1. Calculation of the Mark Price
The mark price for perpetual contracts is calculated using the funding fee basis and the price index. The formula is:
Mark Price=Index Price×(1+Funding Fee Basis)
2. Funding Fee Basis Calculation
The funding fee basis is calculated as follows:
Funding Fee Basis=Funding Fee Rate×(Funding Interval / Time Until Next Funding Payment)
Funding Fee Rate is the current funding fee rate.
Time Until Next Funding Payment is the time remaining until the next funding fee payment.
Funding Interval is the time between two funding fee payments (e.g., 8 hours).
3. Mark Price Formula
To compute the mark price, the formula is:
Mark Price =Median(Price Level 1,Price Level 2,Futures Price)
Eg
Price Level 1 = Index Price x Time Until Next Funding Payment (hours) / 8
Price Level 2 = Index Price + Moving Average ( 30 Mins Basis )
Moving Average (30-minute basis): This is the average of the last 30 minutes, sampled every minute. It is calculated as:
Moving Average=Moving Average of(2Bid1+Ask1−Index Price)
Median: Among Price Level 1, Price Level 2, and the Contract Price, the mark price is the middle value. For example, if Price Level 1 < Price Level 2 < Contract Price, the mark price would be Price Level 2.
4. Additional Protection Measures
In cases where there is a significant deviation between the spot price and the mark price due to extreme market conditions or pricing discrepancies, HyperPay will take additional protective measures. In such situations, Price Level 2 will be used directly as the mark price.
5. Importance of the Mark Price
The mark price is crucial for accurately assessing the unrealized profits and losses of positions and avoiding unnecessary liquidations. It provides a more stable estimation of the contract’s intrinsic value compared to the contract price, thus helping to prevent forced liquidations and mitigating potential market manipulation.