1. Mark price Definition
To safeguard users from unnecessary liquidation triggered by abnormal market price, Mark Price is introduced to calculate the UPL.
2. Mark price computation
Mark price = Spot Index Price + Moving Average of Basis
Moving Average of Basis = MA((Best Offer + Best Bid)/2 - Spot Index Price)
Mark Price is constructed based on the Spot Index Price and the Moving Average of Basis. The moving average mechanism smooths out temporary price spikes, reducing unnecessary liquidation under volatile market conditions.
3. Mark Price application
a. UPL calculations
Long positions: UPL = Face Value x Number of Contracts x Latest Mark Price - Face Value x Number of Contracts x Settlement Reference Price
Short positions: UPL = Face Value x Number of Contracts x Settlement Reference Price - Face Value x Number of Contracts x Latest Mark Price
b. Settlement Price
The Settlement Price for futures contracts is set to the Latest Mark Price at 08:00 UTC every day. The contract delivery time is at 08:00(UTC) on Friday of the expiry week.