A deep comparison of Hyperliquid and traditional futures giant CME in terms of micro performance during extreme market conditions and weekend market closures.

Author: Shaunda Deven, Blockworks Research

Translation: Deep Tide TechFlow

Deep Tide Overview: With the advancement of the HIP-3 proposal, Hyperliquid is accelerating its expansion from the cryptocurrency space into traditional financial (TradFi) assets. The recent volatility in the silver market has provided an excellent stress test opportunity for this decentralized derivatives protocol.

This article conducts a detailed comparison of Hyperliquid and traditional futures giant CME (Chicago Mercantile Exchange) using extensive transaction, quote, and order book data, focusing on their micro performance during extreme market conditions and weekend market closures.

The research found that while Hyperliquid still cannot match traditional giants in terms of depth, it has demonstrated unique competitive advantages in retail-level order execution and "24/7 price discovery," even becoming an important reference tool for pricing on Sunday openings.

The full text is as follows:

HIP-3 is driving Hyperliquid beyond the cryptocurrency realm, with traditional financial (TradFi) tools currently accounting for 31% of the platform's transaction volume, and an average daily notional trading volume exceeding $5 billion. Silver is a significant part of this capital flow, and last Friday's extreme market conditions provided a stress test for the market health of HIP-3.

By utilizing high-frequency transaction/quote/order book data and benchmarking against CME/COMEX micro silver (Micro Silver) futures, we found that for smaller, retail-weighted orders, Hyperliquid silver offered narrower spreads and better execution before the crash. We also showcased a new 24/7 use case: positioning and pricing for Sunday reopening auctions.

Key Findings:

• Before the Crash: Under the mainstream trading scale of perpetual contracts, Hyperliquid's top-of-book bid-ask prices are highly competitive. Its median spread is 2.4 basis points (bps), while COMEX is at 3 bps; its median execution slippage is only 0.5 basis points compared to the benchmark. The capital flow is primarily retail-sized (median transaction size of $1,200), with depth being robust but relatively limited: Hyperliquid's depth within ±5 basis points is about $230,000, while COMEX is around $13 million.
• During the Crash: Both platforms experienced a decline in performance, but Hyperliquid showed heavier execution tail risk. Hyperliquid's spread widened by 2.1 times, while COMEX widened by 1.6 times. The market deviated from the benchmark by over 400 basis points at one point, before reverting to the mean through funding rates. The main point of damage was execution quality: Hyperliquid's 1% of trades deviated from the mid price by over 50 basis points, while COMEX had none.
• During the Weekend: Hyperliquid was the only order-driven silver derivatives platform that continued trading during COMEX's closure. It processed 175,000 transactions over 49 hours, with a notional transaction volume of $257 million, and the median spread compressed to 0.93 basis points. However, the weekend trading structure of HIP-3 was structurally thin, with trading volume only 0.31 times that of weekdays.
• We believe that pricing for reopening and phased risk hedging before a single price opening is the core use case for 24/7 trading. However, based on the current performance of Hyperliquid's equity assets, the predictive effectiveness of pre-opening prices is not significantly better than Friday's closing prices.

HyperLiquid: HIP-3 Captures Trading Volume

The silver market faced a structural liquidity event last week. As retail, futures, and regional spot market liquidity demands surged in unison, silver prices were sharply revalued. Silver dropped about 17% from peak to trough under high trading volume; U.S. retail investors injected about $170 million into silver ETFs in a single day, reportedly the largest single-day inflow on record, nearly double the peak of the 2021 "silver squeeze." Meanwhile, COMEX activity accelerated to multi-year highs, while the Shanghai Gold Exchange price showed a double-digit dollar premium over the London benchmark.

For the crypto industry, a more significant development is that these capital flows were not confined to traditional financial platforms. As volatility increased and traditional commodity markets approached the weekend, incremental demand for metal exposure shifted to 24/7 derivatives trading platforms, where position adjustments and risk transfers could continue without trading time restrictions.

On Hyperliquid, silver perpetual contracts settled billions of dollars in notional trading volume throughout the week. Stocks and commodity perpetual contracts under HIP-3 also reached new highs, with daily trading volume expanding from $378 million to $4.8 billion within 66 days. By Friday, tools linked to TradFi accounted for about 31% of the platform's total transaction volume. Silver surged into the top tier of the platform's most actively traded contracts, with a substantial shift in activity composition: five of the top ten contracts by trading volume on Friday were non-crypto assets.

We have always viewed HIP-3 as a scalable Delta-one (first-order sensitivity) wrapper. Its returns are linear, contracts have no expiration date, and holding costs are reflected through funding rates and basis, rather than option-like time decay.

From an investment perspective, trading platforms that extend beyond the cryptocurrency realm can increase differentiated, cycle-insensitive revenue sources. This is significant because Hyperliquid's protocol revenue ranks high in volatility, with weekly revenue volatility around 40%. Additionally, implied analysis suggests that even capturing a small portion of TradFi derivatives flow could more than double revenue, representing a viable path to achieving stepwise growth.

However, whether these markets can scale depends on three implementation constraints: continuous and resilient oracle design, order book depth sufficient to maintain price marking integrity, and reliable hedging paths when the underlying reference market is intermittent. Within this framework, the silver event serves as Hyperliquid's first meaningful stress test for TradFi-linked perpetual contracts, using COMEX as a benchmark.

This report evaluates performance across three phases (pre-deviation, sell-off period, weekend) and measures price integrity, liquidity resilience, and risk engine behavior when external markets are impaired or closed. We conduct anchor analysis by comparing Hyperliquid's pricing, basis, and liquidity metrics during overlapping trading hours with COMEX, then quantify the mean reversion behavior using the "weekend to reopening" transition period.

Ultimately, our goal is to answer: Is Hyperliquid's HIP-3 product suitable as a trading venue for perpetual equity/commodity exposure, and has Hyperliquid created a high-performance 24/7 equity and commodity market?

Data

We used tick data, quotes, and order book data from Hyperliquid's silver perpetual contract (XYZ100) and compared it with COMEX's near-month silver futures (SILH6).

For Hyperliquid, we utilized the market deployed by TradeXYZ, as it consistently carries the highest HIP-3 trading volume.

We compared Hyperliquid with COMEX micro silver (SILH6) because its unit size better matches the order distribution of "retail to mid-sized" orders on perpetual contracts. On the day of the crash, SILH6 traded 641,926 contracts (approximately 6.42 million ounces, valued at about $50-77 billion based on $78-120 per ounce), while the macro contract (SIH6), although deeper, performed generally on spreads and slippage before the crash. Since this report focuses on execution quality under typical perpetual contract sizes, SILH6 is the most relevant COMEX reference standard.

The dataset covers January 30 to February 1, including 540,000 Hyperliquid transactions and 1.3 million depth snapshots, benchmarked against 510,000 COMEX transactions and complete 10-level order book data on the day of the crash. We divided the analysis into three phases: pre-crash (Friday UTC 12:00–17:00), sell-off period (UTC 17:00–22:00), and weekend (from Friday close to Sunday reopening).

Market Before the Crash

We start with the baseline before the crash, when both COMEX and Hyperliquid were trading normally, and external references were intact.

On the surface, Hyperliquid's silver perpetual contract appeared to be a fairly mature market: quotes remained tight, and activity was high. The average bid-ask spread was 2.7 basis points (median 2.4 basis points), with 90% of observations equal to or below 5 basis points.

The natural benchmark is the near-month silver futures (SILH6) on COMEX, which is the most liquid tradable reference during overlapping periods. It must be noted that COMEX has structurally deeper liquidity and remains an institutional-grade liquidity venue. Our goal is not simply to compare but to test whether Hyperliquid can provide reliable price integrity and execution for its mainstream-sized orders while tracking the underlying benchmark.

During the period from UTC 12:00 to 17:00, COMEX had a notional transaction volume of approximately $85.5 billion, while Hyperliquid had $679 million. Despite the significant scale difference, the median spreads were very close: COMEX averaged about 3.1 basis points, while Hyperliquid's average was slightly narrower.

Nevertheless, the spread distribution on COMEX is tighter at the tail, with 96% of observations within 5 basis points, while Hyperliquid had 90%, which is consistent with the deeper and more stable passive liquidity on major futures platforms. Additionally, Hyperliquid's narrower quotes need to be understood in context: its capital flow is easier to manage and leans towards retail (average trade around $5,000, median $1,190), which mechanically reduces the "toxicity" at the top of the order book.

While the execution of bid and ask prices is comparable, the depth of liquidity is not. COMEX holds $1.98 million within ±2 basis points, while Hyperliquid holds $30,000; within ±3 basis points, COMEX has $5.45 million, and Hyperliquid has $83,000; within ±5 basis points, COMEX has $13 million, and Hyperliquid has $231,000. For retail orders crossing the spread, narrower quotes are a tangible advantage. However, for trades exceeding $50,000 in notional value, the depth difference determines the final execution cost.

Even so, for a platform without designated market makers, the depth displayed by Hyperliquid is not insignificant. The order book is fundamentally symmetrical, with buy/sell depth ratios close to 1, expanding from about $231,000 within ±5 basis points to $814,000 within ±10 basis points, and approximately $1.5 million within ±25 basis points.

However, compared to traditional futures platforms, the depth displayed by Hyperliquid performs weaker in terms of measuring "solid execution." Matching occurs on an on-chain CLOB (Central Limit Order Book) with block-level sorting, where the handling of canceled orders is superior to that of orders within the same block. Therefore, execution priority is partially determined by the type of trade rather than solely by arrival time, which weakens the correlation of "visible depth equating to guaranteed volume" found in continuously offline matching engines like CME.

Execution quality provides information beyond spreads and depth. Using the best bid and ask prices (BBO) at the time of trading, the median slippage from the mid price is 1.5 basis points for COMEX and 2 basis points for Hyperliquid. COMEX's execution is exceptionally tight, with 99% of trades within 5 basis points of the mid price. Hyperliquid's distribution is broader, with 83% within 5 basis points, 96% within 10 basis points, and occasional trades deviating from the mid price by over 20 basis points, consistent with intermittent order book gaps and thinner capacity.

Slippage increases slightly with trade size (COMEX at about 1.5 basis points for 1 contract, 1.6 basis points for 2-5 contracts), which aligns with the performance of a deep order book. On Hyperliquid, the slope is steeper, rising from about 1.9 basis points for trades under $1,000 to 2.8 basis points for those over $50,000. Notably, the execution gap between the two platforms is much narrower than what the depth ratio suggests. For Hyperliquid's median trade (around $1,200), the execution cost difference from COMEX's median is only about 0.5 basis points, despite COMEX's median trade size being significantly larger.

Finally, interpreting execution quality also requires considering the design of oracles and mark prices, as traders may execute in a depth-rich but unreflective mark order book. Under HIP-3, the oracle is a non-trade reference published by the deployer, with a fixed cadence and clamp mechanism; while the mark price managing funding rates, margin, and liquidations is a robust aggregation of oracle and local order book signals, also constrained to prevent extreme fluctuations. This separation allows execution prices to maintain persistent premiums or discounts without mechanically forcing immediate liquidations, anchoring risk management to a slowly changing reference price while still allowing continuous order book-driven price discovery.

During the pre-crash window, Hyperliquid maintained a persistent premium of about 29 basis points over COMEX. This premium breaks down into: oracle vs COMEX component (about 18 basis points, reflecting the difference between the oracle's underlying basket of assets and near-month futures) and perpetual contract vs oracle premium (about 9 basis points, reflecting the net long demand and funding pressure of the perpetual contracts themselves). The premium is very stable, with few instances of inversion.

Comparing execution conditions with the oracle shows a median premium of about +9 basis points.

In summary, the pre-crash benchmark data indicates that the platform provides clear settlement for retail and mid-sized capital flows, given its scale and participant group. Although Hyperliquid's depth is noticeably thinner at all levels, it can still offer highly competitive spreads with a median trade difference from institutional benchmarks within 0.5 basis points.

Depth gaps do exist and have significant economic implications for large trades and extreme situations. However, considering the typical trade sizes in this market, Hyperliquid was already operating at surprisingly high levels of market quality before the decoupling began.

Market During the Crash

Around 17:00 UTC on January 30, Friday, reports emerged that Trump intended to nominate former Federal Reserve Governor Kevin Warsh to replace Powell as chairman. As Warsh is widely viewed as a hawk on monetary policy, silver prices were sharply revalued, experiencing the largest single-day drop since March 1980. Silver fell about 31% from Thursday's high of nearly $120/ounce to around $78 at the intraday low. Futures, ETFs, and perpetual contract leveraged longs simultaneously faced margin pressure, and forced liquidations became a significant component of the market.

For perpetual contract platforms, this feedback loop can be self-reinforcing. As the reference price falls, market makers short perpetual contracts, and already losing positions force liquidations on the order book. If the speed of liquidity withdrawal exceeds the settlement speed of the liquidation flow, execution prices may skip multiple levels, widening the basis and increasing tail execution slippage.

Both platforms experienced worsening quote spreads, with Hyperliquid showing a larger tail response. On Hyperliquid, the median spread widened from 2.4 basis points before the crash to 5.1 basis points during the crash (a 2.1 times increase). P95 rose from 6.0 basis points to 18.2 basis points, with only 49.5% of observations remaining at 5 basis points or below (compared to 90.5% before the crash).

In the worst 5-minute window around 18:20 UTC, the median spread reached 17 basis points. COMEX also saw an expansion, with the median widening from 3.0 basis points to 4.8 basis points (P95 at 12.7 basis points), maintaining a tighter overall distribution. Its worst 5-minute window reached 10.1 basis points at 18:20.

Similarly, the reduction in depth reflected the retreat of liquidity. On Hyperliquid, the depth within ±5 basis points fell from about $231,000 before the crash to $65,000 throughout the crash window, with the median during the peak of the crash being zero—primarily because the spread itself had expanded beyond the ±5 basis point range.

At wider levels, liquidity still existed even under peak pressure: $542,000 within ±25 basis points and about $1.07 million within ±50 basis points. COMEX exhibited the same mechanical pattern at narrow levels (±2 and ±3 basis points often being zero during peak periods), but the absolute capacity remained an order of magnitude higher. Under peak pressure, COMEX still held about $1.16 million within ±5 basis points, while Hyperliquid was approximately zero.

Execution quality has declined at the median levels on both platforms, but tail performance has diverged. The median slippage from the mid price on Hyperliquid increased from 2.0 basis points to 4.1 basis points (~2 times), while COMEX rose from 1.5 basis points to 2.7 basis points (~1.8 times). COMEX maintained tight execution, while Hyperliquid exhibited a heavy tail: approximately 1,900 Hyperliquid trades (accounting for 1% of crash transactions, about $21 million in notional value) had execution deviations from the mid price exceeding 50 basis points; COMEX had none.

Due to lower liquidity and the impact of forced liquidations, Hyperliquid's mark price ultimately deviated from the oracle. The HL-COMEX basis peaked at 463 basis points at 18:30 UTC, but the time spent above 400 basis points lasted only 95 seconds, falling back below 50 basis points within 19 minutes. The spread also followed a similar trajectory.

Overall, Hyperliquid's spreads widened more, and the execution distribution showed a heavy tail, consistent with the performance of a thinner order book under forced liquidation flows. However, this deviation did not persist. Amid unprecedented volatility not seen in decades, Hyperliquid maintained continuous tradability, fundamentally anchored above the benchmark, with the main points of damage concentrated in tail executions during rapid market movements.

Market Closure

At 22:00 UTC on Friday, COMEX closed, pausing the traditional institutional reference cycle for silver prices. Hyperliquid, however, remained open. For the HIP-3 perpetual contract, this was a special phase where external oracle updates were unavailable, and the platform shifted from "externally anchored" to a "constrained internal guidance" reference process.

The deployer continued to publish indices but advanced using impact prices derived from the order book, filtered through a slow EMA (Exponential Moving Average). The mark price managing margin and liquidations is a robust mix of indices, short-cycle basis filters, and local order book signals, constrained by discovery boundaries limited to the highest leverage (around 5% range for silver).

The weekend mechanism theoretically enabled price discovery during non-trading hours. When external oracle pricing resumed on Monday, this internal price would be pulled back to the external reference price, but this intermediate window allowed traders to position themselves based on the levels anchored on Friday before the opening auction.

The trading continuity throughout the weekend window was high: 175,000 trades with a transaction volume of $257 million. The participant composition significantly tilted towards retail compared to normal periods. The median transaction size dropped to $196 (previously $1,245), and the 99th percentile fell to $18,100.

In this dimension, quote liquidity tightened significantly. The weekend bid-ask spread median was 0.93 basis points, while it was 2.40 basis points on normal trading days. Depth decreased but remained stable and balanced in both directions. The median two-way depth within ±10 basis points was $358,000. Execution quality followed the same pattern.

Using the mid price at the time of execution, the weekend slippage median was 0.87 basis points, while it was 1.98 basis points during normal periods. In other words, for the trade sizes dominating weekend capital flows, the cost of crossing the spread was lower than on regular days, despite the absolute depth capacity being weaker.

In terms of price performance, weekend prices were highly volatile rather than static. Silver prices fell from 85.76 to 83.70 before reopening during the weekend window, creating a reference for actual movement throughout the day.

Globex's reopening provided the clearest cross-platform check on whether weekend trading produced usable reference levels. At 23:00:00 UTC, the first transaction price on COMEX was about 97 basis points higher than the mid price on Hyperliquid. By 23:00:01, the gap had compressed to about 10 basis points. Hyperliquid's continuous weekend market generated a price level very similar to COMEX's opening auction. Impressively, the final internal price on Sunday was closer to Monday's opening price than Friday's closing price.

In all HIP-3 markets, although trading was continuous, weekends structurally belonged to low participation periods. By analyzing 32 xyz markets using 5-minute candlestick charts (defining the weekend as from Friday 16:00 to before Monday 09:30 Eastern Time), we found that, based on nominal value weighted by working days, the nominal value for each 5-minute candlestick dropped to 0.31 times the weekday level (a decrease of 69%); if calculated using equal weighting, it dropped to 0.33 times (a decrease of 67%).

Volatility also contracted, but its decline was less than that of transaction volume. Based on nominal value weighting, the 5-minute realized volatility fell to 0.75 times the weekday level (a decrease of 25%), while the market median decline was 36%. A small number of markets exhibited limited contraction, even showing higher volatility over the weekend, primarily due to differences in trading hours of the underlying reference markets and the dynamics of reopening on Sunday night still being counted within the "weekend" category.

The silver market fully conformed to this pattern. The nominal value of xyz:SILVER for each 5-minute candlestick dropped by 72%, while the 5-minute realized volatility only decreased by 21%. Narrower spreads and stable execution medians can coexist with lower overall participation and reduced depth away from the touch. In other words, weekend trading was optimized for continuity and small-clip execution rather than institutional-level capacity. Despite a significant drop in weekend trading volume, Hyperliquid still provided compact execution quality for the dominant small capital flows during that period.

Prospects for 24/7 Trading

Given this structure, one of the most practical use cases for Hyperliquid's 24/7 perpetual contracts is pricing for COMEX's Sunday reopening auction. On COMEX, the Sunday opening is a single-price call auction: orders accumulate during the pre-opening period, a reference opening price is published, and there is a brief non-cancelable window to lock in the order book before continuous matching resumes. The choice of opening price aims to maximize the volume that can be executed, subsequently minimizing remaining imbalances, with ties resolved relative to previous settlement prices and other reference indicators. This method is effective for clearing backlogged order flows, but it also concentrates information, hedging demand, and stop-loss flows at a discrete price point.

Continuous trading venues like Hyperliquid change the execution dilemma because they allow participants to express and transfer risk before the auction compresses the spread. Traders do not have to passively accept the final transaction price from the reopening auction; instead, they can build positions in stages at real-time order book prices during the weekend. In effect, Hyperliquid provides a tradable weekend reference price and a path-dependent execution plan tailored to scale, timing, and price constraints, which do not exist during the closure of the COMEX order book.

As shown in the oracle handover diagram, traders can trade against internal pricing over the weekend before the auction. When external reference pricing resumes, this anchor will be pulled back to the oracle, creating economic incentives for traders to price this gap. The subtlety lies in the fact that this advantage depends on the liquidity and nominal capacity during the weekend, but when these constraints are met, Hyperliquid demonstrates execution advantages.

In all xyz stock HIP-3 markets, we tested whether internal period pricing provided incremental price discovery before the Sunday oracle reopened. The comparison method involved observing the volatility of the oracle's opening price relative to Friday's closing price and comparing it with the mid price volatility observed in the 15 minutes before reopening (measured as a percentage of Friday's closing price).

In the current sample (23 markets; 191 weekend samples, of which 146 had valid pre-opening mid price snapshots), evidence of incremental weekend price discovery at the oracle level was weak. In 50.7% of observations, the pre-opening mid price was closer to the oracle opening price than the Friday closing price, with a median increase of about +0.4 basis points, which is negligible.

In other words, for these markets, the oracle opening price is largely still anchored to the Friday closing price, and the deviation of the mid price during the internal period does not persist when the external oracle resumes. This indicates that, at least for the current HIP-3 configuration and liquidity mechanisms of stocks, weekend trading has not produced a robust and strongly referenceable tradable benchmark. Nevertheless, as liquidity and depth are built, we expect the internal period to become a more reliable pricing reference before reopening.

Conclusion

Hyperliquid's HIP-3 silver perpetual contract successfully completed clearing and settlement amid unprecedented volatility not seen in decades, without downtime, and provided tight market pricing for mainstream retail and mid-sized capital flows. Market quality declined under pressure as expected, particularly in tail executions, but this imbalance was temporary, with the basis quickly reverting to the mean, and price formation fundamentally anchored above institutional benchmarks. However, the limitation of HIP-3 lies in capacity; the platform handles small to medium-sized orders well, but the execution of large orders still faces substantial constraints compared to the depth of COMEX.

In addition to the standard advantages of perpetual contracts, the weekend model is where the strategic value of this product is most significant. Hyperliquid provides a continuous price path when traditional markets close, transforming the originally discrete reopening gap into a tradable reference, thereby creating advantages in repositioning and opening pricing before the auction.

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