On 16 December 2020 at 01:00 UTC we will make updates to the Impact Notional and Index Price Protection parameters, two factors related to Mark Price, in order to further safeguard against the effects of market shocks and erroneous price information from constituent exchanges. 

What is changing?

  1. The Impact Notional used in the calculation of Fair Price for Futures Contracts and Funding Rate for Swap Contracts will increase from (0.1 / Initial Margin) to (0.2 / Initial Margin).

  2. The Index Price Protection parameter will be reduced from 25 percent to 10 percent.

  3. The BitMEX Index Protection Rules will be updated as follows:

    3 (a) For indices with 3 or more constituents: if a constituent price differs from the median constituent price for that index by
    10% or more, it is excluded from the index calculation.

    3 (b) For indices with only 2 constituents: if a constituent price differs from the median constituent price for that index by 5% or more, the last calculated index price will be used. The index is updated once its price differs from the median by less than 5%.

    3 (c) For an index with only 1 constituent: if the constituent price is 10% away from the last calculated index price, the last calculated index price will be used. The index is updated once the constituent price differs from the last calculated index price by less than 10%.

    4 (b) For indices with 1 remaining active constituent, using last calculated index price per 3 (c) above, or no remaining active constituents, the excluded constituent is within 10% of the index price.

Why are these changes helpful?

By adjusting our existing measures to calculate Fair Price, these changes will help reduce the impact of unnecessary Mark Price swings. For any questions regarding this announcement, please contact Support.