Digital Asset Perpetual Pricing

Perpetual Futures Contracts are priced using a combination of the Implied Spot Price and the Funding Rate. The Funding Rate is calculated every eight (8) hours and is used to adjust the Perpetual Futures Contract Variation Margin. Perpetual Futures Contracts are perpetually settled to the Implied Spot Price at the end of each funding interval and the adjustment is applied to the next Variation Margin. If the funding rate is positive, longs pay shorts; if negative, shorts pay longs.

Funding Rate Calculation

The Funding Rate is calculated every eight (8) hours. The Clearinghouse adjusts the Perpetual Futures Contract Variation Margin by the sum of the Funding Rates that occurred since the last Variation Margin cycle. When markets are closed, the Premium Index is carried forward from the last available period.

Funding Rate Intervals

• Interval 1: 7pm CT - 3am CT
• Interval 2: 3am CT - 11am CT
• Interval 3: 11am CT - 7pm CT

Funding Rate Formula

FR = avg(P) + clamp(IR - avg(P), -0.05%, 0.05%)

Where:

• FR = Funding Rate (applied to positions)
• IR = Interest Rate = 0.01% (fixed rate)
• avg(P) = Index Weighted Average Premium Index over the funding interval
• clamp(x, min, max) = Constrains x to be between min and max values

Index Weighted Average Premium Index Calculation

avg(P) = (1/N) × Σⁿ_i=1 i × P_i

Where:

• n = 1920 (number of 15-second sample periods per 8-hour funding interval)
• N = 1,844,160 (Σⁿ_i=1, used for index weighting)
• P_i = Premium Index at sample period i

Premium Index Formula

P = [max(0, CI_bid - S) - max(0, S - CI_ask)] / S

Where:

• S = Implied Spot Price of the Settlement Price Futures Contract
• CI_bid = Contract Impact Price for bid side
• CI_ask = Contract Impact Price for ask side

Contract Impact Price Calculation

CI_side = [Σ^b_i=1 (q_i × p_i)] / [Σ^b_i=1 q_i]

Where:

• side = either "bid" or "ask"
• b = total book levels
• q_i = Quantity at price level i
• p_i = Price at level i

Settlement Price Calculation

SP = median(S, S + ma(S), ma(C))

Where:

• SP = Settlement Price
• S = Implied Spot Price of the Settlement Price Futures Contract
• ma(S) = Implied Spot Price plus the 2.5-minute SMA
• ma(C) = 2.5-minute VWAP or TWAP

Simple Moving Average (SMA)

ma(S) = (1/v) × Σ^v_i=1 [(p_bid,i + p_ask,i) / 2 - S_i]

Where:

• v = 10 (Number of samples in the 2.5-minute window)
• p_bid,i = Best bid price at sample i
• p_ask,i = Best ask price at sample i
• S_i = Implied Spot Price at sample i