Index price (crypto derivatives)

Definition

A derivatives exchange selects a set of spot markets for the asset, assigns each a weight, and publishes their weighted average as the index. Binance describes its USDⓈ-M price index as the sum, over the listed spot exchanges, of each exchange's weight percentage times the symbol's spot price there, and lists the constituent venues, which include centralized exchanges and some decentralized ones. Constituents and weights are adjusted over time, for example when a venue's data becomes unreliable.

What it is used for

• The premium index behind the funding rate measures how far the perpetual trades from the index.
• The mark price is built from the index plus a smoothed premium, and liquidations are triggered on the mark.
• Dated futures on some venues settle against an index average at expiry.
• The index is a reference, not a tradable price: no order executes at the index.

Differences between venues

Each derivatives exchange builds its own index from its own constituent list and rules, so the index behind a Binance perpetual and the index behind a Bybit perpetual on the same asset are not identical. The gap is usually small, but it explains why funding rates and mark prices differ across venues even when their last prices match. When comparing perpetuals across exchanges, the relevant question is how each trades against its own index.

In Senzoukria

The desktop reads trades and order books directly from individual venues, Binance Spot, Binance USD-M perpetuals and Bybit linear perpetuals, and does not display any exchange's index price. A spot chart of one exchange is one component of an index at most, not the index itself; comparing a perpetual with the spot pair of the same exchange is a comparison between two venues' traded prices, not a measure of the premium the exchange uses for funding.