💰Auto-Roll Price Discovery

How the quarterly roll price is determined — fairly, in any liquidity condition

The auto-roll price determines the rate at which matured positions roll into the nearest 3-month market. It is calculated by a waterfall designed to produce a fair, manipulation-resistant price whatever the liquidity conditions:

Condition	Price source
Normal liquidity	Volume-weighted average price (VWAP) of trades in the 6-hour window before maturity
No trades in the window	Current Mark Price, adjusted for duration
No trades for 3 months	The previous roll price
First roll of a new market, no trades	The market's opening price, adjusted for duration

Example (normal conditions)

Trades in the 6-hour window before a market matures:

Volume (USDC)	Price
10,000	99.20
25,000	99.15
15,000	99.25

$$\text{VWAP} = \frac{10{,}000 \times 99.20 + 25{,}000 \times 99.15 + 15{,}000 \times 99.25}{50{,}000} = 99.19$$

Positions roll at 99.19 (before the roll fee — see Fees).

Manipulation resistance

• The 6-hour window makes it expensive to hold prices at an artificial level long enough to matter.

• Volume weighting means influencing the price requires real size, at real risk.

• The fallbacks (Mark Price, previous roll) are themselves protected by the minimum volume threshold and the Circuit Breaker.

Related

• Fixed Maturity & Auto-Roll — the roll mechanism itself

• Mark to Market — how Mark Price is computed

• Genesis Value & Compound Factor — how rolls are applied without per-position gas costs