Futures Basis and Forward Price Calculator

A futures price is rarely equal to the spot price. The difference, called the basis, reflects the cost of carrying the asset until expiry: interest on the money tied up, minus any income the asset pays, plus storage for physical commodities. This calculator compares a futures price with its theoretical cost of carry fair value and shows the annualised rate the market is implying. It is useful for index futures, crypto futures and any market where you want to know whether futures look rich or cheap relative to spot.

Calculator#

How it works#

Basis = Futures price - Spot price
Fair value = Spot × e^((r - y) × T)
Implied carry rate = ln(Futures / Spot) / T + y
Annualised basis = (Futures / Spot - 1) / T

T is time in years (days divided by 365). For commodities, storage costs add to r. Note that in commodity markets, basis is often defined the other way round, as spot minus futures; this calculator uses futures minus spot. See Basis and Basis Trading.

Contango and backwardation#

Crypto basis#

In crypto, the basis on dated futures and the funding rate on perpetual futures can be far higher than interest rates, especially in bull markets when traders pay up for leverage. A trader can buy spot and sell futures to earn the basis, a trade often called a cash and carry or basis trade, while facing exchange, counterparty and margin risks. Enter a crypto future here with a zero income yield to see its implied annual rate. See Crypto Futures and Basis and Funding and Basis Arbitrage.

Convergence at expiry#

As expiry approaches, the basis shrinks toward zero, because the futures price must converge to spot at settlement. Basis traders profit from that convergence; hedgers face basis risk if they close a hedge before expiry or hedge one asset with another's futures. See Hedging and Settlement.

Common mistakes#

1. Ignoring dividends or income, which lowers fair value.
2. Using the wrong rate: your actual borrowing cost may be above the risk free rate.
3. Forgetting costs, which can erase small mispricings.
4. Comparing different times: spot and futures prices must be taken at the same moment.
5. Mixing basis conventions between markets.

Tracking the basis over time#

Record the basis daily for the contract you trade; sudden changes often signal shifts in funding demand or positioning.

Frequently asked questions#

What is futures basis?#

The difference between the futures price and the spot price, reflecting financing costs, income and storage until expiry.

How is fair value of a futures contract calculated?#

Spot price times e raised to the interest rate minus the income yield, times the time to expiry in years.

Why do futures trade above spot?#

Usually because holding the asset has a net cost, mainly interest, which the futures price includes; this is called contango.

Next, calculate currency forward rates with the FX Forward Points Calculator.