Futures Calendar Spread

Pair active dated futures by coin and exchange, then rank adjacent near/far contracts by forward yield and net roll APY.

List calendar spread rows

The main scanner grid shows Rank, Coin, Exchange, Near/Far, Expiries, Direction, Forward Yield, Net Roll APY, Curve, Liquidity, and Updated. Row details include the near/far contract inputs, basis values, min OI/depth, source timestamps, and the heatmap breakdown.

Query parameters

Name
coin
Type
string
Description
Optional base coin. Supported launch coins: BTC, ETH, SOL, XRP, DOGE, MNT, XAUT.
Name
exchanges
Type
string
Description
Comma-separated exchange filter.
Name
minApr
Type
number
Description
Minimum netRollApyPct in percentage points.
Name
minOiUsd
Type
number
Description
Minimum of near/far open interest in USD.
Name
minDepthUsd
Type
number
Description
Minimum of near/far depth in USD when depth is available.
Name
notional
Type
number
Description
Position notional in USD. Defaults to 10000.
Name
limit
Type
number
Description
Rows per page. Defaults to 100.
Name
cursor
Type
string
Description
Opaque cursor from the previous page.

Request

GET

/v1/arbitrage/futures-calendar-spread

curl -G https://www.sharpe.ai/api/v1/arbitrage/futures-calendar-spread \
  -H "Authorization: Bearer sk_live_your_key_here" \
  -d exchanges=Binance,OKX

{
  "data": {
    "rows": [
      {
        "rank": 1,
        "coin": "ETH",
        "exchange": "OKX",
        "nearContract": "ETH-USDT-260626",
        "nearExpiry": "2026-06-26T08:00:00.000Z",
        "farContract": "ETH-USDT-260925",
        "farExpiry": "2026-09-25T08:00:00.000Z",
        "nearBasisPct": 1.8,
        "farBasisPct": 4.6,
        "forwardYieldPct": 11.23,
        "curve": "Contango",
        "direction": "Buy Near / Sell Far",
        "netRollApyPct": 10.43,
        "minOpenInterestUsd": 32000000,
        "minDepthUsd": null,
        "updatedAt": "2026-05-23T10:30:00.000Z"
      }
    ]
  }
}

Formula

forwardYieldPct = (farBasisPct - nearBasisPct) * 365 / (farDays - nearDays)

direction is Buy Near / Sell Far when the far contract has richer implied basis, otherwise Sell Near / Buy Far.