Settlement time and price
The quarterly futures expire on the last Friday of every quarter to a 1 hour TWAP of the underlying index from 2am UCT to 3am UCT.
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 quarterly futures positions close 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 quarterly futures turns into withdrawable collateral shortly after settlement ends at 3am UCT.
Delivery Price
The delivery price of expired quarterly futures is the 1 hour TWAP of the underlying coin's index from 2am to 3am UCT 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 either TUSD or USDC.
Funding Payments
Whereas quarterly futures 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:
Every long position pays position size * (TWAP of future - TWAP of index) / 24
Every sort position receives position size * (TWAP of future - TWAP of 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%.
Expiration
The quarterly futures expire on the last Friday of every quarter to a 1 hour TWAP of the underlying index from 2am UCT to 3am UCT.
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 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
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