Mark Price

The Everstrike Mark Price is a manipulation-resistant reference price. Everstrike uses it to liquidate positions.

Using the Last Traded Price could enable market manipulation. The Mark Price reduces that risk.

Everstrike calculates the Mark Price in four stages:

1. Calculate the Index Price from selected spot exchanges.

2. Calculate bid and ask Fair Prices from the order book.

3. Smooth the difference between the Fair Price and Index Price.

4. Clamp the result within a permitted range around the Index Price.

Everstrike Index Price

The Everstrike Index Price is the average price across selected spot exchanges. Everstrike excludes outliers before calculating the average.

It represents the broader market price. See Index Price for supported exchanges and option index prices.

Everstrike Fair Price

The Everstrike Fair Price is one of the following:

• The price at depth X in the order book (Impact Price)

• A scaled multiple of the current best price (Scaled Best Price)

X is the order-book depth used for the calculation. It varies by trading pair.

For bids, the formula is:

Fair Price (Bid) = Max(Impact Price, Scaled Best Price)

For asks, the formula is:

Fair Price (Ask) = Min(Impact Price, Scaled Best Price)

For the Bitcoin perpetual futures contract, X is currently 0.3 BTC. The Markets API provides the value for each trading pair.

Everstrike averages the bid and ask Fair Prices for the Mark Price calculation:

Fair Price = (Fair Price (Bid) + Fair Price (Ask)) / 2

Scaled Best Price

The Scaled Best Price applies a pair-specific multiplier to the current best price.

For bids:

Scaled Best Price (Bid) = Multiplier * Best Bid

For asks:

Scaled Best Price (Ask) = Multiplier * Best Ask

The multiplier varies by trading pair. For the Bitcoin perpetual futures contract, it is currently 0.001. The Markets API provides the value for each trading pair.

Calculate the Mark Price

First, Everstrike calculates the Fair Price basis:

Fair Price Basis = Fair Price - Index Price

It then adds the exponentially smoothed basis to the Index Price:

Mark Price = Index Price + EMA_Y(Fair Price Basis)

EMA_Y is an exponential moving average over Y one-second periods. For the Bitcoin perpetual futures contract, Y is currently 30.

Finally, a dampener limits the Mark Price to a permitted range around the Index Price:

Mark Price = Min((1 + Z) * Index Price, Max((1 - Z) * Index Price, Mark Price))

Z is a pair-specific range. The dampener keeps the Mark Price between (1 - Z) * Index Price and (1 + Z) * Index Price.

For futures, Z is a fixed percentage. For options, it is dynamic. Everstrike derives it from the option's Black-Scholes value and its underlying price.