Futures Index

Futures Index is used to calculate Model Prices for options, calculate Risk Premiums for OLPs, and settle positions. These futures index is stored internally by periodically processing the current futures price, which is collected from CEXs in approximately 1-second intervals. The data source will continue to be added as soon as a reliable source is secured.

Source of Main Data

  • Main data derived from CEXs


  • Use median futures price from CEXs as Moby’s internal Adj. Median as Futures Index reference

Adj. Median=sumproduct(Range AdjustedPrice, Source Weight)\text{Adj. Median} = \text{sumproduct}(\text{Range AdjustedPrice, Source Weight})
where, Range Adjusted Price=min[max(0.995×Median,MidPrice),1.005×Median]\text{where, } \text{Range Adjusted Price} = \min[\max(0.995 \times \text{Median}, \text{MidPrice}), 1.005 \times \text{Median}]

"Median" - Median value of Mark Price, which is the average of the futures prices aggregated from each main source.

  • If fewer than 2 sources are working: Request the price information again, without referencing the value

Last updated