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Quantitative Finance · Begrippenlijst

Wat is Index price, mark price?

Ook bekend als: index price · mark price

Definition 17.3 Markets III: Commodities, Energy and Crypto · Hoofdstuk 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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