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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Premium index؟

Definition 17.4 Markets III: Commodities, Energy and Crypto · الفصل 17 — Perpetual Futures

The premium index measures how far the perpetual’s order book is from the index: with II the index and BimpB^{\mathrm{imp}}, AimpA^{\mathrm{imp}} the average prices at which a stated notional (the impact notional) would be sold into the bids or bought from the asks,

p=max⁡(0, Bimp−I)−max⁡(0, I−Aimp)I.p = \frac{\max(0,\, B^{\mathrm{imp}} - I) - \max(0,\, I - A^{\mathrm{imp}})}{I}.
The funding rule of with an interest component of 1 basis point and a clamp of 5 basis points per interval: funding stays at 1 basis point for any average premium between -4 and +6 basis points and follows the premium, 5 basis points closer to the interest component, outside that zone. Data: the chapter’s tutorial.
Figure 17.1. The funding rule of Proposition 17.5 with an interest component of 1 basis point and a clamp of 5 basis points per interval: funding stays at 1 basis point for any average premium between −4-4 and +6+6 basis points and follows the premium, 5 basis points closer to the interest component, outside that zone. Data: the chapter’s tutorial.
Thirty synthetic days of eight-hour intervals: calm, a rally in which the perpetual trades rich, a sell-off in which it trades cheap, calm again. In calm periods the average premium wanders inside the dead zone and funding is pinned at 1 basis point; in the rally longs pay up to about 10 basis points an interval; in the sell-off shorts pay. Premium samples simulated every 5 seconds; the venue’s rule applied exactly. Data: the chapter’s tutorial.
Figure 17.2. Thirty synthetic days of eight-hour intervals: calm, a rally in which the perpetual trades rich, a sell-off in which it trades cheap, calm again. In calm periods the average premium wanders inside the dead zone and funding is pinned at 1 basis point; in the rally longs pay up to about 10 basis points an interval; in the sell-off shorts pay. Premium samples simulated every 5 seconds; the venue’s rule applied exactly. Data: the chapter’s tutorial.
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