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Quantitative Finance · Glossary

What is Index price, mark price?

Also known as: index price · mark price

Definition 17.3 Markets III: Commodities, Energy and Crypto · Chapter 17 — Perpetual Futures

The index price of a perpetual is a weighted average of the underlying’s spot price on several constituent venues, with rules that limit the influence of any one of them. The mark price is the price at which the venue values open positions for unrealised P&L, margin and liquidation; it is built from the index and a smoothed basis rather than from the last trade.

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