Futures Basis Calculator
Calculate the entered futures-minus-spot basis, the opposite cash-minus-futures convention, percent of spot, a simple annualized comparison and monetary basis across whole contracts.
Enter comparable spot and futures observations
Use prices observed on the same basis and at a comparable time. The currency label formats monetary outputs only and performs no conversion.
Entered futures basis result
Entered Futures Curve Analysis 1.0.0
| Calculation step | Entered arithmetic | Derived result |
|---|
How futures basis is calculated here
Cash-minus-futures basis = entered spot or cash price − entered futures price
Basis percent = futures-minus-spot basis ÷ spot price × 100
Simple annualized basis = basis percent × 365 ÷ calendar days to expiry
Basis needs a stated sign convention. CME Group commonly describes equity-index and FX futures basis as futures price minus spot, while the CFTC glossary notes that commodity basis is typically cash minus futures. This page calculates and labels both instead of silently changing the sign.
The audited example enters spot at 1.1000, futures at 1.1050 and 90 calendar days to expiry. Futures minus spot is +0.0050, equal to +0.454545% of spot. Scaling that entered percentage by 365 ÷ 90 gives a simple annualized comparison of +1.843434%.
Annualizing a current basis is descriptive arithmetic, not an implied financing-rate solver, fair-value model or expected return. Dividends, interest-rate conventions, storage, insurance, convenience yield, grades, locations, settlement timing and transaction costs can all matter outside this page.
Worked example from the audited fixture
How to interpret the result
A positive futures-minus-spot result means only that the entered futures price exceeds the entered spot price. The opposite cash-minus-futures convention is negative by the same amount. Neither sign alone identifies a mispricing or trade because the relevant carry, product and observation basis have not been modeled.
A careful futures-basis workflow
- Identify the exact futures symbol, contract month and underlying spot or cash reference.
- Confirm both prices use comparable quotation units, grades, locations and timestamps.
- Record the sign convention required by the analysis before interpreting the number.
- Enter calendar days only when a simple annualized comparison is genuinely useful.
- Use the multiplier and whole-contract count only when the entered price difference converts into the selected value currency.
- Model fair value, hedge effectiveness, execution and financing separately.
Basis, calendar spreads and back adjustment are different
These calculations all compare price levels, but they answer different questions. Basis compares futures with a spot or cash reference. A calendar spread compares two delivery months and may support a two-leg P/L review. Back adjustment changes historical analytical levels so consecutive contracts can be displayed as one series.
| Quantity | Compared prices | Primary job | Not equivalent to |
|---|---|---|---|
| Futures basis | Futures versus spot or cash | Measure an entered price relationship | Fair value or arbitrage proof |
| Calendar spread | Nearby versus deferred futures | Measure a two-month spread and entered P/L | Spot basis or a guaranteed simultaneous fill |
| Back adjustment | Old versus new contract at one roll | Align analytical price history | Executed roll P/L or a tradable contract |
| Roll schedule | Contract dates and liquidity evidence | Choose when a data or position transition occurs | A universal date inferred from prices |
Assumptions and limits
- No spot price, futures quote, settlement, contract specification or expiry date is retrieved.
- The same-price-basis and same-time assumptions are user responsibilities and are not verified.
- The simple annualization uses 365 calendar days and does not solve an implied financing rate.
- Dividend income, interest rates, storage, insurance, convenience yield, grade, location and delivery effects are excluded.
- A positive or negative basis is not automatically contango, backwardation, arbitrage or a trading signal.
- Monetary basis is linear entered arithmetic, not profit, hedge effectiveness, margin or maximum loss.
Where to verify futures curve inputs
Start with the exchange product page and rulebook for the exact symbol and delivery months. Confirm the quotation unit, multiplier, outright and spread tick, settlement method, last-trading and notice dates, and the exchange convention for a listed calendar spread. For spot or cash references, document the source, grade, location, timestamp and conversion basis.
For continuous data, verify the data vendor’s roll rule and adjustment method rather than assuming every platform stitches contracts alike. Volume, open-interest, expiry and fixed-date roll rules can switch on different dates. Difference, ratio, backward, forward and unadjusted series can display different historical levels even when they use the same underlying contracts.
Frequently asked questions
- This page uses futures price minus spot or cash price as its primary basis and also displays the exact opposite cash-minus-futures convention.
- CME education commonly uses futures minus spot for FX and equity-index futures, while the CFTC notes commodity basis is typically cash minus futures. Showing both prevents a hidden sign reversal.
- Divide the entered futures-minus-spot difference by the positive entered spot price and multiply by 100.
- Multiply the entered basis percentage by 365 and divide by positive whole calendar days to expiry. It is a descriptive scaling, not an implied financing-rate solver.
- No. It means only that the entered futures price exceeds the entered spot price under the futures-minus-spot convention. Product, carry and term-structure context remain unverified.
- Multiply the entered price difference by the entered contract multiplier or units. The currency label formats the result but performs no conversion.
- No. Interest rates, dividends, storage, insurance, convenience yield, grades, locations and settlement timing are excluded.
- No. The output is deterministic arithmetic on entered observations, not an arbitrage finding, hedge recommendation, expected return or order instruction.
Sources and methodology
- CME Group — FX Futures Pricing and Basis — Defines FX basis and futures-minus-spot interpretation.
- CME Group — Equity Index Basis — States the futures-minus-spot convention and carry context.
- CFTC — Futures Glossary — Defines commodity basis, basis risk and calendar spreads.
- CME Group — Calendar Spread FAQ — Documents two-month structure and a product-specific quote convention.
- TradingView — Continuous Futures Back Adjustment — Documents one additive difference-adjustment implementation.
- CME Group — Demystifying Time-Series Momentum Strategies — Discusses backward ratio and difference adjustments and their return effects.
The operational contract is Entered Futures Curve Analysis version 1.0.0. Independent fixtures cover both basis signs, simple annualization, monetary basis, two quote orientations, long and short spread P/L, entered costs, difference and ratio back adjustment, continuity identities and invalid inputs. Sources support definitions and methods; they do not endorse the site or verify user data.
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The brokers below primarily offer leveraged forex or CFD products, which can use different lot, contract, financing, expiry and rollover conventions from exchange futures. Never copy an exchange-futures multiplier, basis convention or calendar-spread result into a broker CFD calculation without checking the live server specification.
XM
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