Linear Multi-Collateral Derivatives Contract Specifications for clients in the European Economic Area

Auto-Roll Period

Every 1 hour at the end of the hour

Rate-setting Calculation Window

Rate for next period is calculated over current 1-hour period (e.g., rate for 12-13 UTC period is calculated in window between 11-12 UTC)

Funding Rate

Between start and end of the Rate-setting Period the Funding Rate is computed as the time-weighted average premium, and standardized to a per-hour basis. Permissible range per 1 hours: [-0.5%, +0.5%]*** (i.e., 800 basis point magnitude for 8-hour realization period)

Payout Frequency

Continuously based on Funding Rate set at the end of the prior Funding Period. Positions will immediately and continuously receive or send funding while open in the perpetual contracts. The funding accumulates as unrealised profit/loss and settles every 1 hour at end of the Funding Period, or when user changes net open position (whichever occurs first).

Funding Rate Multiplier

n = 8 This is the coefficient used in the calculation of the funding rate. A value of 1/n means that, ceteris paribus, it will take n hours to realize the Average Premium.

Example: if the Average Premium is 0.36% for the 1-hour period, then Funding Rate is equal to 0.045%, meaning that over the course of 8 hours, this 0.36% total will be realized.

Funding Rate Calculation

In a given 1-hour Funding Period, Premium values calculated from minutely perpetual contract prices (60 observations) using an Impact Mid are recorded versus the Real Time Platform Ticker. The Impact Mid is the median of the average entry price market-selling x value of contracts and market-buying x value of contracts. See table above for contract-specific values. The Average Premium is calculated as the average of the mid 30 values recorded from the above 60 observations. Finally, this value is weighted by the Funding Rate Multiplier. If Average Premium is greater than 0 for the 1 hour period, those in Long positions will continuously pay out to Short positions, which pushes the price closer to Index. If Average Premium is less than 0 for the 1 hour period, those in Short positions will continuously pay out to Long positions, which pushes the price closer to Index.

Trading Hours

24 hours/day, 7 days/week, 365 days/year (excluding maintenance)

P&L Settlement Method

Cash settled in USD with optional payout in any of the collateral currencies (profit only, losses are always realised in USD)

Fee Structure

Kraken Derivatives uses a maker-taker fee structure. Fees are calculated as a percentage of the notional order value for a matched trade. No fees are charged on auto-roll or funding payouts -- these occur strictly between counter-parties.

Contract Expiration

The perpetual derivatives are non-expiring, which means that positions in the contract are never “expired” or “matured”, however there is a settlement process every hour that applies funding to anchor the spot value to the Index. See Last Trading for more information.

Settlement time

Every 1 hour at the end of the hour: The accumulated unrealised funding is settled and new rate set based on TWAP premium to index in prior rate period.

Last Trading

This contract remains trading perpetually and would only expire in an emergency situation if Kraken Derivatives deems necessary to settle/expire the contract. Kraken Derivatives reserve the right to set any contract to post-only, suspended, or settle any contract at any time and without warning due to either adverse market conditions or regulatory risk. 

Initial Margin

As low as 10%

Maintenance Margin

Half of Initial Margin

Maximum Initial Leverage

Up to 10x

Mark Price

Index Price plus the 30 seconds exponential moving average of the order book mid price minus the index price (future's basis). The premium for perpetual contracts is capped at 1%. Calculation: Index Price + EMA_30seconds(Impact Mid Price - Index Price)
Note: in the extremely rare circumstance that the Index Price is unavailable for whatever reason, the above caps may not apply and the Mark Price will be equal to the Impact Mid Price.

Margin & Settlement Currency

USD, but with full collateral options of EUR and GBP, adjusted for haircut (see Derivatives Collateral Currencies)

FF_ETHUSD

Weekly, Monthly, Quarterly, Semiannual

Ethereum (ETH)

0.001

0.1

8,000

Class A

ETHOPTRR

FF_SOLUSD

Monthly, Quarterly

Solana (SOL)

0.01

0.01

80,000

Class B

SOLOPTRR

FF_XBTUSD*

Weekly, Monthly, Quarterly, Semiannual

Bitcoin (BTC*)

0.0001

1

600

Class A

BTCOPTRR