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How Is the Index Price Typically Weighted When Calculating a Composite Rate?

By trading volume or liquidity of the underlying asset on each constituent exchange.
Greeks.Live24.11.25

How Is the Index Price Typically Weighted When Calculating a Composite Rate?

The Index Price is typically weighted by the trading volume or the liquidity of the underlying asset on each constituent exchange. Exchanges with higher, verified trading volume or deeper order books are given a greater weight in the calculation.

This ensures the composite rate reflects the most robust and representative market price.

What Is a Volume-Weighted Average Price (VWAP) and How Does It Differ from TWAP?
How Can ‘Volume-Weighted Average Price’ (VWAP) Be Skewed by Wash Trading?
What Happens If a Constituent Exchange in the Index Experiences a Sudden, Severe Outage?
Can an Index like the S&P 500 Be an Underlying Asset for a Derivative?

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