Volatility Indices

Volatility Index (VXX‑USDYP)

A perpetual contract that tracks short‑term VIX futures roll dynamics—capital‑efficient exposure to U.S. implied volatility.

Key Parameters	Details
Collateral	USDyp
Initial Oracle Price	25.000
Open Interest Cap	$10,000,000
Funding Multiplier	1

Oracle & marking

This market uses session‑aware oracle logic designed to reduce off‑hours noise:

• Open (U.S. equity hours): 100% weight to Pyth equity-us-vxx-usd

• Close (overnight): blended reference (Pyth + venue mark), plus a small proxy discovery signal

• Weekend: frozen at last session close

The intent: stable marking when the underlying venue is closed, without creating huge gaps at the next open.

Funding setup

The market includes a fixed interest‑rate component:

• setFundingInterestRates: +0.0037 per 8hr (≈ +40% APY)

Mechanically:

• Shorts pay longs the fixed leg (regardless of premium),

• plus normal premium‑based funding (multiplier = 1).

Strategies

• Go long: hedge crash risk / express a volatility spike view.

• Go short: earn volatility risk premium (VRP) and decay in calm regimes.

Notes & risks

Volatility products can gap. Use conservative leverage and respect liquidation mechanics.

See additional market mechanics and parameters