Futures
| Underlying | Bitcoin | Ethereum |
|---|---|---|
| Ticker | BTC-DDMMMYY | ETH-DDMMMYY |
| Index | Thalex BTCUSD | Thalex ETHUSD |
| Contract Size | 1 BTC valued at 1 USD per Index Point | 1 ETH valued at 1 USD per Index Point |
| Quotation | USD | USD |
| Minimum Order Size | 0.001 BTC | 0.01 ETH |
| Volume Tick Size | 0.001 BTC | 0.01 ETH |
| Price Tick Size | 1 USD | 0.1 USD |
| Collateral | BTC, ETH, USDt, USDC | BTC, ETH, USDt, USDC |
| Settlement Coin | USDt | USDt |
| Daily Settlement | At 08:00 UTC | At 08:00 UTC |
| Daily Settlement Procedure | Futures-style settlement at the Mark Price | Futures-style settlement at the Mark Price |
| Final Settlement | At 08:00 UTC on the day of expiration | At 08:00 UTC on the day of expiration |
| Exchange Delivery Settlement Price ('EDSP') | Time-weighted average BTC Index between 07:30 and 08:00 UTC on the day of expiration | Time-weighted average ETH Index between 07:30 and 08:00 UTC on the day of expiration |
| Final Settlement Procedure | Cash settlement in the Settlement Coin based on the EDSP | Cash settlement in the Settlement Coin based on the EDSP |
Examples of tickers:
- BTC-25MAR22 is a Bitcoin futures that expires at 08:00 UTC on 25 March 2022
- ETH-28OCT22 is an Ethereum futures that expires at 08:00 UTC on 28 October 2022
Mark Price
The Mark Price consists of the Index and a 30-second exponential moving average of the Premium, which is updated approximately every second. The Premium is the difference between the Index and the bid/ask constrained mid-price, which is based on 0.1 BTC or 2 ETH of perp contracts.
Mid-Price is calculated as the average of FairDepthBid and FairDepthAsk, where FairDepthBid and FairDepthAsk are the average price to buy/sell 0.1 BTC or 2 ETH perpetual contracts.
The EMA30 is a smooth exponential time-based decay, where each additional second contributes 2/31, so that the center of mass is equal to that of a standard moving average over 30 seconds.
In case of insufficient liquidity, mark price will be based on an interpolation of the mark price of neighbouring Futures.
Expiration Introduction
Futures are introduced at 08:00 UTC on the day of introduction.
| Maturity | Lifetime | Introduction |
|---|---|---|
| Daily | 48 hours | Daily |
| Weekly | 3 weeks | Friday |
| Monthly | 2 months | Last Friday of the month |
| Quarterly | 7 months | Last Friday of February, May, August and November |
Examples:
| Instrument | Maturity | Introduced at 08:00 UTC on | Expires at 08:00 UTC on |
|---|---|---|---|
| BTC-19MAY22 | Daily | Tuesday May 17th, 2022 | Thursday May 19th, 2022 |
| BTC-20MAY22 | Weekly | Friday May 6th, 2022 | Friday May 27th, 2022 |
| BTC-27MAY22 | Monthly | Friday March 25th, 2022 | Friday May 27th, 2022 |
| BTC-30DEC22 | Quarterly | Friday May 27th, 2022 | Friday December 30th, 2022 |