Company: DEFI
Filing Date: 2025-11-04
Form Type: POS AM
Source: 0001999371-25-016766
Chunk: 94

Company: Tidal Commodities Trust I
Filing Date: 2025-11-04
Form: POS AM
Chunk 94
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ed Average Prices (“VWAP”) for each minute in the settlement price window (between 1:50:00 and 2:00:00 P.M. ET). The weight of each Core Exchange is given by its median traded volume over the previous 30 trading days, adjusted by three different penalty factors designed to minimize the weight of Core Exchanges that exhibit signs that can indicate manipulation, illiquidity, large block trading, or operational issues which compromise price representation, as described below: - Step 1: Calculate Core Exchanges volume First, calculate Core Exchanges regular volume, RVk, by examining the previous 30 (T-(1-30)) trading days volume to determine median traded volume (a volume measure that reflects regular exchange trading activity is akin to information utility of historical volatility calculations). The 30-day variable represents a month per a 360 day-count year. 75 - Step 2: Calculate abnormal price penalty factor for exchange weighting In the absence of a global marketplace “best bid / best offer”, a penalty factor (abnormal price adjustment) is calculated to delineate anomalous trading activity. This adjustment is based purely on price. When examining Core Exchanges, those with prices within one standard deviation variance from the median digital asset price are not penalized (penalty factor equals one). For Core Exchanges with prices outside one standard deviation from the median (across all the Core Exchanges), a penalty factor is calculated proportional to its absolute distance to the median point. For example, if one exchange’s price is 2.5 standard deviations from the median (across all the Core Exchanges), the penalty factor will be a 1/2.5 multiplier. The abnormal price adjustment factor is defined as: where C k,priceis the adjustment for abnormal price of the k-th exchange, Price kis its price, and Med priceand σ priceare the median and standard deviation of the prices across all the exchanges. - Step 3: Calculate abnormal volatility penalty factor for exchange weighting A penalty factor for volatile price series resulting from market effects of wide bid-ask spreads, or the opposite effect, nil market volatility is calculated to delineate anomalous trading activity. This adjustment is based purely on price volatility. When examining the Core Exchanges, those with volatility within one standard deviation away from the median volatility (across all the Core Exchanges) are not penalized (penalty factor equals one). For exchanges with price volatility outside one standard deviation from the median (across all the Core Ex