How Index, Mark, and Last Prices Work in Crypto Futures
Summary
The document distinguishes three price references used in cryptocurrency derivatives. Index price is described as a weighted combination of spot prices from selected exchanges, intended to provide a broader reference that is less vulnerable to a single venue. Mark price is linked to the index and exchange market data, with smoothing intended to limit the effect of short-lived volatility. The guide says mark price is used to calculate unrealized profit and loss and to assess liquidation, while the last price is the most recent futures trade.
The distinction matters because futures can trade away from spot prices: the last traded contract price reflects futures-market supply and demand, while the index and mark prices serve reference and risk-calculation roles. The article is introductory and does not give full mark-price formulas, specify all exchange weighting rules, or compare venue implementations. Its descriptions therefore explain general functions rather than a complete methodology for calculating prices across platforms.
Key ideas
- Index price aggregates spot prices from selected exchanges, with weights influencing each venue's contribution.
- Mark price references the index and other market inputs to smooth short-term price movement.
- The guide says mark price is used for unrealized PnL and liquidation calculations, while last price records the latest futures trade.
- Futures last price may diverge from the underlying spot price as futures supply and demand change.
- The document omits detailed formulas and venue-specific calculation rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.