This estimates the fair fixed implied APR a Hyperliquid oil Boros market should clear at if the only driver is the scheduled trade.xyz oil roll. A long position receives floating funding and pays the fixed implied APR, so a roll that drags floating down should drag fair implied APR down. It is a roll-only anchor, not a full price.
The mechanic
The oil oracle rolls from the front futures contract to the next in five 20% steps at 17:30 ET on roll days. In backwardation, each step lowers the oracle. The model:
- sizes each step from the oracle weight delta times (front − next);
- discounts expected future steps back to now with exp(−Δt / τ);
- maps that spread to expected hourly funding through the half-sized Hyperliquid formula, normalized so each step transfers its full oracle drop through funding where the funding band allows;
- time-averages funding to Boros expiry across pre-roll drift, roll window, and post-roll residual.
Assumptions you set
- τ = 16h (default; 8h / 24h / 48h alongside)
- How early the market prices each oracle step. 16h falls out of the funding mechanics (the mark premium is paid through funding over 16 hours); realized funding drifted away from neutral for days before the May and June 2026 roll steps, so the longer rows are live scenarios. Each step's total funding transfer is normalized to its oracle drop where the funding band allows, so τ mainly shifts the timing of funding rather than the amount.
- Residual baseline = +5.475% (editable)
- The funding assumed after the modeled rolls complete. The default is the mechanical neutral (half the 10.95% Hyperliquid interest rate), the venue interest floor that settles whenever the premium is flat. Realized inter-roll funding in the indexed May/June 2026 history averaged mildly negative on WTI and positive on Brent, so adjust to taste; set it to 0% to price no post-roll carry. The control adjusts only the post-roll window.
What it ignores
- Oil direction, macro, storage, supply and demand, liquidity, and Boros order-book flow.
- It assumes the quoted futures curve and the roll schedule hold to expiry.
- Prices come from CME/NYMEX. Delayed reference quotes via Yahoo Finance, not a real-time mark.
Calendar and timing. Roll dates follow the scheduled trade.xyz ET business-day window, with CME crude holidays respected in projected future rolls; the model realizes each step at the next external-pricing reopen.
Data freshness. Reference futures quotes are delayed (Yahoo Finance) and show the last print or settlement off-hours, so the fair value reflects a delayed mark rather than a live price.
Attribution. Inspired by work from
abhicoderguy/hyperliquid-oil-perpetuals-fair-value-calculator.