Futures Basis Calculator
Free Futures Basis Calculator. Calculate spot-vs-futures spread, annualized basis, cash-and-carry yield, and arbitrage profit after fees.
Basis trades carry execution risk, margin requirements, and potential funding rate costs. Past basis levels do not guarantee future returns.
How to use Futures Basis Calculator
The Futures Basis Calculator computes the spread between a cryptocurrency's spot price and its futures contract price, then annualizes the result to give you a standardized comparison across different expiry dates. Enter the spot price, futures price, and days to expiry, the tool instantly shows the raw basis percentage, the annualized basis (APR), and whether the market is in contango (futures above spot) or backwardation (futures below spot).
Traders use the basis to identify cash-and-carry arbitrage opportunities: if the annualized basis exceeds your cost of capital plus trading fees, you can buy spot, sell the future, and lock in a risk-free return at expiry. The calculator also helps compare basis across exchanges and contract maturities to find the most attractive spread. A shrinking basis typically signals declining bullish conviction.
Input guide and assumptions
Spot Price is the current market price of the cryptocurrency on the spot exchange. Futures Price is the quoted price of the futures contract (quarterly, monthly, or perpetual with funding). Days to Expiry is the time remaining until the futures contract settles, required for annualizing the basis. For perpetual contracts, use the 8-hour funding rate instead.
Trading Fees (optional) are deducted from the gross basis to show your net arbitrage return. Enter maker/taker fees for both the spot and futures legs. Output includes: raw basis (%), annualized basis (APR), contango/backwardation label, net basis after fees, and a breakeven fee threshold showing the maximum fee where the trade remains profitable.
How to interpret results correctly
The hero badge tells you the regime first: Contango means the futures price sits above spot (a positive basis), while Backwardation means futures trade below spot. The percentage shown is the raw Basis (%), and the Annualized Basis underneath stretches that gap across a full year so a 2% premium expiring in 30 days reads as roughly 24% annualized. Read those two together before anything else, a fat headline can shrink dramatically once you account for the days to expiry.
Below the badge, focus on Cash-and-Carry Yield (APY) and Basis Trade Profit, because those are the numbers you actually capture. The APY is the annualized basis after subtracting Total Trading Fees, and the Equivalent APY Comparison block stacks it against ETH staking (~3.5%), DeFi lending (~5%), and T-Bills (~4.5%). If your cash-and-carry yield does not clearly beat those alternatives, the locked-capital and execution risk usually is not worth it, cross-check the benchmarks with the <a href="/apy-apr-calculator/">APY/APR calculator</a>.
Practical scenarios and planning workflow
The classic workflow is a cash-and-carry trade: you buy spot, sell the dated future at a premium, and pocket the basis as it converges to zero at expiry. Load the BTC Quarterly preset to see a 90-day structure, enter your real position size, and check whether the Cash-and-Carry Yield (APY) survives the Total Trading Fees on both legs. This is delta-neutral income, so you are harvesting the spread, not betting on price direction.
The second use case is spotting overheated markets. Run the Contango Hot preset and watch the Annualized Basis spike, an unusually wide premium often signals leverage froth and crowded longs that can unwind fast. You can also flip the inputs so futures trade below spot to model Backwardation, which typically appears in sell-offs. Pair the read with the <a href="/funding-rate-calculator/">funding rate calculator</a> to see whether perpetual funding confirms the same lean.
Risk and execution checklist
- Before sizing a basis trade: 1) Confirm the spot and futures prices are live, fillable quotes from the same venue or two you can move between. 2) Enter the exact days to expiry, this single field drives the entire Annualized Basis figure. 3) Set the Trading Fee per Side to your real taker tier, since both legs aggress the book. 4) Verify the Cash-and-Carry Yield (APY) still beats the T-Bill line in the comparison block after fees.
- After calculating: check that Basis Trade Profit is comfortably positive and that the Break-Even Fee (per side) leaves a buffer above the fee you actually pay. If your fee sits near break-even, a single tier change or a slightly worse fill flips the trade negative. Confirm you have the margin and collateral to hold both legs until expiry without a forced liquidation, model that downside with the <a href="/liquidation-calculator/">liquidation calculator</a>.
Common mistakes to avoid
- The most common error is chasing the raw Basis (%) instead of the Annualized Basis. A 1.5% premium feels generous, but if it expires in 90 days the annualized figure is only about 6%, barely ahead of DeFi lending once fees bite. The opposite trap is annualizing a near-dated spread and assuming you can repeat it perpetually; each roll re-incurs Total Trading Fees and the next basis may be far thinner.
- The second mistake is ignoring carry costs the calculator cannot see. Holding a short futures leg can mean ongoing funding payments or margin top-ups, and the disclaimer flags exactly that. Treating the printed Cash-and-Carry Yield (APY) as guaranteed also forgets convergence risk: futures and spot only meet exactly at expiry, so an early exit can lock in a worse spread than the screen showed. Always under-weight a thin edge.
Performance benchmarks and expectation ranges
On liquid majors like BTC and ETH, quarterly futures basis typically runs an annualized 5–15% in calm-to-bullish conditions, occasionally spiking above 20–30% during euphoria before mean-reverting. A flat or slightly negative basis is normal in bear phases or sharp sell-offs (Backwardation). Anything implying 50%+ annualized on a major usually points to stale data, a thin contract, or a quote you cannot actually fill at size.
Frame those numbers against your real alternatives: the calculator pins ETH staking at ~3.5%, DeFi lending at ~5%, and T-Bills at ~4.5%, so a basis trade earning under ~5% net rarely justifies the extra execution and margin risk. Taker fees of roughly 0.04–0.08% per side are realistic on major venues; two legs plus the eventual unwind can quietly cost 0.15–0.30%. Confirm the hurdle with the <a href="/break-even-calculator/">break-even calculator</a>.
Execution templates you can reuse
A repeatable workflow: 1) Pick one expiry and pull the live spot and futures marks at the same instant. 2) Enter days to expiry, position size, and your true Trading Fee per Side. 3) Read the Cash-and-Carry Yield (APY) and confirm it clears the T-Bill and DeFi lending lines with margin to spare. 4) Check Basis Trade Profit is positive after Total Trading Fees. 5) Open both legs near-simultaneously so you lock the spread, not a moving one.
Once the position is on, your job is mostly waiting for convergence, the basis decays toward zero as expiry approaches, and that decay is your yield. Decide your exit policy upfront: hold to expiry for the full captured basis, or roll early into the next contract if its Annualized Basis is richer. Re-run the calculator before every roll, and compare the new yield against passive options like the <a href="/lending-calculator/">lending calculator</a> instead of assuming the edge persists.
Data hygiene and model maintenance
Refresh both prices together; a spot mark from one minute and a futures mark from another fabricates basis that is not there. Spot and futures move on different feeds, so even a few seconds of staleness can swing the Annualized Basis by several points. Re-pull both quotes immediately before you commit capital, and re-enter the actual days to expiry rather than reusing yesterday's number, the day count shrinks every session.
Keep your Trading Fee per Side synced to your live taker tier, because exchanges adjust schedules and your 30-day volume changes your rate. A stale fee assumption quietly inflates the displayed Cash-and-Carry Yield (APY). Also revisit the comparison benchmarks periodically: staking, lending, and T-Bill rates drift with markets, and the hurdle a basis trade must clear moves with them. Verify current cash rates against the <a href="/staking-calculator/">staking calculator</a>.
Final validation before capital deployment
Sanity-check the core math by hand: Basis (Absolute) is simply futures minus spot, and Basis (%) is that gap divided by spot, times 100. The Annualized Basis takes Basis (%), divides by days to expiry, and multiplies by 365, so a 2% basis over 30 days should read near 24.3% annualized. If the screen disagrees with that arithmetic, you likely mistyped a price or the days field. Total Trading Fees equal position size times your per-side fee times two.
Validate the yield logic too: Cash-and-Carry Yield (APY) is the basis percentage minus fees as a percentage of size, then annualized over the days to expiry, so it always sits a touch below the raw Annualized Basis. The Break-Even Fee (per side) is half the basis percentage, the point where two legs of fees exactly eat the spread. If your real fee exceeds it, expect a negative Basis Trade Profit, and confirm leverage assumptions with the <a href="/leverage-calculator/">leverage calculator</a>.
Authoritative sources
Frequently asked questions
What is futures basis?
Basis = futures price - spot price. BTC quarterly futures at $61,500 with spot at $60,000 = $1,500 basis (2.5%). Annualized over 90 days = 10% APR. Positive basis (contango) is normal in bull markets; negative (backwardation) signals stress.
How does cash-and-carry arbitrage work?
Buy spot BTC, short futures at premium, lock in basis as risk-free yield. With 10% basis APR, $1M position earns $100k/year if held to expiry. Major hedge funds run $500M+ basis trades on CME futures - the strategy generated $10B+ in 2021 industry-wide.
What's a typical BTC futures basis?
Bull market: 8-20% annualized basis (peaked at 45% in March 2024 ETF launch). Bear market: 2-5% or negative. Perpetual funding rates serve a similar role - 0.01% per 8h funding = ~11% annualized basis-equivalent.
Where can I trade basis arbitrage?
CME (regulated, $1M+ contract size, accredited investors). Binance, Bybit, OKX (smaller minimums, 24/7, higher counterparty risk). Deribit (BTC/ETH futures only). Most pros split between CME (institutional capital) and offshore (higher leverage).
What risks does basis trading carry?
Exchange counterparty risk (FTX collapse wiped $8B+ basis trades). Margin calls if futures spike against your short. Spot/futures custody mismatch. Tax complexity (US Section 1256 for CME, ordinary income for offshore). Always size positions assuming 30% drawdown stress.
How do I read BTC futures curve?
Futures curve plots prices for next 4-8 quarterly contracts. Steep contango (each quarter higher) = bullish bias. Flat or inverted = bearish/stressed. The 2022 LUNA crash flattened curves to 1-2% basis; the 2024 ETF boom steepened them to 25%+ on far-dated contracts.
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