2.3.8 Rate Futures Contract

Introduction 

The CoinFLEX Rate Index is applicable to all of CoinFLEX’s perpetual contracts and represents the $ funding payment on a long 1 BTC (or 1 ETH etc……) perpetual futures position on CoinFLEX made every 8 hours to CoinFLEX’s perpetual contract holders.  For example see below some sample data for the BTC rate index.

%E8%9E%A2%E5%B9%95%E6%88%AA%E5%9C%96 2020 11 27 %E4%B8%8B%E5%8D%887.58.34 2.3.8 Rate Futures Contract

The CoinFLEX Rate Futures is a derivative contract with the respective coin Rate Index acting as the underlying.  It allows the contract holder to hedge against any funding exposure they might have from holding a perpetual contract in the same coin.

 

Listed Contracts

The exchange will list 4 weekly and 12 monthly futures with the following market code convention:

  • Weekly BTC
    • BTC-Rate-WKMMDD (where MM is the month integer and DD is the Friday day integer for the week)
  • Monthly BTC
    • BTC-Rate-JanYY (where YY is the year integer)
    • BTC-Rate-FebYY
    • BTC-Rate-MarYY
    • BTC-Rate-AprYY
    • BTC-Rate-MayYY
    • BTC-Rate-JuneYY
    • BTC-Rate-JulyYY
    • BTC-Rate-AugYY
    • BTC-Rate-SeptYY
    • BTC-Rate-OctYY
    • BTC-Rate-NovYY
    • BTC-Rate-DecYY

Same convention follows for Rate Futures contracts on other coins.

 

Minimum Price Fluctuation (Tick Size)

Weekly Futures: Tick Size: $0.50

Monthly Futures: Tick Size: $1.00

 

Settlement Date/Time

Weekly Futures: 12pm UTC, Friday of the contract week

Monthly Futures: 12pm UTC, the last Friday of the contract month

 

Settlement Method

Rate Futures are cash settled and the settlement price will be the cumulative sum of the Rate Index for the specified contract week or month.   

For weekly contracts the delivery week spans from Friday 12pm UTC of the previous week to Friday 12pm UTC of the contract delivery week. 

For monthly contracts the delivery month spans from the last Friday 12pm UTC of the previous month to last Friday 12pm UTC of the current contract delivery month. 

 

Rate Futures Mark Price 

Current Week: If the Rate Index is partially known for the contract week because the current date/time is after the beginning of the contract week then the mark price is:-

  • Sum of all the known Rate Index for the contract week so far + coin spread price from now until the expiry of the contract week as determined by the exchange.

 

Future Weeks: If the Rate index is not known yet for the delivery week because the current date/time is before the beginning of the contract week then the mark price is:-

  • The price spread between the coin futures price of the contract week and the prior contract week as determined by the exchange.

 

Current Month: If the Rate Index is partially known for the contract month because the current date/time is after the beginning of the contract month then the mark price is:-

  • Sum of all the known Rate Index for the contract month so far + coin spread price from now until the expiry of the contract month as determined by the exchange.

 

Future Months: If the Rate index is not known yet for the delivery month because the current date/time is before the beginning of the contract month then the mark price is:-

  • The price spread between the coin futures price of the contract month and the prior contract month as determined by the exchange.

 

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