Futures Basis Calculator
Compare entered spot and futures prices under both basis signs, express the futures-minus-spot difference as a percentage and simple annualized rate, and audit five price scenarios plus five whole-contract rows.
Enter comparable spot and futures observations
Use prices observed on the same quotation basis and at a comparable time. The value-currency field is a label only.
Entered futures basis result
Futures Basis 2.0.0.
Basis calculation audit
Reconcile both signs, percent, basis points, simple annualization and position scaling.
On smaller screens, scroll each table horizontally; the page itself remains contained.
| Step | Arithmetic | Result |
|---|
Five futures-price scenario rows
Spot, days, units and contracts stay fixed while futures price moves by the entered step.
| Scenario | Futures price | Futures − spot | Cash − futures | Basis % | Basis points | Simple annualized | Per contract | Entered position | Relationship | Row type |
|---|
Five adjacent whole-contract rows
The entered basis and multiplier stay fixed while whole contracts change around the entered count.
| Contracts | Basis per contract | Futures − spot monetary basis | Cash − futures monetary basis | Basis % | Simple annualized | Row type |
|---|
The scenario and contract rows are arithmetic illustrations. They do not forecast prices, assert convergence, calculate a cash-and-carry return, identify arbitrage or recommend a trade.
How the Futures Basis Calculator works
Cash-minus-futures basis = entered spot or cash price − entered futures price
Basis percent = futures-minus-spot basis ÷ entered spot price × 100
Simple annualized basis = basis percent × 365 ÷ entered calendar days
The two raw basis figures are exact sign opposites. The page keeps both visible because official market education uses different conventions across products. Percentage and basis-point outputs use the entered positive spot price as the denominator.
Audited entered-data example
Enter spot 1.1000, futures 1.1050, a 0.0025 scenario step, 90 calendar days, 125,000 units per contract and two contracts. Futures minus spot is +0.005, equal to +0.454545% or +45.454545 basis points of spot. The simple annualized comparison is +1.843434%.
The monetary basis is +USD 625.00 per contract and +USD 1,250.00 for two contracts. Those amounts are signed price-difference arithmetic, not expected profit or a trade return.
Basis sign conventions and output boundaries
| Output | Formula used here | What it answers | What it does not prove |
|---|---|---|---|
| Futures minus spot | Futures price − spot price | Entered futures premium or discount under the primary page convention | Fair value, arbitrage or expected convergence |
| Cash minus futures | Spot price − futures price | The exact opposite convention commonly used in physical commodity basis | Which convention an undocumented source intended |
| Basis percent | Futures-minus-spot difference ÷ spot price | Difference normalized to the entered spot price | Investment return or margin return |
| Simple annualized basis | Basis percent × 365 ÷ calendar days | One linear time-scaled comparison | Compounded yield, financing rate or net trade return |
| Monetary basis | Price difference × units × whole contracts | Signed entered difference at contract scale | Realized P/L, fees, margin or maximum loss |
Simple annualized basis is not a trade yield
The annualized figure linearly scales one entered percentage over 365 calendar days. It does not model compounding, financing, dividends, storage, insurance, convenience yield, borrow availability, transaction costs, margin calls, taxes, settlement mechanics or execution.
Even when spot and futures observations are comparable, a displayed premium is not automatically capturable profit. A real basis trade requires separate positions, capital, liquidity and operational controls that this page neither verifies nor simulates.
Assumptions and limits
- All prices, days, units, contracts and currency labels are entered manually; no market or contract data is fetched.
- Spot and futures prices must use comparable quotation units, timestamps, product definitions, grades and locations.
- The primary percentage denominator is the positive entered spot price; other market methodologies may use different definitions.
- The five price rows change only the entered futures price by the user-supplied step and are not forecasts or confidence bounds.
- The five contract rows apply one entered price difference linearly and do not model liquidity, margin, fees or risk.
- Carry components, fair value, hedge effectiveness, convergence, account results and trade recommendations remain outside the model.
A careful futures-basis workflow
- Identify the exact futures symbol and contract month.
- Document the spot or cash reference, timestamp, location, grade and quotation units.
- Confirm the sign convention required by the product or analysis before interpreting the number.
- Verify days to expiry and the contract multiplier from the applicable exchange specification.
- Choose an explicit scenario step only for transparent arithmetic comparisons.
- Model fair value, financing, execution, margin, costs and hedge effectiveness separately.
Frequently asked questions
- Subtract the entered spot or cash price from the entered futures price. The page also displays the exact opposite cash-minus-futures result so the sign convention stays explicit.
- CME education commonly uses futures minus spot for FX and equity-index futures, while the CFTC notes commodity basis is typically cash minus futures. Showing both prevents a hidden sign reversal.
- Divide futures-minus-spot basis by the positive entered spot price and multiply by 100 for percent. Multiply that percent by 100 for basis points.
- They hold spot, days, units and contracts fixed while moving futures price by minus two, minus one, zero, plus one and plus two entered scenario steps.
- They hold the entered basis and multiplier fixed while scaling the signed monetary difference across five adjacent positive whole-contract counts.
- No. It linearly scales the entered basis percentage by 365 divided by entered calendar days. It does not include compounding, financing, costs, margin, execution or convergence.
- No. It proves only that one entered futures price exceeds one entered spot price under that sign convention. Product, term-structure, carry and observation context remain unverified.
- No. All observations and specifications are manual. Interest rates, dividends, storage, insurance, convenience yield, grades, locations, settlement timing and execution are excluded.
Sources and methodology
- CME Group — The Importance of FX Futures Pricing and Basis — describes FX basis, the futures-minus-spot sign and expiry convergence context.
- CME Group — Hedging Risk with Gold Futures and Options — presents a commodity example using futures price minus spot price.
- CFTC — Futures Glossary — defines commodity basis as the spot or cash difference from futures, typically cash minus futures, and notes possible grade and location differences.
- CME Group — Learn About Basis: Grains — explains the cash-minus-futures convention and local freight, handling, storage and quality context.
The operational contract is Futures Basis version 2.0.0. Independent fixtures cover premium, discount and flat cases; both sign identities; percentage, basis-point and simple annualization identities; monetary scaling; five price scenarios; five whole-contract rows; CSV structure; and field-specific invalid inputs.
Continue the futures planning workflow
Compare broker products separately
The brokers below primarily offer leveraged forex or CFD products, not the exchange-futures basis model on this page. Verify each broker’s symbol, price source, contract size, financing, margin, expiry and execution terms independently.
Risk warning and affiliate disclosure: Futures and leveraged derivatives are high risk, and losses can exceed the initial funds deposited. Links above are affiliate links; we may earn a commission at no extra cost to you. This calculator is educational and does not provide personalized advice.