Index price

The Options Index Price is our proprietary benchmark for valuing and settling option contracts. It is designed to be robust against manipulation, resistant to stale data, and consistent across multiple exchanges.

Calculation Flow

1. Validation of Inputs

   • Underlying asset, timestamp, and list of quotes must be present.

   • If any are missing, the index cannot be derived.

2. Filter Non-Stale Quotes

   • Only quotes marked as fresh are considered.

   • If no fresh quotes remain → index calculation fails.

3. Extract Candidate Prices

   • For each valid quote, the midOrLast() price is taken.

   • These values form the candidate price set.

4. Median Aggregation

   • The index is the median of candidate prices:

   $$IndexPrice = \begin{cases} Price_{\frac{n+1}{2}}, & n \text{ is odd} \\[10pt] \frac{Price_{\frac{n}{2}} + Price_{\frac{n}{2}+1}}{2}, & n \text{ is even} \end{cases}$$

   • Median ensures stability and reduces sensitivity to outliers.

5. Final Scaling

   • Result is rounded to the configured scale (precision) using half-up rounding.

6. Result Packaging

   • Final index object contains:

     • Underlying asset ID

     • Timestamp (epoch ms)

     • Calculated index price

     • Contributing quotes (exchange + price)

Example (Odd Number of Quotes)

Input Quotes (Fresh Only):

• Exchange A: 100,000

• Exchange B: 100,050

• Exchange C: 99,950

• Exchange D: 100,200

• Exchange E: 99,900

Step 1 – Sorted Candidate Prices:

[99,900,  99,950,  100,000,  100,050,  100,200][99,900,\; 99,950,\; 100,000,\; 100,050,\; 100,200][99,900,99,950,100,000,100,050,100,200]

Step 2 – Median:

• n=5n = 5n=5 (odd)

• Median = 3rd value = 100,000

Final Index Price:

IndexPrice=100,000.00IndexPrice = 100{,}000.00IndexPrice=100,000.00