What is Futures Basis & Premium?
Futures basis is the price difference between a futures contract and the underlying spot price, expressed in absolute terms, basis points, or annualized yield. For perpetuals, basis (bps) = ((perp − spot) / spot) × 10,000. For dated futures, annualized basis = ((futures − spot) / spot) × (365 / days_to_expiry). Positive basis (contango) means futures trade above spot and reflects bullish leveraged demand plus carry cost. Negative basis (backwardation) means futures trade below spot, typically signaling aggressive spot-side selling or deleveraging stress. Sharpe tracks both perp basis and the dated-futures term structure for BTC, ETH, SOL, and top altcoins.
How to use Futures Basis & Premium
Use basis as a positioning and yield indicator. Perp premium above 10 bps sustained over hours signals leveraged long crowding — watch for funding rate confirmation. Dated futures basis above 15% annualized is a historic high that favors cash-and-carry trades (long spot, short future until expiry). Term-structure inversions (near-dated trading above long-dated) signal imminent event risk or structural funding stress. Basis is also the foundational metric for institutional allocators — CME basis moves track real money flow more reliably than crypto-native perp basis.