Contract Prices

/timeseries/market-contract-prices

Definition

Market contract prices are prices relevant to derivatives contract. It consists of the mark price, index price, and estimated settlement price.

The estimated settlement price is an estimate of the settlement price if the contract were to be settled

Details

Exchanges report the following contract prices:

• Mark price: The mark price is used by an exchange to calculate a trader's unrealized profit and losses and to trigger liquidations for risk management purposes. Each exchange applies a unique methodology for calculating the mark price, which typically is a function of the index price, funding rate, and the best bid and best ask with some smoothing applied over a time interval to address market manipulation or volatility. This prevents unnecessary liquidations during volatile market environments. Exchanges typically do not use the last traded price for risk management purposes because it is susceptible to market manipulation.

• Index price: The price of the derivative contract's underlying index. Each exchange applies a unique methodology for calculating the index price, which typically involves weighting the prices from spot markets from multiple different exchanges.

• Estimated settlement price: An estimate of the settlement price if the contract were to be immediately settleed. Each exchange applies a unique methodology for calculating the final settlement price, which typically involves an average of the index price over some interval. The estimated settlement price applies this methodology continuously in real-time. The estimated settlement price can be helpful in hedging or calculating estimated profit and loss prior to contract expiration.

API Endpoints

Market contract prices can be accessed using the timeseries/market-contract-prices endpoint.

Market contract prices

Returns contract prices for specified markets. This includes index price and mark price that are used by the exchange for settlement and risk management purposes. Results are ordered by tuple (market, time). To fetch the next page of results use next_page_url JSON response field.

GEThttps://api.coinmetrics.io/v4/timeseries/market-contract-prices

Authorization

api_key

Query parameters

Response

200400401403414

Time series of market contract prices.

Body

application/json

data*array of MarketContractPrices (object)

next_page_tokenNextPageToken (string)

Token of the next page results for a given request.

next_page_urlNextPageUrl (string)

URL of the next page results for a given request.

Response

200400401403

{
  "data": [
    {
      "market": "text",
      "time": "text",
      "mark_price": "text",
      "index_price": "text",
      "settlement_price_estimated": "text",
      "database_time": "text",
      "exchange_time": "text"
    }
  ],
  "next_page_token": "text",
  "next_page_url": "text"
}

Shell

curl --compressed "https://api.coinmetrics.io/v4/timeseries/market-contract-prices?markets=deribit-ETH-25MAR22-1200-P-option&limit_per_market=1&api_key=<your_key>"

Python

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/market-contract-prices?markets=deribit-ETH-25MAR22-1200-P-option&limit_per_market=1&api_key=<your_key>').json()
print(response)

Python Client

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_market_contract_prices(
        markets=["deribit-ETH-25MAR22-1200-P-option"], limit_per_market=5
    ).to_dataframe()
)

Example

A sample of contract price data from our /timeseries/market-contract-prices API endpoint is shown below for the deribit-ETH-25MAR22-1200-P-option market.

{
  "data" : [ {
    "market" : "deribit-BTC-11NOV22-20000-C-option",
    "time" : "2022-10-20T08:03:00.000000000Z",
    "database_time" : "2022-10-20T08:03:52.831102000Z",
    "mark_price" : "0.0791",
    "index_price" : "19153.67",
    "settlement_price_estimated" : "19153.67",
    "exchange_time" : "2022-10-20T08:03:51.768000000Z"
  }, {
    "market" : "deribit-BTC-11NOV22-20000-C-option",
    "time" : "2022-10-20T08:04:00.000000000Z",
    "database_time" : "2022-10-20T08:04:15.834472000Z",
    "mark_price" : "0.0791",
    "index_price" : "19154.68",
    "settlement_price_estimated" : "19154.68",
    "exchange_time" : "2022-10-20T08:04:14.938000000Z"
  } ]
}

• market: The id of the market. Market ids use the following naming convention for options markets: exchangeName-optionsSymbol-option

• time: The time at which Coin Metrics queried the contract price from an exchange in ISO 8601 date-time format. Always with nanoseconds precision.

• mark_price: The instrument market price, which represents the contract's fair market value and is used to calculate a trader's unrealized profit and losses and to trigger liquidations for risk management purposes.

• index_price: The price of the underlying benchmark index.

• settlement_price_estimated: Represents what the underlying index settlement price would be if the contract immediately expired.

• database_time: The timestamp when the data was saved in the database in ISO 8601 date-time format with nanoseconds precision. Always with nanoseconds precision.

• exchange_time: The timestamp reported by the exchange. Can be null if the exchange does not report a timestamp.

Release History

• CM MDF v2.5 on November 22, 2021: We expanded our options coverage to include several new data types, including market contract prices, from Deribit and added several new API endpoints to serve this data.

• CM MDF v2.7 on October 24, 2022: Began collecting and serving the settlement price and estimated settlement price for option markets. The settlement price is served in our /catalog/markets endpoint and is available shortly after an option market expires. And the estimated settlement price is updated once a minute and served in our /timeseries/market-contract-prices endpoint.