Understanding mark and expiration prices of dated futures
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What is the expiration price of a dated future?
Every Dated Future at Bullish will expire to an independently calculated price provided by a reputable provider.
What is the expiration price of a Bitcoin (BTC) dated future?
The expiration price for a BTC dated futures contract is the “CoinDesk Bitcoin CCIXber 30m Hong Kong Rate”, symbol CBTCR3HK, which is a 30-minute TWAP of the closing minute values of CoinDesk’s BTC-USD CCIXber index between 07:30am and 08:00 UTC (3:30 pm to 4:00 pm Hong Kong Time). This is calculated independently and usually made available to Bullish at around 08:05 UTC.
What is the mark price of a dated future?
Similar to perpetual futures, Mark Price is used for determining the current fair value of a dated futures contract. As such, it always tracks the indicative expiry price. Unlike the market price or the last trade price, both of which can be influenced by temporary market fluctuations and are expected to have a higher volatility, the Mark Price mitigates idiosyncratic price fluctuations and reduces the risk of forced liquidations. The Mark Price is available via API.
What is the mark price of a Bitcoin (BTC) dated future?
Bitcoin Dated Futures follow distinct calculation methodologies, measured relative to the expiration date and time. These are shown below.
Stage 1: Prior to the first TWAP observation being available (07:31am UTC on the expiration date)
Until just under 29 minutes before expiry, the Mark Price is the current Bullish spot index price .bxBTC, adjusted by the relevant interest rate and the time to expiry.
Stage 2: From the first TWAP observation being available (07:31am UTC on the expiration date) until the official expiration date and time (08:00 UTC)
During this period the Mark Price is adjusted to a weighted combination of the known values (n of 30 x 1 minute observations) and the best guess of the remaining values (30 - n of 30 x the “Stage 1” value, i.e. .bxBTC adjusted by the interest rate and time to expiry). Toward the end of the 30 minute window the Mark Price may be expected to be very close to the final Expiry Price as an increasing percentage of the value is known and the likely future price movements are also somewhat restricted.
Stage 3: After the official expiration date and time (08:00 UTC on the expiration date)
As the Dated Future has expired, no Mark Price is available. Once Bullish receives the official expiration price from the relevant provider, it will be used to perform the final mark-to-market P&L adjustment for positions and also be available over API.