Spot-Futures Arbitrage Calculator
Direct answer
The Spot-Futures Arbitrage Calculator estimates the return from buying spot and shorting futures to lock the basis: it opens when futures trade above spot and earns the basis on convergence or delivery, less round-trip fees.
The spot-futures arbitrage calculator estimates buying spot and shorting futures to lock a basis: open when futures trade above spot, earn the basis on convergence/delivery minus fees.
Spot-Futures Arbitrage Calculator
Result
All figures follow the assumptions on this page and are for reference only.
- Basis
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- Annualized basis
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- Gross if converges
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- Total fees
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- Net
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- Annualized net
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Key data & facts
- Example basis
- 1%Spot 3000 vs futures 3030 over 30 days
- Annualized basis
- ~12%1% basis over 30 days
- Net annualized
- Annualized basis − round-trip fees
- Estimation approach
- Linear model estimateSlippage and shock scenarios are not included
What is the Spot-Futures Arbitrage Calculator?
Basis = futures − spot. If the price converges by delivery, profit ≈ notional × basis − round-trip fees; the page annualizes basis for comparison.
How to use
- Enter realistic parameters.
- Check gross vs net.
- Verify exchange rules before acting.
Model notes
Linear estimation from page parameters Slippage and shock scenarios are not included
Arbitrage windows shift in real time; treat results as magnitude references.
Example
Spot 3000, futures 3030 over 30 days: 1% basis annualizes to ~12% before fees.
Practical tips
- Convergence depends on delivery/roll and funding; it is not guaranteed.
- If rolling perpetuals instead of delivery, include funding and spread moves.
FAQ
Are results guaranteed?
No. Results follow simplified models and do not promise future returns.
Which live risks are not shown?
Slippage, funding direction, withdrawal delays and exchange rule changes are not fully captured.
How do I reduce model error?
Use real-time fees, delivery dates and price quotes, and keep positions small while testing.
Sources & references
- What Is Arbitrage?Investopedia
- What Is a Futures Contract?Investopedia