Mark price, index price and last price: how they differ and which matters
A perpetual future on an exchange has several “prices” at once: the last trade price, the mark price and the index price. They almost coincide in a calm market and diverge noticeably in sharp moves, and each has its own job: one is for execution, another for liquidation, the third for funding.
Last price
The price of the last trade on this contract on this exchange. It is what you see in candles, and orders in the book sit around it. In a thin market one large trade easily pushes the last price away from the “fair” one.
Index price
A weighted price of the underlying asset collected from several venues (usually spot markets of large exchanges). The index does not depend on the order book of one particular perp, so it is harder to move. The index composition and exchange weights differ between venues.
Mark price
A “fair” price of the contract calculated by the exchange itself: as a rule, the index plus a smoothed premium of the contract to the index. The mark price exists so that unrealized profit and loss and the liquidation price do not jump because of short-lived last-price spikes and manipulation. Formulas differ between exchanges, so the mark of the same contract differs between two venues.
What depends on which price
| What | Which price is usually used |
|---|---|
| Order execution | the order book and the last trade price |
| Unrealized PnL and liquidation | the mark price (some exchanges let you choose last) |
| Funding | the contract’s premium to the index; the payment is calculated on notional at mark |
| Comparison with the “true” price of the asset | the index |
Exact rules depend on the exchange and the contract — check the venue’s documentation.
The mark-to-index deviation
- Positive — the contract trades at a premium to the spot index: it usually goes with positive funding, longs pay shorts.
- Negative — the contract trades at a discount: funding is usually negative.
- Large in absolute terms — on thin coins and in volatile moments it is a sign of an unstable market: the liquidation price may be closer than it looks by last price.
Why arbitrage cares
- Liquidation. The liquidation price is set by mark, not by last. A brief spike in last does not liquidate a position, a shift in mark can. Mark is calculated differently on two exchanges, and one leg can be closer to liquidation than the other (see arbitrage risks).
- The real spread. For entry and exit, the bid and ask in the order book matter, not mark. The mark spread between exchanges shows a “fair” difference, but you cannot execute it at mark (see the guide to the cross-exchange spread).
- Funding. Its cause is the premium to the index; when mark and index are close the rate stays near its base value, and with a large premium it is high (how funding works).
How SpreadScope shows it
For each leg the scanner receives the last price, mark and index, and shows the mark-to-index deviation in the table and on the chart — a quick way to spot a leg with a “nervous” market. The spread itself is calculated from bid and ask, that is, from prices at which a trade can actually be made.