WAVES perp index risk
Each exchange prices WAVES perp liquidations from a mark price built on an index: a weighted basket of spot prices. This page shows each index's composition and an estimate of how much resting spot liquidity backs it.
Index depth is a static-book estimate for the index, not the mark. Static-book estimates from public exchange data. Not a real cost to move any price, not a mark-price forecast, and not trading advice. Methodology and limitations · Constituent changes · All perps
Indexes: Bybit WAVESUSDT
Bybit WAVESUSDT index
index WAVESUSDT · constituents 2026-10-02 18:37Z · coverage StaleComposition and constituent price vs index median (observed)
| Constituent | Pair | Type | Weight | Snapshot price | vs median | Guard |
|---|---|---|---|---|---|---|
| Bybit | WAVESUSDT | spot | 76.2% | 0.2988 2026-10-02 18:37Z |
-0.03% | |
| MEXC | WAVESUSDT | spot | 13.0% | 0.2988 2026-10-02 18:37Z |
-0.03% | |
| KuCoin | WAVES-USDT | spot | 6.3% | 0.299 2026-10-02 18:37Z |
+0.03% | |
| Gate | WAVES_USDT | spot | 4.5% | 0.2992 2026-10-02 18:37Z |
+0.10% |
Prices as published by Bybit with the composition; each price shows its observed snapshot time in UTC. Widest constituent spread 0.13%. Guard: Bybit drops a source more than 5% from the median (exchange doc, rule set bybit-linear-2026-09-04). Modelled index from these prices: 0.298831.
Mark and index
Observed mark 0.296700, last price 0.296700 (5-minute bucket starting 2026-10-02 19:25Z; mark observation time unavailable). Mark vs modelled index comparison withheld: the sources cannot establish a same-minute observation. Composition prices above are separate snapshots and may have drifted. No modelled mark move is shown for this perp.
Index depth and est. liquidation exposure
Stale Stale: last estimate is 51 min old. Figures are shown greyed and alerts are paused.
| Range | Index depth (est.) | Depth / OI | Est. liquidation exposure | of which observed | Exposure-to-depth ratio (est.) |
|---|---|---|---|---|---|
| +2% | $6k | 0.5% | $160k | $0 | 27x est. |
| +5% | $9.5k | 0.7% | $250k | $0 | 26x est. |
| -2% | $8.3k | 0.6% | $160k | $0 | 19x est. |
| -5% | $11k | 0.8% | $250k | $0 | 24x est. |
Sensitivity (uncalibrated). Index depth to +5% under 0.5x $4.8k, 1x $9.5k, 2x $19k book refill. Index depth to -5% under 0.5x $5.3k, 1x $11k, 2x $21k book refill. The multipliers are assumptions, not fitted to observed events.
Coverage 95% of index weight modelled; held fixed: Gate WAVES_USDT. Included OI $1.3M (100% complete, exposure ok). Confidence low. Estimate 2026-10-02 18:44Z, books 2026-10-02 18:44Z, exposure 2026-10-02 18:40Z. Models: static-book v1; bybit-linear-2026-09-04; liq-in-range v1; prior hl-2026-09-27.
Index depth history (est.): collecting history, 1 hourly point so far. The chart appears once 24 are stored.
Constituent divergence history, last 30 days
No constituent divergence recorded for WAVES in the last 30 days.
Index, not mark. Index depth is a static-book estimate of resting spot liquidity between the index and the stated move, after the exchange's guard. Liquidations use the mark price, which also follows the perp's own price and basis. Static-book estimates from public exchange data. Not a real cost to move any price, not a mark-price forecast, and not trading advice.
Method. Constituents and weights come from each exchange's public index API, refreshed hourly. Spot order books are sampled every 5 minutes. Sources we cannot read are held fixed, so the figure is neither an upper nor a lower bound. See how mark and index prices work and the constituent change log.
WAVES index risk FAQ
What does this page show?
For each WAVES perpetual on Binance, OKX, Bybit and Bitget: the spot sources the exchange uses for its index and their weights, how far each source's price currently sits from the median of the others (observed), the exchange's published outlier guard, and a static-book estimate of resting spot liquidity between the index and +/-2% and +/-5%.
Is index depth the amount needed to move the mark price?
No. Liquidations use the mark price, which also depends on the perp's own price and basis. Index depth is a static-book estimate for the index only: real books refill and arbitrage closes gaps, so it is neither an upper nor a lower bound on any real-world figure.
What do the coverage states mean?
OK: at least 80% of index weight comes from order books we read, books under 15 minutes old and constituents under 2 hours old. Partial: 50-80% modelled, the rest held fixed. Stale: the last estimate is older than that and is shown greyed. Insufficient: composition only, no depth or ratio.
Why is the sensitivity marked uncalibrated?
It multiplies the static-book figure by 0.5x, 1x and 2x to show how much the estimate depends on book refill. The multipliers are not fitted to observed events yet, so treat them as a range of assumptions, not a measurement.