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Kaiko Valour – CDF Index
Kaiko Valour – CDF Index.
Kaiko Valour – CDF Index
The Kaiko Constant Duration Indices measure the performance of futures contracts with a constant time to expiry, mitigating rollover volatility. These indices serve as underlying price feeds for leveraged financial instruments, including those offered by Valour.
The rulebook covers two indices:
- VALR-KAIKO CDF BTCUSD Index
- VALR-KAIKO CDF ETHUSD Index
Each index uses quarterly calendar futures trades from Binance (USDT-quoted), combined with Kaiko’s Reference Rates for USDT/USD conversion, to arrive at a final USD price.
The calculation applies a linear interpolation formula between front and back futures prices, using a constant duration parameter. The futures price is derived from a 1-minute Volume-Weighted Average Price (VWAP), with the last traded price as a fallback.
Indices publish a daily fixing at 17:30 Central European Time. Automatic rollover occurs upon futures expiration; no scheduled rebalancing is required. Extraordinary reviews apply for market manipulation or significant liquidity loss. Governance follows Kaiko’s committee oversight framework.