Why the Mark Price Is Everything | Kyan x Chainlink

Most traders think about the mark price the way they think about a weather app: glance at it, register the number, move on. But that number is doing a lot more than providing context.

On a derivatives exchange, the mark price is the foundation of the entire system. It determines whether your positions are profitable, decides when margin calls fire, sets the price at which liquidations execute, and it’s the reference point for every settlement that happens on expiry.

Get it wrong, even briefly, and the consequences ripple through the whole protocol: positions get liquidated at unfair prices, settlements are disputed, margin calculations drift from reality. The exchange and user accounts bleed.

This is why Kyan sources its mark price from Chainlink Data Streams — a low-latency pull-based oracle solution that delivers fast, secure pricing data, cryptographically verifiable onchain.

Trade on Kyan on Arbitrum Mainnet.

Traditional push-based oracles post price data onchain at fixed intervals, or when a price threshold is crossed. For use cases like lending markets, that is a reliable solution for powering pricing. However, derivatives require low-latency pricing to execute, settle, and liquidate positions based on sub-second price data. In a fast-moving market, seconds are enough to create a vastly different outcome.

Chainlink Data Streams solves this with a pull-based design. Oracle reports are continuously generated offchain at sub-second intervals by Chainlink's decentralized oracle network.

The result is sub-second pricing data with cryptographic verification. The combination of low latency and onchain verifiability is what makes Chainlink Data Streams the best solution for derivatives infrastructure.

Learn more about Chainlink Data Streams here.

Kyan runs a dedicated Node.js service to consume Chainlink Data Streams. Reports are received and decoded locally by the Chainlink SDK, which also verifies the DON signatures. Decoded prices flow into Redis and are distributed via PubSub to downstream services.

While Chainlink Data Streams reports can be verified onchain as a protocol-level capability, Kyan's current implementation keeps price distribution within its offchain infrastructure.

Chainlink Data Streams delivers a tamper-resistant index price for BTC/USD, ETH/USD, and ARB/USD. These index prices are the source of truth for certain risk functions on Kyan.
Here’s everywhere it goes.

On Kyan's perpetuals, the funding rate is calculated against the Chainlink index per base asset. When the market is skewed long or short, the index is what determines how much longs pay shorts, or vice versa, to keep the perp price anchored to spot.

For perp traders, the mark price is the Chainlink Data Streams price. There is no separate funding-adjusted mark, no mid-of-book construction layered on top. The index is the mark. That means the PnL you see on screen, and the risk scenarios the engine runs in the background, are all referencing the same number coming directly from Chainlink Data Streams.

For options, the Chainlink Data Streams feed into Kyan's Black–Scholes pricing engine as the spot input. It combines with the implied volatility surface supplied by Block Scholes to produce fair values across every listed strike and expiry. The index price is one of two data inputs that determine what every option on the platform is worth.

For perps, unrealized PnL is a direct function of the mark price, which is the Chainlink index. For options, it flows through Black-Scholes: the index moves, the option fair values update, and PnL reflects the change. The path is different but the upstream source is the same.

Initial margin (IM) and maintenance margin (MM) are computed against shocked variants of the index price. Rather than using the raw index directly, the margin engine stress-tests positions against adverse price moves, applying shocks to the index and calculating what the account would look like under those conditions. For options, the same matrix also applies shocks to implied volatility, so margin captures sensitivity to both spot moves and volatility moves. Both the IM you post to open a position and the MM threshold that determines when you're at risk are derived from this process.

Visit Kyan’s documentation to learn more about IM and MM.

Account equity (your balance plus unrealized PnL) is evaluated continuously against the margin requirements derived from the index. When equity falls below the maintenance margin threshold, liquidation is triggered. Because unrealized PnL is itself a function of the index (directly for perps, through Black-Scholes for options), the index price is present on both sides of that equation: it drives the PnL that determines your equity, and it drives the margin requirement you're being measured against.

The mark price number displayed on screen is a side effect. The actual work happens underneath it.

For perps, the mark price pipeline is relatively direct: Chainlink Data Streams supplies the index price, Kyan uses it as the mark price, that mark price feeds into all the risk functions described above.

Options introduce additional complexity. An option's fair value is not just a function of the current spot price. It depends on implied volatility — the market's expectation of future price movement — which varies across strikes and expiries in ways that a single price feed cannot capture.

This is where Block Scholes comes in alongside Chainlink. Kyan runs two parallel data pipelines for options:

Chainlink Data Streams handles the spot price dimension. Block Scholes handles the volatility dimension. Together, they give Kyan's pricing engine what it needs to produce a fair mark price for every option in the listed universe: not just at-the-money, but across every strike and expiry.

Options have higher sensitivity to pricing errors than perps. A small mis-mark in implied volatility cascades into errors across the entire surface. Margin calculations on options books are only reliable if both inputs (spot and volatility) are accurate and current. Kyan sources each from a dedicated provider built specifically for that data type.

Spot price and implied volatility are different kinds of data, updated at different frequencies, sourced from different market structures. Chainlink aggregates exchange price data across venues for spot. Block Scholes calibrates a volatility surface from options market data across expiries and strikes. Combining them in one pipeline would require compromises in both. Keeping them separate means each is optimised for what it actually does.

A risk engine is only as good as what you feed it. Kyan's margin system and liquidation logic are built to handle volatile markets and high-frequency price moves, but all of that assumes the price data coming in is accurate and fresh.

Chainlink Data Streams delivers sub-second pricing data that is cryptographically signed by a decentralized oracle network and verifiable at the moment of use. It is the same infrastructure that powers decentralized derivatives at scale: GMX on Arbitrum and Avalanche, among others, have used it to securely enable tens of billions in volume.

For Kyan, it provides the data foundation that every other part of the system depends on. Not just the number you see on screen, but the invisible infrastructure that makes the mark price something you can actually trust.

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​Kyan is a significant upgrade for anyone trading decentralized derivatives.

If you have any questions, hop into our Discord or shoot us a message on X. We would love to know your thoughts!

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