Advanced Strategies and Review · Crypto Trading Guide
Buying spot and selling a futures contract can isolate part of the basis. The position still requires financing, collateral and reliable settlement.
Match the two legs
A conventional cash and carry setup buys the underlying spot asset and sells a dated futures exposure of matching quantity. The aim is to capture a positive futures premium after costs. Eligibility and product availability vary. Matching a ticker is not enough when multipliers, reference prices or settlement assets differ.
Calculate the teaching case
Assume spot is $50,000 and a 90 day futures contract is $51,000 for one BTC of exposure. At settlement, suppose both relevant prices are $48,000. Spot loses $2,000 and the short futures gains $3,000, leaving $1,000 gross. If both instead settle at $55,000, spot gains $5,000 and the short loses $4,000, again leaving $1,000 under the idealised matching assumptions.
Subtract the complete cost
Suppose financing costs $600, execution costs $80 and custody or transfers cost $20. The modelled net result becomes $300. A return divided only by futures margin would ignore the capital used to own spot and support collateral. Specify the full capital commitment and time horizon. A perpetual substitute has uncertain future funding rather than the same fixed dated basis.
Stress the path before expiry
The short futures can demand additional collateral when price rises, even while the spot holding gains value elsewhere. Transfers can be delayed and basis can widen before converging. Venue failure, settlement reference differences, borrow or financing changes and custody loss can break the idealised outcome. Test whether the position survives interim margin calls and whether both legs can be closed together. A theoretical terminal hedge does not eliminate liquidity or counterparty risk.
Try it yourself
Gross basis is $700, expected financing $500 and other costs $240. Is the expected net carry positive?
Show the worked answer
No. The model shows a $40 loss before unexpected costs. A positive futures premium alone is insufficient.
Further reading
Educational material. Examples and rates are hypothetical, not trade recommendations. Product terms, eligibility and risks vary by venue and jurisdiction.
