stETH / ETH Basis Perpetuals (ETHBASIS)

This perpetual contract tracks the short-term basis (premium / discount) between stETH and ETH, providing direct exposure to the relative value of staked ETH versus ETH.

Characteristic	Description
What it Tracks	The instantaneous premium or discount of stETH versus ETH, expressed as the stETH/ETH basis.
Index Definition	Where ptstETH and ptETH are the mid-quotes (or robust TWAP mids) of stETH and ETH from the reference markets. Xt is measured in percentage points of basis (e.g., Xt = 2.0 ↔ 2% premium).
Oracle Type	A 24/7 crypto oracle that computes the stETH/ETH basis from a composite of stETH and ETH price feeds, with robust aggregation and band-limiting during stressed or illiquid conditions.
Market Type	Cash-Settled Index Perpetual.
PnL Formula	• PNL (Long) = (Exit_Price - Entry_Price) × Position_Size + Total_Funding_Received • PNL (Short) = (Entry_Price - Exit_Price) × Position_Size + Total_Funding_Received Where: • Entry_Price / Exit_Price: The price at which a position is opened and closed, respectively. • Position_Size: The number of BASIS contracts in a position. • Total_Funding_Received (or Total_Funding_Paid): The sum of all hourly funding payments accrued over the duration of the position. This value can be positive (if a user were paid by the other side) or negative (if the user paid the other side).
Use Cases	Long (Bet on stETH premium widening): • Hedge a portfolio that is short stETH and long ETH (or synthetically short the basis) by going long BASIS to profit if the stETH premium increases. • Express a view that staking yield, liquidity preference, or redemption dynamics will cause stETH to trade at a higher premium relative to ETH. Short (Bet on discount / premium compression): • Hedge a portfolio that is long stETH and short ETH by going short BASIS to protect against the stETH discount widening. • Express a view that current stETH premium is unsustainably high and will compress back toward parity (or a discount) versus ETH.
Users	• LST protocols, treasuries, and DAOs managing stETH and ETH balances (Hedgers) • Basis and relative-value funds (Speculators) • Sophisticated retail traders with familiarity in LST basis markets
Vol-stat (σ)	Medium–High: the BASIS product can experience sharp moves during depeg events, liquidity shocks, or large flows between stETH and ETH, even when ETH/USD itself is relatively stable. Risk parameters are set accordingly, with conservative leverage compared to standard ETH perps.
Margin Numbers	Derived from the Max Leverage tiers. For the initial 3x leverage tier, the Initial Margin (IM) is ~33.3% of the notional position value.

OraclePx

This is run for the stETH/ETH BASIS SEDA feed. The BASIS-PERP oracle is 24/7 crypto-native and is designed to produce a robust, manipulation-resistant basis price at all times.

During Normal Market Conditions:

• The oracle directly tracks the basis index:

$$Mark Price ← (X_{t} = 100 \times \left(\dfrac{p^{\text{stETH}}{t}}{p^{\text{ETH}}{t}} - 1\right))$$

• This is using a robust mid / TWAP of stETH and ETH from the configured reference venues (e.g., Pyth stETH/USD and ETH/USD, plus on-exchange marks).

During Stressed or Illiquid Conditions:

The oracle applies stricter band-limits and longer TWAP windows, and can down-weight feeds that deviate significantly from the composite, to avoid transient depegs or outlier prints dominating the index.

Final Oracle Price:

The final oracle price (oraclePx) is a composite rate produced by SEDA, which blends data from Pyth with Nunchi's on-chain mark price from Hyperliquid. SEDA applies venue-based weights, favoring the live Hyperliquid mark during active trading and leaning more heavily on the Pyth reference prices during periods of exchange-specific noise to ensure stability.

MarkPx

This is a feed based on our market. The markPx is calculated as a median of three variants (MarkPx0, MarkPx1, MarkPx2) to protect against manipulation,

• MarkPx0: direct transformed oraclePx (post-clamp and quantization).

• MarkPx1: a short-horizon EMA / TWAP of recent traded prices in BASIS-PERP, clamped to stay within a band around oraclePx.

• MarkPx2: a conservative band-limited price that heavily weights the external basis index (from oraclePx) and ignores outlier trades.

The median of these three provides a robust, manipulation-resistant mark that:

• respects HIP-3 style constraints (≤ 1% change per update, quantization rules),

• tracks the true stETH/ETH basis over time, and

• is resilient to single-feed outliers or thin liquidity conditions.

ExternalPerpPx

This is the stETH/ETH BASIS SEDA feed. The externalPerpPx is set to the SEDA basis index to be used as a band-limiter.

Concretely:

• externalPerpPx = the composite stETH/ETH basis index X_t from SEDA,

• used to enforce upper/lower bounds on markPx updates (e.g., ±10% daily bands or tighter), and

• to trigger protective behaviors (circuit breakers / clamps) if the on-exchange BASIS-PERP price diverges too far from the external basis index.

Worked Example

This example demonstrates how the mark price is calculated when the stETH/ETH basis moves due to a change in the stETH premium.

Suppose at time t₀, the reference prices are:

Then the basis (premium) is:

$$b_{t_0} = \frac{3{,}060}{3{,}000} - 1 = 0.02 \quad\Rightarrow\quad X_{t_0} = 100 \times 0.02 = 2.00$$

So the BASIS index is 2.00, representing a 2% stETH premium. The oracle publishes:

• oraclePx ≈ 2.00 (after any small quantization),

• MarkPx0 = 2.00 (clamped to respect the 1% per-update rule if needed).

Now suppose over the next few hours, redemption flows and stETH selling pressure cause the premium to compress so that:

(unchanged for simplicity)

The new basis is:

$$b_{t_1} = \frac{3{,}030}{3{,}000} - 1 = 0.01 \quad\Rightarrow\quad X_{t_1} = 100 \times 0.01 = 1.00$$

So the BASIS index moves from 2.00 → 1.00. Ignoring intra-step clamps (assume the move is gradual enough to stay within 1% per 3s update), the mark price will track this move:

• Previous mark M₀ ≈ 2.00

• New mark M₁ ≈ 1.00

For a trader who is long 1,000 BASIS contracts where each contract corresponds to 1 unit of the index (so that Position_Size = 1,000):

• Entry at (2.00), exit at (1.00)

• Price change = (1.00 - 2.00 = -1.00)

Long PnL:

$$\text{PNL}_\text{Long} = (1.00 - 2.00) \times 1{,}000 = -1{,}000$$

The long trader loses 1,000 USD-equivalent (assuming contract value is 1 USD per index point), reflecting the fact that the stETH premium compressed from 2% to 1%. A short trader of the same size would gain the same amount.

This new price of ~1.00 would be the published mark, subject to the standard 1% per-update clamp and quantization rules.