Settlement & Delivery

Settlement time and price

Futures contracts expire on the last Friday of every quarter to a 1 hour TWAP of the underlying index from 2am UTC to 3am UTC.

A TWAP is a time-weighted-average-price.  FTX snaps the index price every second during the settlement period, and averages those prices to determine the settlement price.

What is settlement

Settlement is the time when futures positions are closed down and are marked to the settlement price of the underlying index.

Note that futures positions on FTX are marked to market, and all PnL becomes withdrawable collateral every minute if there are no active liquidations.  So even if it's not during settlement, you will still be able to realize and withdrawal all winnings every minute.

Delivery Time

PnL from expiring futures contract turns into withdrawable collateral shortly after settlement ends at 3am UTC.

Delivery Price

The delivery price of expired futures is the 1 hour TWAP of the underlying coin's index from 2am to 3am UTC on the last Friday of every quarter.

Delivery Rules

When futures expire, all realized and unrealized PnL on the contract will turn into USD collateral and be withdrawable as USD, USDC, TUSD, USDP, BUSD, and/or HUSD. 

Funding Payments

Whereas dated futures contracts expire, perpetual futures have funding payments every hour.  Specifically, every hour, we measure the 1 hour TWAP of the perpetual future and the 1 hour TWAP of the underlying index. If the perpetual is trading at a premium to the underlying index, long positions pay funding to the short positions. If the perpetual is trading at a discount to the underlying index, short positions pay funding to long positions. The funding rate to be paid/received is determined by the following formula:

position size * TWAP of ((future - index) / index) / 24

This is economically somewhat similar to the future expiring once per day.  In particular, if you sell a BTC perpetual future which is trading 0.10% above the underlying index all day, then over the course of the next day you will receive a total funding payment of 0.10%.

 You can find historical funding rates here.

Expiration

The dated futures contracts expire on the last Friday of every quarter to a 1 hour TWAP of the underlying index from 2am UTC to 3am UTC.

Shortly after expiration, each futures position will be marked to the expiration price of the contract.  All realized and unrealized PnL on quarterly futures will turn into USD collateral at this point.

For instance, say that you deposited $10,000 of collateral and used it to buy 10 BTC quarterly futures.  Say that prior to expiration your account had 10 BTC quarterly futures with a realized PnL of $1,000, an unrealized PnL of $100, and a mark price of $5,000 for the BTC index.  If the average price of the BTC index over the expiration period (2am to 3am UTC) was $5,010, then after expiration ended your account would have:

USD collateral: $10,000 (old collateral) + $1,000 (realized PnL) + $100 (unrealized PnL) + 10 (number of BTC futures) * ($5,010 - $5,000) (difference between expiration and previous mark price) = $11,200

BTC quarterly futures: 0

Realized PnL: 0

Unrealized PnL: 0

Non-USD Collateral

Balances of the following coins also count towards collateral.

You can choose whether to use FTT as collateral on the settings page. By default your account will use FTT as collateral. Note that Weight (total) is used to determine collateral for the purpose of liquidations, and Weight (free) is for the purpose of opening new positions.

In the event that your USD balance falls too far below zero (see below for details), some of your balances in the above coins may be automatically traded into to USD by sending market orders into the corresponding FTX spot markets. You can also enable a setting to borrow funds at market rates from the spot lending market in lieu of collateral conversion. 

Any positive PnL will be paid out in USD regardless of which type of collateral you use.

See here for more details. 

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