GEVORDERD · DERIVATEN & ALGO

Futures & Perpetuals

Expiry, basis, contango, backwardation, and perpetual swap mechanics.

Futurescontracten: verplichtingen, hefboom en dagelijkse afrekening.

What Is a Futures Contract?

A futures contract is an agreement to buy or sell an asset at a predetermined price on a specific future date. Unlike spot trading (buying the actual asset), futures let you trade the expectation of future price.

Futures have an expiration date - the contract settles on that date.
Settlement can be physical (actual delivery of the asset) or cash (the difference in price is paid).
Most crypto and index futures are cash-settled.

Basis: Futures vs. Spot

The basis is the difference between the futures price and the spot price:

Basis = Futures Price - Spot Price

Positive basis (contango): Futures trade above spot. This is normal in most markets because holding the asset has costs (storage, financing).
Negative basis (backwardation): Futures trade below spot. This is unusual and often signals strong immediate demand or fear.

As expiration approaches, the basis converges to zero - the futures price must equal the spot price at settlement. This convergence is called basis convergence.

Contango and Backwardation

Condition	Futures vs Spot	What it suggests
Contango	Futures > Spot	Normal carry cost; bullish sentiment (willing to pay premium for future delivery)
Backwardation	Futures < Spot	Immediate demand exceeds future expectation; can signal fear or supply shortage

Trading implication: In strong contango, rolling futures positions forward costs money (you sell the expiring contract at a lower price and buy the next one at a higher price). This "roll cost" erodes returns for long-term futures holders.

Perpetual Swaps

Perpetual swaps (perps) are a crypto innovation - futures contracts with no expiration date. They are the most traded instrument in crypto markets.

Since there's no expiration to force convergence, perps use a funding rate mechanism:

When the perp price is above spot (bullish sentiment), funding is positive - longs pay shorts.
When the perp price is below spot (bearish sentiment), funding is negative - shorts pay longs.
This creates an economic incentive to arbitrage the perp back toward spot price.
Funding is typically exchanged every 8 hours.

Funding Rate as Sentiment Indicator

Funding rates reveal market positioning:

Very high positive funding: The market is extremely long. Longs are paying a premium to hold. This can signal overleveraged bullishness - a potential setup for a long squeeze.
Very negative funding: The market is extremely short. Shorts are paying a premium. This can signal overleveraged bearishness - a potential setup for a short squeeze.
Neutral funding (near zero): Balanced positioning. No extreme sentiment.

Caution: Extreme funding doesn't guarantee a reversal. It signals crowded positioning, which increases the probability of a squeeze but doesn't determine timing.

Open Interest

Open interest (OI) is the total number of outstanding futures contracts. It measures how much capital is committed to the market:

Rising OI + rising price: New money entering long positions. Trend is supported by fresh capital.
Rising OI + falling price: New money entering short positions. Downtrend is supported.
Falling OI + rising price: Shorts closing (short covering rally). Less sustainable.
Falling OI + falling price: Longs closing (long liquidation). Less sustainable.

Risks Specific to Futures

Liquidation risk: Leveraged futures positions can be forcibly closed.
Funding costs: Holding perps in the wrong direction during extreme funding can be expensive.
Roll costs: For dated futures, rolling to the next contract has a cost in contango.
Basis risk: The futures price doesn't always track spot perfectly, especially during volatility.

Practice

Exercise 1

If BTC spot is $50,000 and the quarterly futures are trading at $51,500, what is the basis? Is this contango or backwardation? What does it suggest about market sentiment?

Exercise 2

Funding rate is +0.05% every 8 hours. You hold a $100,000 long position. How much do you pay in funding per day? Per week?

Answer: 3 × $50 = $150/day, $1,050/week.

Key Takeaways

Futures = agreement to trade at a future price. Basis = futures - spot.
Contango (futures > spot) is normal; backwardation signals unusual conditions.
Perpetual swaps use funding rates instead of expiration dates.
Extreme funding signals crowded positioning and squeeze potential.
Open interest shows whether new money is entering or exiting the market.

Wat zijn futures?

Futures zijn gestandaardiseerde contracten om een asset te kopen of verkopen op een toekomstige datum tegen een vooraf bepaalde prijs. In tegenstelling tot opties zijn futures verplichtingen, geen rechten.

Kenmerken van futures

Gestandaardiseerd: contractgrootte, expiratie en kwaliteit zijn vastgelegd.
Hefboom: je hoeft slechts een fractie van de contractwaarde als marge te storten.
Dagelijkse afrekening: winsten en verliezen worden dagelijks verrekend (mark-to-market).

Belangrijkste punten

Futures zijn verplichtingen, geen rechten.
Ze worden gebruikt voor hedging en speculatie.
Hefboom maakt futures krachtig maar ook risicovol.
Dagelijkse afrekening betekent dat je marge kan worden aangevuld.

Les afgerond

Je hebt afgerond: Futures & Perpetuals.