Crypto Arbitrage Calculator

How the calculator works

A spot-perp arbitrage trade is delta-neutral: long the spot leg, short the perpetual leg at the same notional. You earn the funding rate as yield every settlement interval, paid by the opposite side of the perpetual. Your gross yield is the funding rate × notional × settlements held. Your cost is the maker fee × notional × 4 (one fee per leg, twice for open and close). Net PnL = gross yield − fees. Net APR annualizes net PnL over the chosen holding period. Break-even funding rate is the minimum per-settlement rate that produces zero net PnL after fees.

Why APR, not just raw funding rate

Raw funding rates across exchanges are not directly comparable because intervals differ. Binance, Bybit, OKX settle every 8 hours; Hyperliquid and dYdX v4 settle hourly. Annualizing (APR = rate × 8,760 / interval_hours) normalizes them — a 0.005% hourly rate is comparable to a 0.04% 8-hour rate (both ≈ 43.8% APR). This calculator converts everything to APR automatically so you can compare venues and opportunities on the same axis.

Execution caveats

The calculator assumes maker execution on both legs with no slippage. In practice, most mid-size spot-perp trades incur 0.05–0.15% slippage per leg, eroding net yield. Liquidation risk on the short perp leg is not modelled — use isolated margin with 3–5× the maintenance margin buffer to survive a 30–50% price spike. Exchange counterparty risk is also not modelled. For production use, subtract an additional 0.3–0.5% from the computed net APR as a realism buffer.

Frequently Asked Questions

How is net APR calculated on a spot-perp arbitrage trade?

Net APR = gross funding income × settlements per year − (maker fee × 4) annualized. Settlements per year = 8,760 / interval_hours (8-hour funding = 1,095 settlements/year; 1-hour = 8,760). Fees are applied to both legs on open and close (4 total events).

What is the break-even funding rate?

The minimum funding rate per settlement that would produce zero net PnL after round-trip fees. If you hold 30 settlements and pay 0.02% × 4 = 0.08% in total fees, the break-even rate is 0.08% / 30 ≈ 0.0027% per settlement. Rates below break-even produce a net loss; rates above produce profit.

Why are fees multiplied by 4 in the calculator?

A complete spot-perp arbitrage cycle requires four fee events: buy spot, short perp (open); sell spot, close short (close). Each leg pays the maker fee, so total fee drag is fee_pct × 4 × notional. Using taker orders increases this further.

How does funding interval affect annualized return?

Shorter intervals compound more often. A 0.005% rate paid hourly annualizes to 0.005% × 8,760 = 43.8% APR; a 0.01% rate paid every 8 hours annualizes to 0.01% × 1,095 = 10.95%. Hyperliquid's 1-hour funding is often lower per-interval but can produce a higher annualized yield at equivalent positioning.

What funding rate is realistic for BTC or ETH?

BTC and ETH 8-hour funding rates typically sit between -0.01% and +0.03% on Binance, Bybit, OKX. Extreme bull markets can push BTC funding above 0.05% (~55% APR). Altcoin funding can spike to 0.1% or higher during parabolic rallies. Use Sharpe's funding rate leaderboard to find current high-APR opportunities.

Does this calculator account for slippage and liquidation risk?

No. The calculator assumes maker execution on both legs and no slippage. Real-world execution typically adds 0.05–0.15% slippage on each leg for mid-size orders. The short perp leg also carries liquidation risk if the perpetual wicks sharply higher — use 3–5× the maintenance margin buffer and isolated margin to mitigate.