Futures Swaps

Futures Swaps are referred to by various names; futures spreads, calendar spreads, basis etc. At the end of the day, they represent the price differential between two different futures (or a perpetual swap and a future). Trading the instrument means you are buying one leg and selling the other.

Trading Futures Swaps on Alpha5 can be done in a single-click, via a single instrument.

None of the larger exchanges offer this instrument, though the benefits include:

  • No price-execution risks

  • Easy rolling of positions

  • Increased liquidity and interest driven to the basis markets

  • Reduced transaction costs

  • Increased liquidity to futures markets

It’s important to understand that a Futures Swap is a ‘look-through’ instrument. Though you trade the instrument, your risk is reflected as two separate legs (either a future + future or future + perpetual swap). All risk management and margin management is done at the individual leg level. This leads to a simplified interface.

Example


XBTUSD is trading at $10,000/$10,001.

XBTJun is trading at $10,500/$10,501.  

The XBT-Jun Swap is auto-populated (via implied orderbook logic) to create a market of -$501/-$499.

If a trader purchases the 5000 contracts of XBT-JunSwap at $499, they will have created positions of:  

+5000 contracts in XBTUSD

-5000 contracts in XBTJun

This means as the price converges between the two, he/she stands to profit.  

If at some point the trader thought Bitcoin as a whole was going to outperform, he/she would simply 
close out the -5000 XBTJun by buying it back, and their position would be just long +5000 XBTUSD.

Once a trade is executed through the Futures Swap, the normal rules & guidelines for futures and 
perpetual swap apply and they are managed on a separate basis.

Contract Specifications

Underlying Index A5XBT Index
Symbol Contract1 - Contract2
Contract Size 1 USD
Instrument Type Inverse
Initial Margin 4%
Maintenance Margin 2%
Price Quotation US Dollars per 1 BTC
Tick Size 0.5
P&L Settlement BTC
Expiration None
Position-Limit 5,000,000 contracts.