Funding Rate Calculation

The Clearinghouse adjusts the Perpetual Futures Contract Variation Margin by the Funding Rate, which is calculated every eight (8) hours.

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 = Current Implied Spot Price
• ma(S) = 2.5-minute moving average of Implied Spot Price
• ma(C) = 2.5-minute moving average of Settlement Price per Rule 517.3

Implied Spot Price Moving Average

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