01-09-2020 09:10 PM
The BTC Futures contracts are settled on the 30-minute-TWAP of the underlying index. To ensure that at the time of settlement there are no under-margined positions, the transition from using underlying index to 30-min-TWAP of underlying index is done gradually.
When the settlement time of a contract is one hour away, we switch to a weighted average of underlying index and the 30-min-TWAP of the underlying index in mark price computation. Over the next 30 minutes, the weights of u bitcoin abc futures nderlying index and its TWAP go from 100%/ 0% to 0%/ 100%. This means the mark price is computed using the 30-minute-TWAP of the underlying index in the last half hour leading into contract settlement.