Index price and mark price

Four prices for one option

A single BTC option on a venue comes with several prices, and they answer different questions:

• Index price: the venue's reference spot price for BTC, an average of the spot price on several large exchanges. It is the same for every option and expiry at a given moment, and options settle against it at expiry (see settlement and delivery).
• Forward: the price of BTC for that option's expiry, spot plus the basis. It is what the option is priced against.
• Bid and ask: the prices you can actually sell and buy at right now, and their midpoint, the mid.
• Mark price: the venue's own estimate of the option's fair value, usually from its implied volatility model. It is what the venue values your position at for margin, unrealized P&L and liquidation.

Why an index, not one exchange

An index averages several spot markets so that one exchange's thin book, outage or sudden wick cannot move every option's settlement and every margin calculation on its own. Each venue builds its own index from its own set of sources, so Deribit's, OKX's and Bybit's BTC index differ by a few dollars at any moment. BOSS shows each venue's own index next to its prices for that reason.

Mark is not a fill

The mark is a valuation, not a quote. On a liquid at-the-money option it sits between the bid and the ask, close to the mid. On a thin out-of-the-money option the spread can be wide and the mark anywhere inside it, or even outside it. Two consequences:

• A position's P&L "at mark" is not what closing it would bring: closing sells at the bid or buys at the ask, plus fees (see bid-ask, slippage and fees).
• Margin and liquidation follow the mark, not the book. A sharp move in implied volatility raises the mark of an option you sold, and with it your margin requirement, even if nobody traded it.

A worked example

A 30-day $105,000 BTC call on Deribit is quoted 0.0340 BTC bid, 0.0350 BTC ask, mark 0.0344 BTC, with the index at $100,000 and the expiry's forward at $100,400. Deribit quotes these options in BTC; BOSS converts each price to dollars at the expiry's forward:

• bid 0.0340 × $100,400 = $3,413.60; ask 0.0350 × $100,400 = $3,514.00;
• mid = $3,463.80, the price BOSS uses for a leg's premium;
• mark 0.0344 × $100,400 = $3,453.76, slightly below the mid;
• the trading fee is 0.03% of the underlying, $30.12, well under the cap of 12.5% of the option's price.

Buying one contract costs the ask plus the fee, $3,544.12: $80.32 more than the mid, and $90.36 more than the mark the venue would value it at a second later. That gap is the round-trip cost of trading, and it is why BOSS compares venues at execution, not at mid or mark.

How BOSS uses each one

BOSS prices every leg at mid, and at execution (ask when buying, bid when selling, plus fees) for its cost card. It uses the venue's mark for the margin estimates in paper trading, falling back to the mid when a venue sends no mark. When a book is one-sided or empty, a leg's mid falls back to the venue's mark or, on OKX, its last trade.