SPYEQUITY
—NO QUOTE
Equities
Futures
% r
% q

Futures Basis Trade Calculator

How this strategy works →
AssistantPRO
Type a trade in plain English. A fine-tuned model returns the symbol, structure, expiry and size — never a strike or a price.
RECORDED EXAMPLE1/3
“bull call spread on NVDA, 30 days, 2 contracts”
NVDAEQUITYBull Call Spread30d2×
Not a live answer. Captured from api.optionsandfuturescalculator.com on 2026-08-11 and replayed here — the assistant did not run just now. Type your own above and press Parse for a real one.
Trained on ES and NQ futures only — commodity roots are refused, not guessed.A bare futures directive (“Long NQ, 45 days”) often returns no parameters.Exercise style and averaging come from a keyword scan of your words.
Strategy47
Single-leg calls and puts are free
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Ticket
Averaging
Debit · 1 × 100—
Position · 0 legs
No legsSelect strikes from the option chain to build a position.
Exercise & Averaging
Exercise
Dividend yield is not modelled on this tree (drift is r − σ²/2). The strategy panel prices with a dividend yield; this panel does not.
Averaging
No resultPick a strike with a live quote to price the tree.
Saved
Nothing saved yetBuild a position, name it, and it will be here next time.
Probability Distribution
No distribution yetThe curve needs a live spot, an implied volatility off the option chain, and a real expiry. Add priced legs to draw it.
P&L matrixprice × date
price–
No grid yetAdd priced legs to compute P&L across price and date.
P&L surfaceprice × date × profit
Surface offTurn on 3D to see the position as a height field.
Option Chain
Outcome
No resultRun a calculation to see outcome, probability and Greeks.

Buy the asset in the cash market, sell the futures against it, and hold both until the basis converges at delivery. The return is fixed the moment the trade goes on: the futures premium over spot, less financing, storage and insurance for the days in between. This is the mechanism that keeps futures priced near fair value, so the mispricings it feeds on are small and execution costs decide whether anything is left. The real risk lives in the carry assumptions and in the cash leg rather than in the price. Set spot, the futures price and the days to delivery here and read the implied carry yield.

The full Futures Basis Trade guide, worked example and FAQs →

Two legs in two different markets — a cash purchase and a futures sale — so this is the one structure here that is not a single options or futures ticket but a coordinated pair across a cash desk and a futures account. Financing the cash leg is usually the binding constraint in practice, not the futures margin, and the rate used to compute the carry should be the actual funding rate available, not a benchmark rate that may not be accessible at the size being traded.

Sizing and account notes

The position is sized by how much cash and storage capacity are actually available to carry to delivery, not by how attractive the basis looks on a screen — a basis trade that cannot be carried to convergence is a directional bet wearing an arbitrage's clothes. Financing costs are typically a floating rate tied to the broker's or bank's own funding cost, and a rate that rises after entry shrinks a locked-in-looking profit in real time even though the price risk is fully hedged. This is largely an institutional trade in practice, for exactly that reason — the operational and funding capacity is the actual barrier to entry, not the arithmetic.

Common mistake. The common mistake is entering the trade on an attractive basis without confirming the storage and funding capacity to actually carry it to convergence, turning a hedged arbitrage into an unhedged directional bet.

At a glance

Legs
2
Market view
Arbitrage — carry capture
Opened for
Margin
What bounds the profit
Fixed at entry: basis less cost of carry
What bounds the loss
Small in principle; financing and unwind risk in practice

The order ticket, from the worked example

#ActionInstrumentStrike
1BuyGold (spot)2650
2SellGold future2704

Sensitivity to the assumption behind the example

Financing rate (annualised)Implied carry profit
2.6%$19.55
3.1%$12.92
3.6%$6.30
4.1%-$0.33
4.6%-$6.95

How this compares with related strategies

StrategyMarket viewOpened forLegs vs. this one
Futures OutrightDirectional — leveraged, linearMargin-1
Futures Calendar SpreadTerm structure — non-directionalMarginsame
Futures SpreadRelative value — non-directionalMarginsame
Covered Futures CallNeutral to mildly bullish — futures incomeMarginsame