trader will receive a rebate or pay lower transaction costs. If needed the matching engine will adjust the price of the order, such that it will be the best possible price but still go in the order book as a maker order.|
|Hidden||Hidden: Hidden orders will not show in the order book and thus are invisible to other traders. A hidden order will always match as a taker order, and non hidden orders with the same price have matching preference in the matching engine.|
6. Time in Force
|GTC||Good Till Cancel: This is the default order. An unfilled order remains in the order book. Has included an extra feature: if an order exceeds the min or max accepted price it will be matched immediately up to the allowed min or max and the rest of the order will be cancelled.|
|FOK||Fill or Kill: Execute a transaction immediately and completely or not at all.|
|IOC||Immediate or Cancel: Execute a transaction immediately and any portion of the order that cannot be immediately filled will be cancelled.|