Mark Price

To calculate unrealised profits and losses in future contracts, not always the last traded price of the future is used.

If the last traded price is not within the current best bid-ask, then the bid price or ask price will be used, whichever is nearer to the last traded price.
Further the mark price can never differ more than 1.5% from the Deribit BTC index + implied interest rate (which we call the ” fair price” for the weekly future, or when in last half hour before expiration, the estimated delivery price. These rules will prevent liquidations due to manipulative trading. Implied interest rate can change every 6 seconds with a limited rate to follow traded prices, though with a certain limit in velocity, such that with an immediate move of the future, the mark price can only move immediately up to 1.5% either way from fair price. Fair price will always trail mark price, by increasing/decreasing implied interest rate at a limited rate per 6 seconds.

Examples:

1.
INDEX=870.00
BID/ASK= 871-871.50
LAST= 871.70

The Mark Price for calculating profits/losses in future contracts will be 871.50

2.
INDEX=870.00
BID/ASK=871/871.50
LAST= 871.20

The Mark Price will be 871.20

The implied interest rate is updated every 6 seconds to make the mark price follow the bid-ask, this happens at a limited velocity to prevent immediate drops or raises in mark price.

 

This post is also available in: Chinese (Simplified)

Example (futures)
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