Option Position Expiring into a Dated Future

In-The-Money (ITM) Options at bullish expire into the respective Dated Futures having the same expiry as the held option position. An example below illustrates how this works in practice.

Let's consider a trader, Alice, who holds a Call option for Bitcoin (BTC) with the following details:

• Option: BTC-USDC-20251226-120000-C

• Position: Alice is the buyer of 1 contract.

• Strike Price: 120,000 USDC

• Expiration Date: December 26, 2025

• Trading is active: Alice can trade her option on the open market

• Price Fluctuations: The mark price of the option changes based on the price of BTC and other market factors

• Mark-to-Market: The exchange marks Alice’s position to the current mark price and adds the accrued PnL to any pre-existing unsettled PnL 

• Settlement: The net PnL is settled by crediting/debiting the USDC spot account and resetting the PnL

• Trading Halts: The BTC-USDC-20251226-120000-C option is no longer tradable.

• Open Orders Cancelled: Any open orders Alice has for this option are cancelled.

• Mark-to-Market and Settle: The standard hourly mark-to-market and PnL settlement is applied

  • Assume that the option mark price corresponds to the underlying dated futures price of 123,500.

• Receive official Expiry price: the exchange receives the official Expiry Price, let’s say 123,495

• In-The-Money (ITM) Confirmation: Since the expiry price (123,495) is higher than the strike price (120,000), Alice's call option is ITM.

• Option Payoff Calculation: Using the expiry price and the option strike price, we calculate the option payoff (3,495) which is used as the final option mark price

• Final Mark-to-Market:

  • The exchange performs one last mark to market calculation using the option payoff in place of the mark price

  • The resulting PnL (approximately -5) is added to the option position PnL

• Option Position Closed:

  • Alice's position in the BTC-USDC-20251226-120000-C option is now closed, i.e., the quantity and notional are set to zero. However, its PnL is in general non-zero

• Dated Futures Position Created:

  • A new dated futures position is created for Alice. Since Alice had no pre-existing dated futures position, the newly created position is added to her account without any netting

  • Dated Futures Contract: BTC-USDC-20251226

  • Position: The Qty and notional of the position are zero

  • PnL: The option position PnL is transferred to the dated futures position PnL

• Option Position Removed: The position no longer exists in the portfolio

• PnL Settled: The unsettled PnL of the dated futures position is transferred to the USDC spot account

• Dated Futures Position Removed: The dated futures position no longer exists in Alice’s portfolio

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