Equity Indices

Oracle Methodology for Equity Indices

S&P 500

The S&P 500 Index is a free-float capitalization-weighted equity index that tracks the performance of 500 leading publicly traded companies listed in the United States. The index represents large capitalization U.S. equities across all major sectors, including technology, healthcare, financials, consumer discretionary, energy, and industrials, and accounts for approximately 80% of total U.S. market capitalization. It is widely regarded as the primary benchmark for the U.S. large-cap equity market. S&P Dow Jones Indices has exclusively licensed the S&P 500 Index¹ to trade[XYZ] to launch the only officially licensed perpetual contract based on the S&P 500.

XYZ100

The XYZ U.S. 100 Index (XYZ100) is a modified capitalization-weighted equity index that tracks 100 large, non-financial companies listed on a U.S. exchange. The index is designed to concentrate exposure in growth oriented sectors while excluding traditional financial institutions, resulting in a more technology tilted profile relative to broad U.S. benchmarks.

External Coverage

The relayer derives external prices for equity indices from two sources:

• Spot index values during the cash session (9:30 AM – 4:00 PM ET, Monday through Friday).

• Traditional dated equity index futures quotes from institutional liquidity providers are available nearly 23/5.

Together, these sources enable the Relayer to derive external pricing 23/5, from Sunday 6:00 PM ET through Friday 5:00 PM ET, with daily gaps from 5:00–6:00 PM ET.

External Price Derivation

For equity indices such as SP500® and XYZ100, the relayer consumes executable quotes for both the underlying spot index and the corresponding traditional (dated) equity index futures from institutional liquidity providers. During the cash session, the spot index value is used directly as the oracle price. Outside the cash session, the futures price is discounted to an implied spot value using an empirically observed discount rate. This two-source design eliminates the need for a manually set discount rate.

Cash Session

During the cash session, the spot index value serves as the oracle price. Simultaneously, the relayer observes the spot–futures basis and derives the implied annualized net discount rate:

$$d_t = \frac{1}{T_t} \ln\left(\frac{F_t}{S_t}\right)$$

where $F_t$​ is the concurrent futures price, $S_t$​ is the spot index value, and $T_t$​ is the time to futures settlement in years. The net discount rate $d = r-q$ implicitly captures the prevailing interest rate $r$ and forward dividend yield $q$ without requiring either to be specified independently.

The relayer maintains a continuous-time exponentially weighted moving average of $d_t$ with a time constant $\tau = 1$ hour:

$$\bar{d}_t = \beta_t, \bar{d}_{t^-} + (1 - \beta_t) d_t, \qquad \beta_t = e^{-\Delta t / \tau}$$

where $\Delta t = t - t_{\text{prev}}$​ is the elapsed time since the prior update. As a protective measure, each EMA update is clamped such that $|\bar{d}_t - \bar{d}_{t^-}| \leq 0.01\text{ bps}$, ensuring no single observation produces a disproportionate rate adjustment.

Extended Session

Outside the cash session — but within futures trading hours — the oracle price is derived by discounting the futures price at the prevailing EMA discount rate:

$$S_t = F_t e^{-\bar{d}_t T_t}$$

The EMA rate established during the prior cash session carries forward unchanged until the next cash session opens, at which point the EMA resumes updating with live basis observations.

Parameters

• Discount Rate EMA Time Constant $(\tau)$ : 1 hour

• Discount Rate EMA Clamp: 0.01 bps per update

Underlying Suffix	Active Until (applies to both SP500 and XYZ100)	Expiration (applies to both SP500 and XYZ100)
H6	2026-03-16T14:00:00 UTC	2026-03-20T13:30:00 UTC
M6	2026-06-15T14:00:00 UTC	2026-06-18T13:30:00 UTC

---

¹The “S&P 500” is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by trade[XYZ]. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by trade[XYZ]. Trade[XYZ] is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the “S&P 500”.