Open Expiry Future

Expiry Future Pricing

Futures with an expiry date are priced using this model:

$$F(S,r,T)= \begin{cases} S\,\exp(r_\text{TOKEN-fixed}T), & \text{Expiry Long}, \\ S\,\exp(-r_\text{USDC-fixed}T), & \text{Expiry Short}. \end{cases}$$

Where:

• S is the oracle price
• r is the interest rate
• T is the time to expiry

The formula above gives the entry price for an expiry future. You can open an expiry future position as long as collateral value is at least $10 and leverage is within restrictions.

The position's canonical size is the stored base quantity, not a USD value recomputed later from spot:

$$q_\text{base} = \frac{\text{position notional}}{F(S_0,r,T_0)}$$

That base quantity is stored on the future position and reused for close, liquidation, TP/SL, and settlement PnL.

For opening an expiry future position you can submit your order via either a limit or market order. You can choose to pay in either currency of the pool.

Expiry Future Restrictions

• Opening leverage must be between 1x and 250x.
• After a position is open, it becomes liquidatable if effective leverage reaches 500x.
• Expiry time cannot exceed one year and must exceed one day, so T must stay within 1 day and 365 days.

Expiry Future Collateral

For expiry futures, the pool reserves the payout-side asset needed for natural settlement.

$$\mathrm{ReservedLiquidity}= \begin{cases} \dfrac{\text{notional USD}}{S_0}, & \text{long future, reserved in underlying tokens}, \\ \text{notional USD}+\text{posted collateral USD}, & \text{short future, reserved in USDC}. \end{cases}$$

The long reserve can also be written as:

$$\dfrac{\text{notional USD}}{S_0} = q_\text{base}e^{r_\text{TOKEN-fixed}T}$$

because the stored base quantity is notional / entry future price.

The short reserve includes notional plus posted collateral so the pool has the USDC capacity to pay the worst-case natural-settlement claim. This makes expiry futures fully reserved on the payout side.