Calculator
Listed contract basis & implied repo rate calculator
Exchange-listed futures and perpetual contracts trade at a basis to underlying spot driven by financing rates, dividend/staking yields, and storage or collateral costs. This specification tool computes theoretical contract fair value and backs out the implied repo rate from live contract prices.
Fair value
5234.30
- Basis (fair value − spot)
- 34.30
- Market vs fair value
- +1.70
- Future trades rich
- Implied repo rate
- 4.758%
Formula
F_theoretical = Spot × e^((r_financing − y_income + c_carry) × T)
Implied repo = ln(F_market ÷ Spot) ÷ T + y_income − c_carry
How to use it
Input the underlying cash index or spot price, annualised financing rate, dividend or staking yield, storage/custody cost, and calendar days to contract expiration.
Provide the observed exchange contract price to extract the implied repo rate and arbitrage basis.
Assumptions and limits
- Uses continuous cost-of-carry compounding across the remaining contract life.
- Does not include variation-margin convexity adjustments or delivery-basket switching options.
Common questions
When does a listed futures contract trade in backwardation?
Backwardation (negative basis) occurs when the underlying asset’s convenience yield, dividend yield, or staking yield exceeds the marginal repo financing rate.
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.