Below you can find three sections with detailed information on Kraken's inverse crypto-collateral perpetual and fixed maturity derivatives contracts.
These contracts are listed on the Crypto Facilities MTF.
Perpetual Contract Specifications
Perpetual Derivatives are a type of Derivatives contract that have no expiration date and an auto-rolling feature every hour.
Perpetual contracts feature a funding rate, a payment between traders designed to keep the contract's price aligned with the underlying asset's spot price. More information on this mechanism can be found under "Perpetual Contract Funding Rate Information" in the next drop-down menu.
Margin Class and maximum leverage by position size are detailed in Derivatives Margin Schedule & Maximum Leverage.
Symbol | Base Currency | Min Lot | Tick Size | Max Position Size | Impact Mid | Margin Class & Max Leverage |
|---|---|---|---|---|---|---|
PI_XBTUSD* | Bitcoin (BTC) | 1 USD | 0.5 | 75,000,000 USD | 1,000 USD | Class B (50x) |
PI_ETHUSD | Ethereum (ETH) | 1 USD | 0.1 | 45,000,000 USD | 1,000 USD | Class B (50x) |
PI_LTCUSD | Litecoin (LTC) | 1 USD | 0.01 | 6,000,000 USD | 1,000 USD | Class C (25x) |
PI_BCHUSD | Bitcoin Cash (BCH) | 1 USD | 0.1 | 10,000,000 USD | 1,000 USD | Class C (25x) |
PI_XRPUSD | Ripple (XRP) | 1 USD | 0.0001 | 3,000,000 USD | 1,000 USD | Class D (10x) |
*BTC is used on the platform UI. XBT is used on the API and account logs. Both refer to Bitcoin (BTC).
Perpetual Contract Funding Rate Information
Additional Information | |
|---|---|
PnL Settlement Method | Inverse Derivatives are cash-settled in base currency |
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 standardised to a per-hour basis. Permissible range per 1 hours: [-0.25%, +0.25%] (i.e., 600 basis point magnitude for 24-hour realisation 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 = 24 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 realise the Average Premium. Example: if the Average Premium is 0.36% for the 1-hour period, then Funding Rate is equal to 0.015%, meaning that over the course of 24 hours, this 0.36% total will be realised. |
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) |
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 the market venue deems necessary to settle/expire the contract. This would only occur in exigent circumstances if the Market Risk Committee deemed it necessary to facilitate a fair and orderly market. The market venue reserves the right to set the contract to post-only, suspended, or settle the contract at any time and without warning due to either adverse market conditions or regulatory risk. |
First Trading | August 31, 2018 |
Initial Margin | |
Maintenance Margin | Half of Initial Margin |
Maximum Initial Leverage | |
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 | Base currency (e.g. PI_ETHUSD realises PnL in ETH) |
The funding rate for a given perpetual contract is represented in two different ways:
- •absolute rate: The amount of funding an account will receive by maintaining a 1 contract unit short position for 1 hour. This is more useful for account log purposes.
- •absolute funding payout = # of contracts * absolute funding rate * time elapsed within funding period without position alteration
- •relative rate: The absolute funding rate relative to the spot price at the time of funding rate calculation. This is an intermediate value in the calculation of the absolute funding rate and is the number we display in the front end (as a %) as the 'funding rate'.
- •relative funding payout = # of contracts * (relative funding rate/spot price) * time elapsed within funding period without position alteration
Examples
In order to get a complete understanding of the rate dynamics of the Perpetual Contract, we present examples to demonstrate the key features. Click the example titles below to expand:
Example Funding Rate 1: (24-hour rate realisation length)
Assume time is 12 UTC and that price of BTC is $7,000 (via realtime index) and the Perpetual trades at $7,010 the whole time until 13 UTC. The average premium is computed as 0.1428% for the 1-hour period ($10/$7,000). This leads to a funding rate of 0.1428 / 24 = 0.01785% per hour.
Now assume that you are in a short position of 100,000 Contracts. If you hold this position from 13 to 14 UTC and the premium in 13-14 UTC period remains as 0.1428%, then you will earn interest of $17.85 for the one-hour period ($100,000*0.0001785) in BTC terms, so $17.85/$7,000 = 0.00255 BTC.
Example Funding Rate 2: (Maximum rate)
Assume time is 12 UTC and that price of BTC is $7,000 and the Perpetual trades at $7,500 until 13 UTC. The average premium is computed as 7.142% for the 1-hour period. This leads to a funding rate of 7.142 / 24 = 0.2975% per hour.
The maximum funding rate per hour in any given period is 0.25%. The minimum is -0.25%.
As a result, this 0.2975% hourly rate is floored to 0.25% per hour, so that the maximum 24-hour realisation will not exceed 6%.
Note that there is no "dampening" of rates done in this model: if a four-hour computed rate is near 0, then it will stay pay out non-0 value even if it is de minimis.
Example Funding Rate 3: (Absolute vs. relative rate)
Assume time is 12 UTC and that the real-time index price of BTCUSD is $7,000 and the relative rate set for the one-hour period is 0.05% per hour.
Now assume the time is 13 UTC and the Perpetual trades at $8,000 and you enter a Short position of 125,000 contracts at this price.
You will immediately begin receiving funding at an absolute rate of 0.05%/$7,000 = 0.000007142% per hour per contract unit.
In your account log you will then see this rate applying in your unrealised PnL through continuous funding payout equal to:
- •0.00000007142 * 125,000 = 0.008928 BTC per hour
- •0.00000248 BTC per second
This will pay out continuously until 14 UTC where the relative funding rate will change based on the market activity between 13-14 UTC.
Assume this new relative funding rate is now 0.03% and the real-time spot index is $7,900 for BTCUSD at 14 UTC.
In your 125,000 Contract short position at the end of the 1 hour period you will have 0.008928 BTC applied in your account log at 14 UTC.
From 14 UTC to 15 UTC a new absolute funding rate will begin applying of 0.03%/$7,900=0.000003797% per hour per contract unit.
Example Funding Rate 4: (Multiple-period rate)
Assume time is 14 UTC and you enter a position long 200,000 Contracts on BTCUSD at $7,000. Assume that the funding rate for the one-hour period (13-14 UTC) is set as -0.04% per hour.
At 15 UTC, after you have held this position for one full hour, you will have earned $80 per hour (0.0004*$200,000). This is $80/$7,000 = 0.0114 BTC, which credits continuously throughout the one hour period you hold it.
However, during this period, the price was at a premium and so the new one-hour rate set for 14 - 15 UTC is 0.04% per hour. After one hour of holding the position, you have paid 0.0114 BTC and you close at 16 UTC, two hours after opening the position.
Your funding for the two hours you held the position is thus 0.0114 BTC for the first period then -0.0114 BTC for the first period and your net flows are 0 for this.
Example Funding Rate 5: (Booking of unrealised funding)
Assume it's 12 UTC you are in a 250,000 Contract long position on BTCUSD with realtime index at $7,000 and the rate in the funding period is -0.05%. This earns you funding of:
- •0.0005 * 250,000 = $125
- •$125/$7,000=0.01785 BTC per hour
- •0.0002976 BTC per minute
- •0.00000496 BTC per second
- •0.00000000496 BTC per millisecond
This credits and debits every millisecond to every user with an open position. It credits first as unrealised profit and loss, but you have the funds available right away to use in further positions or transfer into your Cash account.
The funding is booked into your account log and realised when one of the following events occur:
- 1.You adjust your open position up or down by any amount
- 2.You hold until the end of the Funding Period, at which point it is booked (occurs at the end of every hour)
Fixed Maturity Contract Specifications
Symbol | Active Maturities | Base Currency | Min Lot | Tick Size | Max Position Size | Impact Mid | Margin Class & Max Leverage | Settlement Indices |
|---|---|---|---|---|---|---|---|---|
FI_XBTUSD* | Monthly, Quarterly, Semi-annually | Bitcoin (BTC) | 1 USD | 0.5 USD | 40,000,000 USD | 1,000 USD | Class B (50x) | |
FI_ETHUSD | Monthly, Quarterly, Semi-annually | Ethereum (ETH) | 1 USD | 0.05 USD | 15,000,000 USD | 1,000 USD | Class B (50x) | |
FI_LTCUSD | Monthly, Quarterly | Litecoin (LTC) | 1 USD | 0.01 USD | 5,000,000 USD | 1,000 USD | Class C (25x) | |
FI_XRPUSD | Monthly, Quarterly | Ripple (XRP) | 1 USD | 0.0001 USD | 3,000,000 USD | 1,000 USD | Class C (25x) |
*BTC is used on the platform UI. XBT is used on the API and account logs. Both refer to Bitcoin (BTC).
Additional Information | |
|---|---|
PnL Settlement Method | Inverse Derivatives are cash-settled in base currency |
Trading Hours | 24 hours/day, 7 days/week, 365 days/year (excluding maintenance) |
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. Holding a position until settlement will result in a taker fee. |
Settlement time | Within 15 minutes after Last Trading |
Last Trading | 16:00 London time. Month: Last Friday of the month. Quarter: Last Friday of a month in the March quarterly cycle (March, June, September, December). Semiannual: Last Friday of a month in the March quarterly cycle (March, June, September, December). Semiannual maturity is available for FI_BTCUSD and FI_ETHUSD contracts only. |
First Trading | For FI_BTCUSD and FI_ETHUSD contracts: 16:00 London time. Month: The last Friday of the calendar month where no contract exists in the following calendar month. Quarter: The last Friday of the calendar month where a contract exists in the following calendar month. Semiannual: The last Friday of the calendar month where a Month contract and Quarter contract exists. For FI_BTCUSD and FI_ETHUSD, the fixed maturity listing schedule results in there always being listed simultaneously three contracts: a Month contract, a Quarter contract and a Semiannual contract. No contract can have the same remaining days to maturity as another currently-listed contract, therefore at maturity, if the days remaining to maturity on one contract correspond to the maturity of a contract with fewer days to maturity, it will roll into that maturity and the new contract with more days to maturity will be listed. For example, if the monthly contract expires on the 31st of May, then the June quarterly contract will become the June monthly contract, the September semiannual contract will become the September quarterly contract and the new semiannual contract for December will be listed. For all other inverse contracts: 16:00 London time. Month: The last Friday of the calendar month where no contract exists in the following calendar month. Quarter: The last Friday of the calendar month where a contract exists in the following calendar month. The fixed maturity listing schedule results in there always being listed simultaneously two contracts: a Month contract and a Quarter contract. No contract can have the same remaining days to maturity as another currently-listed contract, therefore at maturity, if the days remaining to maturity on one contract correspond to the maturity of a contract with fewer days to maturity, it will roll into that maturity and the new contract with more days to maturity will be listed. For example, if the monthly contract expires on the 31st of May, then the June quarterly contract will become the June monthly contract and the new September quarterly contract will be listed. |
Initial Margin | |
Maintenance Margin | Half of Initial Margin |
Maximum Initial Leverage | |
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 is capped at 1% for contracts with 1 day to expiry and 20% for contracts with 210 days to expiry and is linearly interpolated in between. Calculation: Index Price + EMA_30seconds(Impact Mid Price - Index Price) The premium is capped at 1% for contracts with 1 day to expiry and 20% for contracts with 210 days to expiry and is linearly interpolated in between. 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 | Base currency (e.g. FI_ETHUSD_220930 realises PnL in ETH) |
**Note that if the settlement rate reported by the Index provider is, for any reason, deemed to not adequately represent the underlying market, the Market Risk Committee of Crypto Facilities reserves the right to select its own appropriate fair value settlement rate. If the index provider restates the price, Crypto Facilities will settle to the first value published by the index provider at or after publication time.
The decimal and thousands separators shown in this article may differ from the formats displayed on our trading platforms. Review our article on how we use points and commas for more information.
The decimal and thousands separators shown in this article may differ from the formats displayed on our trading platforms. Review our article on how we use points and commas for more information.
Last updated: 26 November, 2024