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Cash-and-Carry Basis Arbitrage: A Practical Guide
A clear, data-driven guide to cash-and-carry basis arbitrage.
The trade
Buy spot and sell a dated future of the same size. At expiry the prices converge, locking the spread minus costs regardless of price direction.
Annualizing
Basis = (futures ÷ spot − 1) × 365 ÷ days. With spot at $60,000, a 90-day future at $61,500 has 2.5 percent basis, or about 10.1 percent annualized.
Where basis comes from
Persistent demand for leveraged longs pushes futures above spot. CME basis rose above 15 percent annualized in early 2024 as ETF inflows boosted spot demand and leveraged funds sought long exposure.
Costs and risks
Fees, funding of the spot leg, margin requirements on the short, exchange counterparty risk, and collateral volatility all reduce return. Cross-venue trades also risk one exchange liquidating the short during a spike.
Perp variant
Instead of a dated future, many traders short perps and earn funding, which is what Ethena's USDe automates; returns float with funding rather than being locked.
By the numbers
For Cash-and-Carry Basis Arbitrage, the reference figures are topic of Cash-and-Carry Basis Arbitrage, level of Intermediate, updated of 2026. The comparison table below lines up spot, future, days, annualized — $60,000: $61,500 / 90 / ~10.1%; $60,000: $60,600 / 30 / ~12.2%; $60,000: $63,000 / 180 / ~10.1%.
Modeling Cash-and-Carry Basis Arbitrage with the Cash And Carry Basis Arbitrage Calculator
The Cash And Carry Basis Arbitrage Calculator takes three inputs — Spot ($), Futures ($), Days to expiry. Annualized basis = (F/S − 1) × 365 ÷ days. With its default inputs (Spot ($) = 60000; Futures ($) = 61500; Days to expiry = 90) it returns 10.14 %; swap in the figures from Cash-and-Carry Basis Arbitrage above to reproduce the scenario yourself.
Modeling Cash-and-Carry Basis Arbitrage with the CME Futures Annualized Basis Calculator
The CME Futures Annualized Basis Calculator takes three inputs — Spot ($), CME future ($), Days. Basis = (future ÷ spot − 1) × 365 ÷ days. With its default inputs (Spot ($) = 60000; CME future ($) = 62000; Days = 60) it returns 20.28 %; swap in the figures from Cash-and-Carry Basis Arbitrage above to reproduce the scenario yourself.
Data Table
| Spot | Future | Days | Annualized |
|---|---|---|---|
| $60,000 | $61,500 | 90 | ~10.1% |
| $60,000 | $60,600 | 30 | ~12.2% |
| $60,000 | $63,000 | 180 | ~10.1% |
Frequently Asked Questions
Is the trade riskless?
Price risk is hedged but counterparty and margin risks remain.
Why use CME?
It is regulated and widely used by institutions.
What if basis goes negative?
Reverse the trade or wait; negative basis is rare in crypto.
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For educational and informational purposes only. Not financial, investment, tax or legal advice. Figures are approximate and historical; crypto assets are volatile and you may lose capital. Do your own research.