Futures basis and term structure

A dated future is a contract to buy a coin on a set day at a price that is fixed today. The basis is the price of the future minus the price of the coin itself. When the future costs more than the coin the basis is positive and the market is in contango; when it costs less the basis is negative and the market is in backwardation.

A dated future settles against the spot index on its expiry day, so its basis runs down to zero as that day comes. Until then the basis is the premium, or the discount, that the market puts on holding the position until the expiry instead of holding the coin now.

The basis rate is the basis divided by the index price. The annualized basis scales that rate to a year: the basis rate times 365, divided by the days left to the expiry. A future that trades 1% above its index and expires in 90 days shows 1% × 365 ÷ 90 = 4.06% annualized. The scaling is simple, not compounded, and it lets futures with different expiries be set side by side.

Read it as a way to compare, not as a return. Holding the coin and selling the future until the expiry would also cost trading fees and the margin that backs the position, and the basis can move before the expiry. This page does not work out a yield and does not predict a price.

The chart draws one line for each exchange: the days left to the expiry across, the annualized basis up. A line that rises to the right shows later expiries priced at a higher annualized premium than near ones; a line that falls to the right shows the opposite. Below the zero line a future trades under the coin.

The exchanges do not use the same index, and the traders of each set their own prices, so their lines lie close together but not on top of each other. The table lists every future with its prices, so that each figure can be traced.

The numbers are read from the public market data of Binance, Bybit and OKX every five minutes, for Bitcoin and Ethereum only. The futures counted are the ones that trade now on Binance (the current and the next month and quarter, in USDT), on Bybit (every dated future it lists in USDT) and on OKX (the linear futures settled in USD). Perpetual futures and inverse, coin-margined futures are not counted.

An exchange is Live when it was read in the last 10 minutes, and Delayed when its latest read is between 10 and 30 minutes old; its figures still count. An exchange with no read from the last 30 minutes is Unavailable and is left out of every figure, so the page then covers fewer exchanges.

A page that stays open asks for the term structure again once a minute, and for the history every five minutes, while it is in view. Clear Refresh automatically to keep the figures where they are; a read that fails leaves them on the screen and says so.

Limits worth knowing before you compare figures:

• The basis is the mark price of the future minus the index price of the same exchange at the same moment. The mark price is the price the exchange values positions at. The last traded price is not used, because a dated future can go minutes without a trade.
• Binance and Bybit measure against indexes in USDT, OKX against an index in dollars, so a gap between a dollar and a USDT shows in the basis of one exchange and not of the others.
• The annualized basis is not worked out for a future with less than a day left: scaling by 365 or more would turn a few dollars into hundreds of percent. Such a future stays in the table with its basis and its basis rate.
• The history is read from Binance only, in candles of four hours, and only for the futures that trade now: a future that has expired is no longer in it. Each point is scaled by the days left at the close of its candle.

Sources: Binance, USD-M mark price and index price, Binance, USD-M mark price klines, Bybit, V5 instruments info.