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In addition to perpetuals, OCX lists dated futures — contracts that expire and settle on a specific date. Each dated contract is priced to its own fair value, which reflects the cost of carry between now and expiry.

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Fair value and cost of carry

The fair value of a future is the underlying spot/index compounded forward over the remaining life of the contract: F=S×(1+APR×t365)F = S \times \left(1 + \text{APR} \times \frac{t}{365}\right) where SS is the underlying spot/index, tt is the number of days to expiry, and APR\text{APR} is an annualized cost-of-carry rate for that underlying. Intuitively, holding the underlying to a future date carries a financing (and, for commodities, storage and convenience) cost, and the futures price reflects that. As expiry approaches, t→0t \to 0 and the futures fair value converges to spot.

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Direct exchange forward first

Whenever OCX lists a dated contract that corresponds to a real CME contract, OCX prices it directly from that specific contract’s live forward on the exchange feed — the actual market price for that delivery month. This is correct under any shape of the curve:
  • Contango — deferred months trade above spot.
  • Backwardation — deferred months trade below spot.
The cost-of-carry formula above is the model OCX falls back to when a direct exchange forward for that exact tenor is not available, so every listed future always has a principled mark.

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Settlement

At expiry, a dated future settles against the underlying reference price and open positions are closed at settlement. Marks and market data for dated contracts are available alongside perpetuals via GET /perps/markets and GET /perps/market-stats.