Separate the opening basis from perpetual funding
Let S be the spot purchase price and F the price at which the dated future is sold. The gross basis per BTC is F − S. For quantity q, the modeled gross carry is q × (F − S), assuming matching exposures and convergence to the same settlement value.
The gross basis percentage is (F − S) ÷ S × 100. The tool then subtracts total entered costs from the gross carry. Its annualized result uses that net carry divided by committed capital, multiplied by 365 divided by the days to expiry. The denominator is your capital input, not automatically spot notional.
Deduct costs and choose the correct capital denominator
Trading fees, financing and other entered expenses reduce the modeled gross carry. The spot purchase and futures margin also place different demands on capital. A return measured only against spot value will differ from a return measured against the full amount reserved for both legs.
Enter the full capital you intend to reserve for the paired trade. The period return is net carry divided by that amount, and the displayed annualized return scales it using the remaining days. Annualization is not a forecast that you can repeatedly find the same basis or earn the result for an entire year.
Check what happens at expiry and before it
A dated future has settlement terms that determine how the final contract value is established. A cash-settled future can reference an index rather than the exact venue where you own spot. A mismatch between your spot exit value and the contract settlement value can change the result.
The opening basis is locked only within the matched-exposure, common-settlement assumptions. Closing the trade early introduces the exit basis, which this fixed-expiry calculation does not predict. Intermediate futures losses can also require margin even if the paired position has a favorable modeled expiry outcome.
Questions about this tool
Does this calculator include perpetual funding payments?
No. It models the difference between spot and a dated futures price for a fixed expiry. Use a funding calculator for perpetual contracts, where periodic funding rates can change during the holding period.
What does the annualized return use as its denominator?
It uses the total committed capital you enter. The net carry after entered costs is divided by that capital and scaled by 365 divided by days to expiry. It is a simple annualization, without compounding.