How are the prices of the Virtual Assets determined?
The prices of the derivatives contracts and spot trading on the Deribit platform are determined by the market (supply and demand) reflected in the bid and ask prices. This shows the current market sentiment.
Deribit BTC/ETH Index
Currently, the Deribit BTC/ETH index has four constituents - Bitstamp, Coinbase Pro, Kraken and LMAX Digital. From these exchanges, Deribit continuously retrieves the best bid and best ask prices and calculates the mid-price.
Exchanges that have been excluded from the index calculation by the system administrator have invalid data or delayed order book data.
The sample exchanges are then benchmarked against the median price of the included exchanges. The values that fall outside the +/-0.5% range of the median price are adjusted to the closest bandwidth price limit. Consequently, the index is calculated as the equally-weighted average of these values.
To access Deribit Index and see which exchanges are currently part of the index sample, head to the Deribit indexes page.
Additionally, Deribit Index is continuously measured against an external benchmark to ensure that the index represents an accurate market price. If there is just a single valid price feed, the feed will be the index. If for some reason, no price feed reaches Deribit or the value significantly deviates from the external benchmark, the platform will get temporarily locked (trading disabled) until the connection is re-established or error is determined and eliminated.
Note
Multiple exchanges are not currently enabled but are available as backup markets and can be enabled in the future.
Please refer to Index Prices for more details.
Expiry Price
The price used for the settlement and delivery of contracts will be calculated as the time-weighted average of the Deribit index over the last 30 min before the expiry. The Deribit index gets calculated every 4 seconds. Therefore, the final delivery price is the time-weighted average of 450 index prices recorded in the last 30 minutes before the expiry.
Mark Price
When calculating unrealized profits and losses of futures contracts, not always the last traded price of the future is used.
To calculate the mark price, first, we must calculate the 30 second EMA (exponential moving average) of the difference between the last traded price (or the best bid/ask when the last traded price falls outside the current best bid/ask spread) and the Deribit Index.
The mark price is calculated as:
Index Price + 30 seconds EMA of (Last Traded Price - Deribit Index)
Further, there is a limit of how fast the spread between the Deribit BTC Index and the last traded future price can change:
The trading range is limited by a bandwidth of 3% around the 2 minute EMA of the mark price and index price difference (+/-1.5%).
The mark price bandwidth is displayed in the futures order form showing the current minimum and maximum allowed trading price (above the price field).
The mark price can never differ by more than a certain % from the Deribit Index. By default, the percentage that the mark price is allowed to trade away from the index is 10% for BTC and 10.5% for ETH. If the market requires trading with higher discount or premium (for example, in volatile periods or periods of ever-increasing contango or backwardation), the bandwidth can be increased.
Please refer to Mark Prices for more details.