Note
Announcement - Coinbase Index Price Methodology update for crypto perpetuals
Effective Wednesday 4 November 2026 at 14:00 UTC, Deribit will change the Coinbase crypto index calculation used for crypto perpetual contracts. The final index price aggregation will change from the equal-weighted average of qualifying Derived Market Prices (DMPs) to the median of those DMPs.
This change is intended to reduce the impact of individual price-source spikes on the index, particularly for less-liquid crypto assets. This median-based approach is already used for Deribit's real-world asset perpetuals (see Coinbase RWA Index Price Methodology).
Only the final aggregation step in Step 4 below is changing. The calculation of each venue's DMP and the existing source validation checks remain unchanged.
Overview
This article outlines the approach to index calculation, monitoring, quality assessment, and settlement used for the Coinbase Index. As Deribit and the Coinbase International Exchange come together as a single platform, the Coinbase Index will become the reference crypto index for perpetual futures that currently do not have a corresponding listed Deribit option. Instruments that do have a listed Deribit option (BTC, ETH, SOL, XRP, HYPE, AVAX, TRX) will continue to use the existing Deribit index. Please refer to Deribit Index Price Methodology for more details on that methodology. Equity, equity ETF, commodity and pre-IPO perpetuals use a separate Coinbase Index methodology, described in Coinbase RWA Index Price Methodology.
The Coinbase Index draws on two types of sources:
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Exchange sources: spot prices from individual, reputable cryptocurrency exchanges (Coinbase, Binance, Bitstamp, Bybit, Kraken, LMAX Digital, Gemini, OKX).
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Aggregator sources: an aggregated reference price from external data vendors that can incorporate both CEX and DEX prices (Coin Metrics, Pyth).
The default venues are Coinbase, Pyth, and Coin Metrics. A default venue is a source able to keep producing a reference price on its own, even when other sources are unavailable.
Calculation Methodology
The Coinbase Index is calculated every second. All steps below are applied on every tick.
Step 1: Liveness check
For each constituent, determine whether it is LIVE. A constituent is LIVE if, within the last 15 seconds, either:
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it received at least one trade or at least one order book update; or
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it received at least one heartbeat.
Any constituent that is not LIVE is excluded.
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If 0 constituents remain, the index is not published.
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If at least 1 constituent remains, continue.
Step 2: Compute the Derived Market Price (DMP) per constituent
For each surviving constituent, compute its DMP:
DMP = median(last traded price, last best bid, last best offer)
Constituents that are not quoted in a fiat currency are converted to USD using a stable currency index (for example, USDT/USD). The published index is a USD price. An instrument quoted in USDC is then adjusted from that USD price using the USDC-USD conversion.
Step 3: Compute MDMP and exclude outliers
Compute the MDMP (Median of DMPs) across all surviving constituents. Exclude any constituent whose DMP falls outside MDMP ± 5%.
Step 4: Publish decision
Let N be the number of constituents remaining after Step 3. A default venue is present when at least one of Coinbase, Pyth, or Coin Metrics is still among the survivors.
Proceed to publish only if a default venue is present and N ≥ 2, or if N ≥ 3:
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If exactly 2 constituents remain, run the 2.5% pairwise divergence check. Compute the relative difference between the two surviving DMPs as
|DMP_a - DMP_b| / min(DMP_a, DMP_b). If it exceeds 2.5%, the currency pair is locked and the index is not published. -
Otherwise, the index price is the equal-weighted average of the surviving DMPs.
If neither condition holds, the index is not published.
Other protections
Fast price movement: if an index moves more than 10% between ticks, the currency pair is locked.
Locking and resuming a currency pair
When the index triggers a circuit breaker (for example, a price move greater than 10% between ticks, or too few valid sources), the affected currency pair is locked and the index is not published.
The platform then attempts to restore trading automatically:
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After a 30-second stabilization period, the system checks whether the index has recovered. If it has, the currency pair is unlocked and trading resumes.
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If it has not yet recovered, the check repeats every 30 seconds.
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Auto-unlock remains available for up to 90 seconds from the time of the lock. If the index has not recovered within that window, the currency pair stays locked and is restored manually.