On the day of expiration, the Exchange Delivery Settlement Price
('EDSP') is calculated as the time-weighted average of the Index
between 07:30 UTC and 08:00 UTC.
During the expiration window, Thalex broadcasts:
- Current Expiration Average: time-weighted average of the Index since
the start of the expiration window, accompanied by a timestamp to
track expiration progress.
- Expected EDSP: average of the Current Expiration Average and the
Index, weighted by time elapsed and time remaining relative to the
expiration window.
An expiring future will have its Mark Price calculated based on the
Expected EDSP.