Futures & GBTC Premium

18 thg 5, 2017

Calculates current Okcoin futures index price, and plots the current premiums for weekly and quarterly contracts. Also plots the GBTC premium divided by 10 based on the same index price. For reference, the calculated index price divided by 100 is also shown (the white line).

Note:
The index price is an estimate, and not entirely accurate because of the following limitations:

• GDAX, one of the six exchanges that makes up the index, is not available on TW. Coinbase is used instead, as their prices are usually within $2 of GDAX
  
• CNYUSD rate in the index is usually calculated every Friday, but follows some special rules that are impossible to replicate in this script. The current CNYUSD rate is used instead
  

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The index price in this script has been within $2 of the actual index the past day.