Futures Basis Calculator
Calculate the annualized basis (premium or discount) between a futures contract and spot price.
Formula
Annualizing lets you compare opportunities across different expiry dates on an apples-to-apples basis.
Examples
- Basis = $51,500 − $50,000 = $1,500
- Basis % = $1,500 / $50,000 = 3.0%
- Annualized = 3.0% × (365 / 90) = 12.17%
- Basis = $3,180 − $3,200 = −$20
- Basis % = −$20 / $3,200 = −0.625%
- Annualized = −0.625% × (365 / 30) = −7.60%
- Basis = $153 − $150 = $3
- Basis % = $3 / $150 = 2.0%
- Annualized = 2.0% × (365 / 60) = 12.17%
Key Concepts
What is Futures Basis?
The basis is the price difference between a futures contract and the spot market. A positive basis (contango) means futures trade above spot. A negative basis (backwardation) means futures trade below spot.
Contango vs Backwardation
Contango is normal in bullish markets — traders pay a premium to lock in future prices. Backwardation occurs in bearish or uncertain markets where near-term supply pressure pushes futures below spot.
Why Annualize?
A 2% basis over 30 days is much more attractive than 2% over 90 days. Annualizing normalizes the return so you can compare opportunities with different expiry dates on equal footing.
Cash and Carry Arbitrage
If the annualized basis exceeds your cost of capital, you can buy spot and sell futures to lock in the basis as profit. This is a low-risk arbitrage strategy widely used by institutions.
Basis and Funding Rates
For perpetual futures (no expiry), funding rates serve the same function as basis — they're the cost of the premium. High positive funding is analogous to high contango.
Basis Decay
As a futures contract approaches expiry, the basis converges to zero. This is called basis decay or convergence. Traders who bought the premium see it erode as expiry nears.
How Futures Basis Works
The futures basis represents the market's expectation of price movement plus the cost of carry (interest, storage, yield). In crypto, the cost of carry is primarily the interest rate — what you'd earn by lending the capital instead of buying spot.
Annualized basis is the most common way to express this premium. It tells you the equivalent annual return you'd earn from a cash-and-carry trade: buy spot, sell futures, hold until expiry.
Monitoring basis across different expiries and assets helps identify the best carry trade opportunities and gauge overall market sentiment.
Frequently Asked Questions
What's a 'normal' basis?
In crypto, annualized basis typically ranges from 5-15% during normal markets and can spike to 30%+ during euphoric bull runs. Sustained basis above 20% often indicates overheated leverage in the market.
Can I trade the basis?
Yes — cash-and-carry arbitrage involves buying spot and selling futures. You profit from the basis convergence at expiry. The risk is primarily execution and margin management, not directional.
Why would basis go negative?
Negative basis (backwardation) occurs when selling pressure on futures exceeds buying. This can happen during market crashes, forced liquidations, or when traders expect prices to fall.