The Valuation of Quanto Futures Contract

A Quanto Futures Contract refers to a derivative instrument that is settled as another asset rather than either the base currency or the counter currency in the trading pair. For example, an ETH/USD derivative product, which is not settled in either the base currency ETH or the counter currency USD but is settled in BTC while margining in BTC, is a quanto futures derivative.

Unlike a perpetual contract, a quanto futures contract does not have the concept of funding because there is a settlement date. When the settlement date is reached, all positions are automatically settled (unless you closeout beforehand) and trading on the contract is closed. The base price of the settling is the Index Price. The fee for the automatic settlement is 0.3%.

For detailed liquidation formulas of KLAY quanto futures contract, please click here.