Coinbase RWA Index Price Methodology

This article outlines the index methodology used for Deribit's real-world asset (RWA) perpetuals: equities, equity ETFs, commodities and pre-IPO contracts. For the contract parameters of these instruments, see RWA Perpetual.

Deribit uses three index methodologies:

Each RWA underlying is a USD Coinbase Index. The perpetual is quoted, margined and settled in USDC. The index is calculated in USD. Inputs quoted in another currency, including USDT and USDC, are converted into USD. The USDC contract is then adjusted from that USD index using the USDC-USD rate. Crypto instruments on the Coinbase Index use the same conversion.

Depending on whether the underlying market is open, the reference index for an RWA perpetual is one of:

The mark price used for margin and liquidation is kept inside an Index Band around the reference index that is active at the time. If price discovery is unreliable, or if the mark price reaches the Index Band, Deribit may set the contract to reduce-only, cancel open orders, or halt trading. Index Band thresholds can be updated when volatility or market conditions change. The fixed bandwidth for each asset category is listed on the RWA Perpetual page.

Weekday Index Pricing: During regular equity market hours Monday through Friday, the reference index is calculated using Direct Price Index sources from multiple independent providers. An Index Band for single stock Equity Perps and for equity index Equity Perps is applied to the Mark Price relative to the Direct Price Index to preserve orderly trading and prevent extreme price fluctuations due to rapid market movements. The Index Band operates as the primary price control during this period, limiting the extent to which the Mark Price may deviate from the live reference price. Outside of regular equity market hours Monday through Friday, the reference index may incorporate Tokenized Price Feeds as fallback to the extent these are available.

Weekend, Holiday and Halt Pricing: When the underlying equity market is closed on weekends and/or holidays, Deribit switches to an Internal Index constructed using a 30-minute exponential moving average (EMA) of the Mark Price combined with Tokenized Price Feeds or External Perpetual Futures Prices. An Index Band for single stock Equity Perps and for equity index Equity Perps is additionally applied to the Mark Price relative to the Internal Index. Notwithstanding this indicative range, Deribit reserves the right to update the Index Band thresholds in its reasonable discretion as a response to market conditions. For stocks that do not have a Tokenized Price Feed or External Perpetual Futures Prices, the Internal Index will be equal to the EMA of the Mark Price.

Sunday Bridge Index: A 10-minute linear Bridge Index transitions from the weekend Internal Index to the direct price index at the Sunday session open. For equities and equity ETFs that open is Monday 00:00 UTC while the United States is on daylight saving time, and Monday 01:00 UTC while the United States is on standard time. The blend starts 2 minutes before that open and ends 8 minutes after it. During the Bridge Index period, Index Bands for single stock Equity Perps and for equity index Equity Perps will apply to the Mark Price relative to the Bridge Index, similar to weekday pricing.

During periods of unreliable underlying price discovery, or when the Mark Price reaches the applicable Index Band, Deribit may impose reduce-only mode automatically, cancel open Orders without prior notice, or fully halt trading.

Reference price design and validation: Deribit sources market data for Equity Perps from multiple independent providers, including Pyth and dxFeed, with Tokenized Price Feeds and index vendor data incorporated where available. Mark Price is calculated in accordance with the Rulebook and bounded by the Index Band. Multi-source validation and outlier checks are employed to ensure pricing integrity. In the event of data feed disruptions, Deribit may invoke Emergency Powers to adjust pricing methodology.

Weekday pricing during regular trading hours: During regular trading hours Monday through Friday, the reference index is calculated using a relevant Direct Price Index from the primary markets for each commodity. For metal commodities such as gold and silver, prices are sourced from live Pyth spot metal feeds that reflect the latest trading activity. For WTI (WTIOIL) and Brent (BRENTOIL), the reference index is the Pyth 24/7 feed. The futures roll is built into that feed, as described under WTI and Brent oil index roll. For natural gas, prices are derived from CME/ICE front month futures contracts provided by Pyth. The pricing may also incorporate adjustments based on order book depth and volume to ensure accurate representation. An Index Band is applied, depending on volatility, to prevent extreme price fluctuations due to rapid market movements. Index Band thresholds may be dynamically adjusted by Deribit based on volatility levels and market activity, to ensure that Mark Prices do not deviate significantly from market norms.

Weekday pricing outside of regular trading hours or during daily maintenance; Weekend and holiday pricing: When the underlying commodities markets are closed on weekdays, weekends and/or holidays, Deribit switches to an Internal Index constructed using a one-hour exponential moving average (EMA) of the Mark Price combined with Tokenized Price Feeds or External Perpetual Futures Price Feeds if available. The Index Band is applied to the Mark Price relative to the Internal Index. Deribit reserves the right to update the Index Band in its reasonable discretion as a response to market conditions. For commodities that do not have a Tokenized Price Feed or External Perpetual Futures Price Feeds, the Internal Index will be equal to the EMA of the Mark Price.

Sunday Bridge Index: A 10-minute linear Bridge Index transitions from the weekend Internal Index to the direct price index at the Sunday session open. For metals that open is Sunday 22:00 UTC while the United States is on daylight saving time, and Sunday 23:00 UTC while the United States is on standard time. The blend starts 2 minutes before that open and ends 8 minutes after it. During the Bridge Index period, Index Bands for Commodity Perps will apply to the Mark Price relative to the Bridge Index, similar to weekday pricing.

During periods of unreliable underlying price discovery, or when the Mark Price moves beyond the applicable Index Band, Deribit may impose reduce-only mode automatically, cancel open Orders without prior notice, or fully halt trading.

Reference price design and validation: Deribit sources market data for Commodity Perps from multiple independent providers, with Tokenized Price Feeds and index vendor data incorporated where available. Pricing is based on this combination of direct market feeds and internal indexing strategies to ensure resilience during off-hours and under varying market conditions, as well as to account for commodity-specific dynamics. Mark Price is calculated in accordance with the Rulebook and bounded by the Index Band.

WTIOIL and BRENTOIL use the Pyth 24/7 feed. The roll from one futures month to the next is built into that feed, with part of the weight in the current contract month and part in the next month. The same rule applies every calendar month, so the dates follow from the calendar: the 5th through the 9th business day, at 16:30 Central Time (21:30 UTC while the United States is on daylight saving time, and 22:30 UTC while the United States is on standard time).

At 16:30 Central Time on each of those five business days, 20% of the weight moves from the current month to the next month:

In September, while the feed rolls from the October contract to the November contract, the index is 100% October until 7 September at 16:30 Central Time, then 80% October and 20% November until the next step at the same time on the following business day. Each later step shifts another 20% until the 9th business day, when the index is 100% November.

The OPENAI and ANTH Index Prices are based solely on the internal reference price, a 30-minute EMA of the contract's Mark Price. No third-party price source is used.

Pre-IPO Perps do not reference a continuously traded public market. The underlying company has no listed equity and no observable continuous spot price. Accordingly, pricing methodology, liquidity, and risk characteristics may vary significantly at any time.

Primary Pricing: The Index Price is determined on a per-contract basis and may comprise one or more of the following, calculated as the median of: (i) an internal reference price derived from trading activity on Deribit, being a 30-minute exponential moving average (EMA) of the contract's Mark Price; and (ii) one or more third-party, publicly observable market prices referencing the issuer or instruments linked to the issuer (for example, other pre-IPO perpetual futures markets), in such combination and weighting as Deribit considers appropriate from time to time. The internal reference price updates continuously based on exchange trading activity. Third-party inputs update at the cadence of the relevant source (typically once per second).

Fallback Pricing: For certain contracts, the Index Price may be based solely on the internal reference price without reference to any third-party source. Where third-party inputs are used, Deribit may at any time change the inputs, their combination or weighting, or switch to an internal reference price methodology (EMA only). If an external input diverges from the Index Price by more than 5%, the index falls back to internal-only pricing (EMA). If available inputs become insufficient or unreliable, Deribit may publish a static anchor Index Price until inputs become reliable again, take any action as per its Emergency Powers, or exercise its rights pursuant to a Market Disruption. to other lifecycle events, or as described further in Rulebook. Deribit reserves the right to update the applicable methodology in its reasonable discretion in response to market conditions.

During periods with no third-party valuation input, the Index Price continues to be determined under the applicable methodology described in the Instrument Specifications and does not interpolate toward a target price.

During periods of unreliable underlying price discovery, Deribit may impose reduce-only mode automatically, cancel open Orders without prior notice, or fully halt trading in respect of any Pre-IPO Perp.

Reference price design and validation: Deribit sources market data for Pre-IPO Perps from a combination of internal trading-derived references and, where available, third-party publicly observable market prices referencing the issuer or instruments linked to the issuer. Pricing is based on this combination of internal and external inputs to ensure resilience under varying market conditions and to account for the specific characteristics of pre-IPO underlyings, including the absence of a continuously observable spot price.

The Index Price does not track the latest preferred-round price, an audited common-stock fair value, or other independent fair market value appraisal. Prior to any per-share rebase, the Index Price instead tracks a constructed estimate of the issuer's aggregate implied equity valuation (i.e., the headline total equity value of the company, typically expressed as valuation / 1,000,000,000). The methodology does not separately model or allocate liquidation preferences, anti-dilution protection, participation rights, or other share class-specific terms. Those economics are only reflected to the extent they are embedded in the observed or constructed whole-company valuation used for the index.

No single external data vendor is required for any Pre-IPO Perp. Where a single third-party source is used, it may represent a significant input given the limited number of observable market references available for privately held issuers. Such concentration is mitigated by Deribit's ability to reweight or remove the source, switch to an internal-only fallback, change methodology, or take lifecycle or Market Disruption actions if it considers the available inputs to be insufficient or unreliable.