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.
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.
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.
|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.
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.
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.
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
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.
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.