Contract Prices

/timeseries/market-contract-prices

Definition

Market contract prices are used as reference prices to estimate the value of a derivatives contract. The mark price is typically calculated as the average of the best bid and best ask, while the index price is the price of the underlying index (usually based on the current value of a corresponding perpetual futures contract).

Details

Exchanges report the following contract prices:

• Mark price: The estimated 'fair value' of a derivatives contract. Usually, this is the average of the best bid and best ask price. However, for risk management purposes, exchanges often set additional limits on price bandwidth.

• Index price: The price of the contract's underlying index, typically calculated using the current value of a corresponding perpetual futures contract.

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.

Request

ShellPython

curl --compressed "https://api.coinmetrics.io/v4/timeseries/market-contract-prices?start_time=2020-01-01&paging_from=start&markets=deribit-ETH-25MAR22-1200-P-option&pretty=true&api_key=<your_key>"

Response

{
  "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"
}

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, representing the contract's estimated "fair value."

• 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, helpful in calculating estimated profit and loss prior to contract expiration.

• 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.