In Futures Contracts, similar to Perpetual Contracts, the last traded price (LTP) and mark price (MP) play a crucial role in establishing the Dual Price mechanism on the Bybit platform. These values also govern the liquidation process for Futures Contracts, where the trigger is based on the Mark Price.

 

However, unlike Perpetual Contracts that involve a funding mechanism, the calculation methodology for the Mark Price in Futures Contracts differs. Specifically tailored to Futures Contracts, the Mark Price is computed by referencing a global Spot Index Price in combination with the basis rate. In this article, we will show the Mark Price calculation for both Inverse and USDC Futures contracts.

 

 

 

Mark Price Calculation (Inverse Futures Contracts)

 

The Mark Price for Inverse Futures Contracts is determined using the following formula:

Mark Price = Index Price x (1 + Basis Rate)

 

Here's how the components are calculated:

1. Basis Rate = 10-min Moving Average of [(Impact Mid Price - Index Price) / Index Price]
2. Impact Mid Price = (Impact Bid Price + Impact Ask Price) / 2
3. Impact Bid Price = The average filled price to execute the Impact Margin Notional on the Bid side
4. Impact Ask Price = The average filled price to execute the Impact Margin Notional on the Ask side

 

Notes: 

— Impact Mid Price is refreshed on a per-second basis.

— Impact Margin Notional for BTC and ETH Inverse Futures Contracts are set at 10 BTC and 100 ETH respectively.  

— If the Futures contract is newly listed and less than 10 minutes into its listing time, for example, 2 minutes, the system will take the 2-min moving average to calculate the basis rate. 

— The basis rate reflects the premium or discount of the Impact mid price relative to the Index Price.

• If the basis rate widens = the price gap between Bybit futures price and index price is diverging. 
• If basis rate narrows = the price gap between Bybit futures price and index price is converging. 

A widening basis rate signifies a divergence between the last traded price of Bybit Futures Contracts and index price, while a narrowing basis rate indicates convergence.

— Specific to the Bybit futures contract, on the settlement date between 7:30AM and 8AM UTC, liquidation can be triggered if either the mark price or expected settlement price reaches the liquidation price of the position. 

 

For example, When holding a position at 7:45AM UTC on the settlement date, if either mark price or expected settlement price reaches the liquidation price of the position, liquidation will be triggered and the position will be taken over by the liquidation engine.

 

 

Mark Price Calculation (USDC Futures Contracts)

 

The mark price for USDC Futures Contracts is determined using the following formula:

Mark Price = Index Price x (1 + Basis Rate)

 

However, there's a variation within the 30 minutes leading up to delivery:

Within 30 minutes of delivery, the mark price is set to the estimated delivery price.

 

 

Here's how the components are calculated:

 

1. Basis Rate = 2-min Moving Average of [(Mid-price of best ask and best bid price - Index Price) / Index Price]
2. Mid-price of best ask and best bid price = (Best Ask Price + Best Bid Price) / 2