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Quantitative Finance · Begrippenlijst

Wat is Premium index?

Definition 17.4 Markets III: Commodities, Energy and Crypto · Hoofdstuk 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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