Overview
A perpetual futures contract is an agreement to buy or sell an asset at an unspecified point in the future. Globe's perpetual futures are all settled in XBT (Bitcoin), and differ from regular futures as they do not have a pre-specified delivery date, therefore they can be held indefinitely. Payments are periodically (every 8 hours) exchanged between holders of the two sides of the contracts, long and short, with the direction and magnitude of the settlement based on the difference between the contract price and that of the underlying asset (as set by the index price) (more details on the funding amount can be found below).
Leverage
Globe offers up to 100x leverage on the perpetual contracts. Therefore you do not need to post 100% collateral as margin. All margin is denominated in XBT.
Contracts
All perpetual contracts offered are inverse contracts, and they are worth a fixed amount of the quote currency, which is USD ($) for all instruments (e.g. XBTUSD, ETHUSD etc). Therefore each contract on each perpetual is worth one dollar (1$ quote currency) of the base currency (e.g. XBTUSD one contract is worth 1$ in XBT).
Funding
Funding occurs every 8 hours, three times a day always at the following times each day, 12am (Midnight) UTC, 8am UTC and 4pm UTC. You must be holding either a short or a long position at the time of funding to receive a funding payout. When the funding rate is positive, for example longs pay \(0.01\%\) of their positions to shorts, who receive \(0.01\%\) on their positions at the time of funding. (Globe does not charge any fees on funding).
The funding payment received is:
$$
\mbox{funding_payment} = \mbox{number_of_contracts} \cdot \mbox{index_price} \cdot \mbox{funding_rate}
$$
Funding Rate Calculation
Central to the core of perpetual futures is the funding mechanic which makes the contract price tend to track the mark price of the underlying index price of the contract. It consists of the premium (or discount) rate.
Premium (or Discount) rate
The price of the instrument may be at a significant premium or discount to the underlying mark price. In these situations, the Premium rate will be used to raise or lower the next funding rate. It is calculated as:
$$
\mbox{premium_rate} = \frac{\mbox{mark_price} - \mbox{index_price}}{\mbox{index_price}}
$$
The funding rate is dampened by \(0.05\%\), defined by the following equation:
$$
\mbox{funding_rate} = \mbox{max} ( 0.05\%, \mbox{premium_rate} ) + \mbox{min} ( -0.05\%, \mbox{premium_rate} )
$$
Which means:
- If the premium rate is between \(-0.05\%\) to \(0.05\%\) the funding rate will be set to \(0\%\)
- If the premium rate is greater than \(0.05\%\) the funding rate will be reduced by \(0.05\%\)
- If the premium rate is less than \(-0.05\%\) the funding rate will be increased by \(0.05\%\)
The final funding rate is then computed using a \(8\) hour time weighted average price over rates.
Mark Price
The mark price is composed of the fair price, which is the average of the fair impact ask price and fair impact bid price. Defined as:
- fair impact ask price is the average price of 10,000 $ USD market purchases or the best ask price \( + 0.15\%\) whichever is the lower value
- fair impact bid price is the average price of 10,000 $ USD market sales or the best bid price \( - 0.15\%\) whichever is the higher value
$$
\mbox{fair_price} = \frac{\mbox{fair_impact_bid_price} + \mbox{fair_impact_ask_price}}{2}
$$
The mark price takes into account the difference between the fair price and the index price, by applying a 30 second exponential moving average to the difference, and then clamping the result by \(0.5\%\) of the index price (i.e. if the result was greater than \(0.5\%\) of the index price it would saturate at \(0.5\%\) of the index price, and similarly if the result was lower than \(-0.5\%\) of the index price the output would saturate at \(-0.5\%\) of the index price). The result is then added (centred) at the index price.
$$
\mbox{mark_price} = \mbox{index_price} + \mbox{clamp}(\mbox{EMA}_{30}(\mbox{fair_price} - \mbox{index_price}), -0.5\% \cdot \mbox{index_price}, +0.5\% \cdot \mbox{index_price})
$$