Expiry Futures

What are Expiry Futures?

In TradFi, a futures contract is an agreement that requires two parties to transact an asset at a predetermined price at a specified time in the future. This allows traders to lock in a future price of the underlying asset to hedge or speculate on price movements. Helix offers a completely decentralized form of these futures contracts—expiry futures.

Similar to perpetual futures, expiry futures on Helix are traded with margin, allowing traders to access leverage. However, unlike perpetual futures, expiry futures have expiration dates and do not require funding payments, though liquidations may still occur if the maintenance margin threshold is not met.

Upon expiration, expiry futures markets are settled using oracle prices, typically set to the spot prices of the underlying assets. As a result, the price of futures tend to converge upon the spot price as the expiration date nears.

An interesting use of expiry futures on Injective are Pre-Launch Futures.

Pre-Launch Futures

Pre-Launch Futures (PLF) enable investors to speculate on assets before their public release, addressing the gap where trading activity is typically unavailable. The initial PLF market on Helix will utilize expiry futures contracts, although perpetual futures may also be introduced in the future.

How do Pre-Launch Futures Work?

For expiry futures, a mark price is essential for tracking liquidation and settlement. However, as spot prices for the underlying assets are unavailable before public launch, traditional oracle feeds cannot be used. PLF markets are designed to be traded near the asset's public launch, allowing the mark price to align with the spot price once trading begins. Before this point, Helix employs a 24-hour exponentially weighted moving average (EWMA) of the last day’s minutely last traded prices as the interim mark price, ensuring accurate liquidation tracking and settlement preparation.

Mark Price Mechanism

The mark price is based on two price feeds:

1. EWMA price feed

2. CEX API price feed - Binance, OKX, or Bybit, whichever lists the underlying asset first.

During the various phases of the timeline, a different price feed is used:

• Before asset is listed on CEX ⇾ EWMA price feed

• Within 24 hours of asset is listed on CEX ⇾ EWMA price feed

• 24 hours after asset is listed on CEX ⇾ CEX API price feed

This design prevents a sudden distortion in mark price if the difference between EWMA price feed and CEX API price feed is great.

The EWMA price is calculated as follows:

$$\text{Price}_t = \sum_{i=0}^{1439} \left[ (t - i_{\text{minutes}} < t_{\text{init}} \, ? \, \text{assumed price} : \text{last traded price}_{t - i_{\text{minutes}}}) \cdot e^{-\frac{i}{1440}} \right] \cdot \frac{1 - e^{-\frac{1}{1440}}}{1 - e^{-1}}$$

Where:

• t_init is the time of the first trade in the underlying market.

• assumed price is the price assumption of the underlying asset. This price is used when there is no last traded price 24 hours prior the first trade in the underlying market. In other words, after the first 24 hours, if the underlying market has traded already, then the assumed price would no longer have an impact on the mark price.

• last traded price is the last price traded in the underlying market.