ETH VWPIP
What
Ethereum volume weighted perps index premium.
An ETH version of the previously made BTC VWPIP.
Content
This indicator takes the price of a volume weighted index of all the most relevant ETH perpetual swap contracts and compares it to an index of ETH spot markets.
A ratio is made which shows the difference in prices.
Green (positive values) means spot is trading at a premium.
Red (negative values) means spot is trading at a discount (or perps are trading at a premium).
The index used for spot is the BETH index as explained on the Bitmex website.
The perps used for the volume weighted index calculation are:
Since it's volume weighted one market might have a bigger impact than others.
Zones are shaded based on what is considered overbought or oversold territory.
An SMA is included with a 14 period default length which can be changed.
There's also an option to color the bars based on certain thresholds.
Red/green coloring is when the indicator is in the overbought or oversold zone.
Orange/blue coloring is when the indicator goes beyond those zones, which are considered extremes.
Trading
Generally speaking it's considered bullish when spot is trading at a premium and vice versa it's considered bearish when spot is trading at a discount.
Keep in mind that you should always look at context. In a strong uptrend for example it's normal that perps consistently trade at a small premium.
So any green you see is a very bullish sign, and the perps premium only becomes problematic when it's really high (red in this example) for a long time.
Send me a personal message if you want access so we can discuss it.
Ethereum volume weighted perps index premium.
An ETH version of the previously made BTC VWPIP.
Content
This indicator takes the price of a volume weighted index of all the most relevant ETH perpetual swap contracts and compares it to an index of ETH spot markets.
A ratio is made which shows the difference in prices.
Green (positive values) means spot is trading at a premium.
Red (negative values) means spot is trading at a discount (or perps are trading at a premium).
The index used for spot is the BETH index as explained on the Bitmex website.
The perps used for the volume weighted index calculation are:
- Binance USDT
- Huobi USD
- Okex USD
- Bybit USD
- Bitmex USD
- FTX USD
- Deribit USD
- Kraken USD
Since it's volume weighted one market might have a bigger impact than others.
Zones are shaded based on what is considered overbought or oversold territory.
An SMA is included with a 14 period default length which can be changed.
There's also an option to color the bars based on certain thresholds.
Red/green coloring is when the indicator is in the overbought or oversold zone.
Orange/blue coloring is when the indicator goes beyond those zones, which are considered extremes.
Trading
Generally speaking it's considered bullish when spot is trading at a premium and vice versa it's considered bearish when spot is trading at a discount.
Keep in mind that you should always look at context. In a strong uptrend for example it's normal that perps consistently trade at a small premium.
So any green you see is a very bullish sign, and the perps premium only becomes problematic when it's really high (red in this example) for a long time.
Send me a personal message if you want access so we can discuss it.
Versionshinweise:
You can now exclude exchanges if you want.
It's also possible to select choose your own inputs for the bar coloring (and for zones).
It's also possible to select choose your own inputs for the bar coloring (and for zones).
Versionshinweise:
Pretty big update, a lot changed but I think these changes make the indicator way better.
And as far as I know no one else has made a premium indicator on Tradingview like this.
So here's what I did.
I now divided the indicator into 2 categories: a coin margined premium and a dollar margined premium.
Coin margin means that ETH is the collateral, dollar margined means that either USDT or USD is the collateral.
For example the Bybit ETH/USD perp is a coin margined contract, the Binance ETH/USDT perp is dollar margined.
These contracts trade a little bit differently and have different implications. This has to do with convexity.
That's why I separated these contracts, because it affects the premium too.
The default premium is the coin margined one because those contracts have the biggest impact on the market.
You can see the selection in the settings menu.
Coin margin contracts used:
Dollar margin contracts used:
Huobi and Okex have been left out because those contracts trade a little bit differently for another reason and it messes with the data.
The bar coloring has also been changed a little bit and I made the settings for it more easy to navigate.
You only need to fill in positive values now.
The SMA has been removed because no one cared about that lol. And me neither tbh.
The indicator should load faster now too.
Cheers.
And as far as I know no one else has made a premium indicator on Tradingview like this.
So here's what I did.
I now divided the indicator into 2 categories: a coin margined premium and a dollar margined premium.
Coin margin means that ETH is the collateral, dollar margined means that either USDT or USD is the collateral.
For example the Bybit ETH/USD perp is a coin margined contract, the Binance ETH/USDT perp is dollar margined.
These contracts trade a little bit differently and have different implications. This has to do with convexity.
That's why I separated these contracts, because it affects the premium too.
The default premium is the coin margined one because those contracts have the biggest impact on the market.
You can see the selection in the settings menu.
Coin margin contracts used:
- Binance
- Bybit
- Bitmex
- Deribit
- Kraken
Dollar margin contracts used:
- Binance USDT
- Bybit USDT
- FTX USD
Huobi and Okex have been left out because those contracts trade a little bit differently for another reason and it messes with the data.
The bar coloring has also been changed a little bit and I made the settings for it more easy to navigate.
You only need to fill in positive values now.
The SMA has been removed because no one cared about that lol. And me neither tbh.
The indicator should load faster now too.
Cheers.
Versionshinweise:
Added a "combined" version which looks at data of both coin margined and dollar margined contracts.