Cash-and-Carry Arbitrage Calculator

The premium is the payment for holding both legs

Positive basis exists because leveraged longs will pay to be long. Harvesting it means being the patient counterparty on both sides. Watch how the same premium shows up as a funding stream on the funding-rate arbitrage calculator, and measure the raw gap on the futures basis calculator.

Harvesting the futures premium, neutrally

Cash-and-carry: buy spot, short the dated future against it, hold to expiry. The futures premium (basis) converges to zero on settlement day, and the short captures it — direction-neutral, with the annualized yield fixed at entry. A 2.5% premium with 60 days left locks ~16% annualized, paid in the currency of convergence.

The deductions that shrink the banner number: entry and exit fees on both legs (~0.15–0.3% total), spot custody or transfer costs, and margin efficiency — the short leg needs collateral, so your capital earns the yield on less than its full weight. Realistic net on that 16% gross is nearer 12–13%, still handsome when spot rates elsewhere are low, pedestrian when they aren't.

The risks people wave away: early-exit basis risk (the premium can widen before it converges — mark-to-market pain on the short), exchange risk on both venues for the duration, and the funding-rate alternative constantly repricing the opportunity. The trade is genuinely low-risk held to term on one solvent venue; every deviation from that sentence reintroduces the market.

FAQ

How does cash-and-carry arbitrage work in crypto? You buy the asset on the spot market and simultaneously short an equal notional in a dated future or perpetual that trades at a premium (positive basis). Your net price exposure is zero. As expiry approaches the future converges to spot, and you pocket the premium regardless of which way the market moved.

Is the basis yield really risk-free? No — it is market-neutral, not risk-free. On perpetuals the premium is paid through funding, which can flip negative and erase the carry. You also carry exchange solvency, liquidation-on-the-short (if margin is thin), and execution risk. Treat the annualised figure as a best case before those frictions.