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AllXBTUSD12293.5+4.64%XBTZ2012416.5+5.09%XBTH2112492.5+5.26%ADAUSDTZ200.10959-6.48%ADAZ200.00000854-7.58%BCHUSD251.40+0.62%BCHZ200.01970-3.76%EOSZ200.0002090-5.13%EOSUSDTZ202.6110-3.30%ETHUSD380.05-0.04%ETHUSDZ20415.85-0.06%ETHZ200.03091-4.42%LINKUSDT10.3860-4.87%LINKUSDTZ2011.1350-4.41%LTCUSD49.29+2.01%LTCZ200.004005-3.14%TRXZ200.00000211-3.21%XRPUSD0.2489-0.24%XRPZ200.00001998-4.77%XTZUSDTZ202.2735-4.64%.BXBT12294.31+4.56%.BETH379.29-0.12%.BVOL24H2.21+33.13%Funding: 07:32:33 @ 0.0085%Time: 4:27:26 AM
Quanto Futures

BitMEX offers Quanto Futures Contracts in US Dollars and Tether. This allows exposure to the US Dollar or Tether price of an asset, without needing to hold US Dollars / Tether or the asset directly.

Quanto Futures Contracts

The following information assumes usage of the “COIN/USDT” futures contract as an example. Information is generalisable to all Quanto Futures, but some may have different multipliers. Please check the contract specifications directly for that information.

A Bitcoin Quanto COIN/USDT futures contract has a fixed Bitcoin multiplier regardless of the USDT price of COIN. This allows traders to go long or short the COIN/USDT exchange rate without ever touching COIN or USDT. Traders will post margin in Bitcoin, and make or lose Bitcoin as the COIN/USDT exchange rate changes.

How Are Quanto Futures Quoted

The COINUSDT futures’ underlying is the COIN/USDT exchange rate as recorded in the underlying index. The futures are quoted in USDT and all margin and PNL calculations are denominated in Bitcoin.

Contract Calculations
Bitcoin Multiplier per 1 USDT 0.0001 XBT
XBT Value COINUSDT Price * Bitcoin Multiplier
USD Value XBT Value * .BXBT Spot Price
COIN Value* USD Value / COINUSDT Price
Bitcoin PNL Calculation (COINUSDT Exit Price - COINUSDT Entry Price) * Bitcoin Multiplier * # Contracts

*Assumes USD/USDT rate of 1

Traders who think that the price of COIN will rise will buy the futures contract. Conversely, traders who believe the price will drop will sell the futures contract.

Margin and Leverage

All margin is posted in Bitcoin, which means traders can go long or short this contract using only Bitcoin. Most Quanto Futures feature a leverage between 25x and 50x.

Settlement

Futures contracts settle on a 30 minute Time Weighted Average Price (“TWAP”) on the underlying Index . Settlement will occur on the last Friday of the Settlement Month.

COINUSDT Quanto Futures Contract Example

BitMEX Derivative: COINUSDTZ20 Quanto Future
Contracts: 100,000
Bitcoin Multiplier per 1 USDT: 0.0001 XBT
.BXBT Spot Price: $10,000
COINUSDT Futures Price: 3.5000
Trade Inception

Jaewon and Wang trade the COINUSDTZ20 Quanto Futures against each other for 100,000 contracts. Jaewon goes long, and Wang goes short. For each 1 USDT move, the contract pays out 0.0001 XBT; this is called the Bitcoin multiplier.

They agree that each side can use 25x leverage, which means they post 4.00% initial margin to BitMEX to initiate the trade. To calculate the Bitcoin margin, they first calculate the Bitcoin value of their COINUSDTZ20 Quanto Futures.

XBT Value = COINUSDT Price * Bitcoin Multiplier * # Contracts

35 XBT = 3.5000 * 0.0001 XBT * 100,000

Initial Bitcoin Margin = 35 XBT * 4.00% = 1.4 XBT

They both like to think in COIN terms at any given COINUSDT price. On the BitMEX Position Table, they are able to view the current value of their position in COIN terms.

USD Value = XBT Value * .BXBT Spot Price = 35 XBT * $10,000 = $350,000

COIN Value = USD Value / COINUSDTZ20 Price

100,000 COIN = $350,000 / 3.5000

They notice that the COIN value can change when the COINUSDT price changes. The only fixed number in a Quanto derivative is the multiplier. The COIN and USDT value will change as the COINUSDT and .BXBT prices change.

Trade Expiry

The COINUSDTZ20 quanto futures price rises to 4.0000, let’s compute Jaewon and Wang’s Bitcoin PNL.

Bitcoin PNL = (COINUSDT Exit Price – COINUSDT Entry Price) * Bitcoin Multiplier * # Contracts

Jaewon Bitcoin PNL = (4.0000 - 3.5000) * 0.0001 XBT * +100,000 = 5 XBT Profit

Wang Bitcoin PNL = (4.0000 - 3.5000) * 0.0001 XBT * -100,000 = 5 XBT Loss

Notice that the only variable that affects the PNL is the movement of the COINUSDT price.