---
title: "Basis Trade Yield Calculator"
description: "Calculate the annualized yield from a crypto cash-and-carry basis trade. Enter spot price, futures price, and days to expiry to find the annualized return."
canonical: https://www.getswoopr.com/crypto/derivatives/basis-trade-yield-calculator/
source: "Swoopr Investment: https://www.getswoopr.com"
---

## Direct Answer



> A basis trade's annualized yield is calculated by dividing the futures premium over spot by the spot price, then annualizing it based on days to expiry. This calculator converts the spot/futures spread and time to expiry into that annualized return, so you can compare the trade against alternatives before committing capital. It measures the mechanical spread only, it doesn't account for execution costs, margin requirements, or counterparty risk.





      

# Basis Trade Yield Calculator



A basis trade buys spot crypto and simultaneously sells the futures contract at a premium, locking in the spread as a fixed return at expiry. This calculator converts the spot/futures spread and time to expiry into an annualized yield, so you can compare it against alternatives and decide whether the trade is worth the capital and operational complexity.




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## Basis Yield Calculator







Spot price (USD)




Current market price of the underlying asset (e.g., BTC spot on a major exchange).






Futures price (USD)




Current price of the quarterly futures contract you will short.






Days to expiry




Number of calendar days until the futures contract expires and settles.






Round-trip trading fees (%)




Total fees for entering and exiting both legs (spot buy + futures sell + close at expiry). Often about 0.1% to 0.3% at standard fee tiers, lower with maker orders or volume discounts. Leave 0 to see gross yield.






Calculate


Reset






### Results



Gross basis (futures − spot)



Basis as % of spot



Fee drag



Net return over hold period



Annualized yield (net)



Dollar profit per $10,000 spot



Trade viability



Formula: Annualized Yield = ((Futures − Spot) / Spot − fees%) × (365 / days) × 100. Assumes futures settles exactly at spot price at expiry (convergence). Does not account for margin requirements on the futures leg, custody costs, or counterparty risk. See guidance below for a complete cost/risk checklist.












## The Formula




Annualized Yield =
  ((Futures Price − Spot Price) / Spot Price − Fees%) × (365 / Days to Expiry) × 100



At expiry, the quarterly futures contract settles at the spot price via a time-weighted average price (TWAP) mechanism. The futures premium (basis) at entry becomes realized profit at settlement, assuming you hold both legs to expiry. The annualization converts the fixed-period return into a comparable rate for benchmarking against alternatives like staking, lending, or money market rates.








## Full Cost and Risk Checklist



The calculator shows the gross return from the spot/futures spread. In practice, several additional costs and risks affect net return:





| Cost / risk factor | Typical magnitude | Notes |
| --- | --- | --- |
| Trading fees (both legs, both sides) | Often about 0.1% to 0.3% round-trip at standard fee tiers, lower with maker orders or volume discounts; check the venue’s current fee schedule | Included in calculator via fee input |
| Spot custody / exchange deposit risk | Qualitative | Spot held on exchange during trade; risk exchange failure |
| Futures margin requirement | 5-10% of notional | Capital tied up as futures margin earns no yield; reduces effective capital efficiency |
| Futures margin funding call risk | Situational | Unrealized P&L on futures (not realized) may require additional margin if basis widens |
| Settlement slippage | 0.01-0.05% | TWAP settlement may differ slightly from spot at entry; usually small |
| Roll cost (if rolling before expiry) | Variable | If rolling rather than settling, next contract basis may be lower; adds bid-ask spread |
| Tax treatment | Jurisdiction-specific | Futures gains taxed differently from spot in many jurisdictions; consult a tax professional |





For detailed background on how the trade is structured and what drives the basis, see [Basis Trading: Spot vs. Futures](https://www.getswoopr.com/crypto/derivatives/basis-trading-spot-vs-futures/).








## References



- [CME Group: Futures and Derivatives Education (cash-and-carry basis and convergence mechanics)](https://www.cmegroup.com/education)
- [CFTC: Digital Assets Primer](https://www.cftc.gov/digitalassets/index.htm)
- [CFTC: Learning Resources](https://www.cftc.gov/LearnAndProtect/AdvisoriesAndArticles/index.htm)








## Disclaimer



This calculator is for educational and informational purposes only and does not constitute financial, investment, or tax advice. Calculations assume futures convergence to spot at expiry and do not account for all costs listed in the table above. Actual returns will differ based on exchange-specific fee structures, settlement mechanics, margin requirements, and market conditions. Consult a qualified financial and tax professional before executing basis trades.






## Related Reading

- [Crypto Derivatives: Perpetuals, Futures & Options](https://www.getswoopr.com/crypto/derivatives/) the section this guide belongs to
- [Basis Trading: Spot vs. Futures](https://www.getswoopr.com/crypto/derivatives/basis-trading-spot-vs-futures/) a companion guide in this cluster
- [Crypto Liquidation Price Calculator](https://www.getswoopr.com/crypto/derivatives/crypto-liquidation-price-calculator/) a companion guide in this cluster
- [Crypto Options on Deribit and Other Venues](https://www.getswoopr.com/crypto/derivatives/crypto-options-on-deribit-and-other-venues/) a companion guide in this cluster
- [Delta-Neutral Strategies with Perps](https://www.getswoopr.com/crypto/derivatives/delta-neutral-strategies-with-perps/) a companion guide in this cluster
- [Exchange and Counterparty Risk in Derivatives](https://www.getswoopr.com/crypto/derivatives/exchange-and-counterparty-risk-in-derivatives/) a companion guide in this cluster
- [Leverage and Margin in Crypto Derivatives](https://www.getswoopr.com/crypto/derivatives/leverage-and-margin-in-crypto-derivatives/) a companion guide in this cluster
- [Mark Price and Liquidation Mechanics](https://www.getswoopr.com/crypto/derivatives/mark-price-and-liquidation-mechanics/) a companion guide in this cluster
- [Open Interest as a Market Signal](https://www.getswoopr.com/crypto/derivatives/open-interest-as-a-market-signal/) a companion guide in this cluster
- [Perpetual Funding Rate Calculator](https://www.getswoopr.com/crypto/derivatives/perpetual-funding-rate-calculator/) a companion guide in this cluster