Spot-futures arbitrage: what the basis is and when it pays
A perpetual future almost never trades at exactly the spot price. That gap is the basis. When it stretches far from its usual level you can buy one, sell the other and wait for the prices to come back together. Here is how to tell a real deviation from a broken quote, how to count the result and what such a position risks.
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What the basis is
Basis = (futures price − spot price) / spot price. If the future is 0.4% above spot, the basis is +0.4%; below spot, it is negative. In traditional finance the approach is called cash and carry: buying an asset and selling a contract on it at the same time.
Every pair "spot on exchange X - future on exchange Y" has its own usual basis. On some the future almost always sits a little above spot, because funding is positive and the market pays extra for leveraged longs. On others the contract is nearly equal to spot. A pair with spot and future on different exchanges also carries the price gap between the exchanges themselves.
What matters is not the basis itself but its deviation from normal. If a pair usually holds +0.1% and now shows +0.9%, that 0.8% is what you can collect once the basis returns to its usual level. A +0.9% basis means nothing on its own if the pair always trades there.
| Situation | What it usually means |
|---|---|
| The basis sits steadily a little above zero | Normal for most coins with positive funding |
| The basis jumps well above its norm | Futures frenzy: leveraged longs pulling the contract up |
| The basis drops sharply below zero | Panic or mass shorting, the contract below the coin |
| A huge basis no other exchange shows | Most often a broken quote, suspended withdrawals or an illiquid coin |
How the trade works
Buy the coin on spot
This is the long leg. You own the coin, it cannot be liquidated and needs no leverage.
Short the future for the same amount
Price moves now cancel out: the coin gaining covers the short losing and vice versa.
Wait for convergence
As the future drifts back to its usual gap with spot, the short loses value relative to spot - that is the profit.
Close both legs together
Profit is the narrowing of the basis minus fees. While the position is open the short also earns funding if the rate is positive.
A step-by-step example
A coin trades at $10.00 on spot and $10.09 on the perpetual. The basis is +0.9%, while over recent hours the pair has usually held about +0.1%. The 0.8% deviation is several times the fees, and both order books are deep enough for $1,000.
Buy 100 coins on spot at $10.00
Spend $1,000. The coin sits on the spot account.
Short 100 contracts at $10.09
A ~$1,009 position, margin on the futures account with a buffer, leverage 1-2x.
The coin falls to $9.50
Spot loses $50, the short gains about $59. The small difference is the basis already starting to narrow.
A day later the basis is back at +0.1%
Spot $9.60, future $9.61. Close both legs.
| Basis at entry | +0.90% |
| Basis at exit (the pair's norm) | +0.10% |
| Convergence | +$8.00 |
| Funding over a day, +0.01% / 8h | +$0.30 |
| Fees: 4 trades at ~0.08% (spot costs more) | −$3.20 |
| Result | ≈ +$5.10 |
Without full convergence the result is smaller. The rule: the deviation must clearly exceed the sum of all fees.
The other direction
If the future falls below its usual level, the trade flips: sell the coin on spot and buy the future. But you need to own the coin or borrow it through margin trading, and a long future pays funding when the rate is positive. So this direction is not open to everyone and costs more. If you already hold the coin it is easiest: sell part of it and buy the same size in futures, then reverse later.
Telling an opportunity from an error
- Compare with the exchange index price. A future has an index - the average coin price across several spot exchanges. If the spot price in the pair is far from it, the error is most likely on spot.
- Check whether the deviation holds. A deviation that flickers for a second is a quote artefact. A real one holds for minutes.
- Look at deposits and withdrawals. If an exchange has deposits or withdrawals of the coin closed, its price lives a life of its own and may never converge.
- Judge the book depth. On a thin book a large entry moves the price itself and eats the deviation.
Risks
- The basis can stretch further. A deviation does not have to revert at once. On paper the position is in the red until prices converge, which sometimes takes days.
- Short liquidation. The spot coin gains as the short loses, but it sits on another account. With thin margin on the futures account the short is liquidated and the spot is left unhedged. Keep leverage low and margin spare.
- A broken quote. A huge deviation often means bad data or suspended withdrawals, not an opportunity.
- Funding against you. If the rate turns negative, the short starts paying. Over a long hold it adds up.
- Spot fees. Taker fees on spot are usually higher than on futures and easy to underestimate.
The scanner shows each pair's usual basis over recent hours, the current deviation and its strength in sigmas - how unusual the current moment is. It also shows whether the pair trades on one exchange or across two.
Glossary
- Basis - the gap between futures and spot price as a percentage of spot.
- Deviation - how far the current basis is from the pair's usual level.
- Sigma - the deviation measured in the pair's normal spread: 3 sigmas is rare, 1 sigma is ordinary noise.
- Cash and carry - buying an asset while selling a contract on it.
- Index price - the average coin price across several spot exchanges that the exchange prices the future against.
Spot-futures arbitrage FAQ
How is spot-futures arbitrage different from funding arbitrage?
In spot-futures arbitrage the main income is the future and spot prices converging, with funding as a bonus. In funding arbitrage the income is the rate difference between two futures and prices barely matter.
Can I do it on one exchange?
Yes, if the exchange lists both spot and a perpetual on the coin. It is simpler: one account, both legs in view - but make sure the futures margin does not depend on the coin held on spot.
How long should I hold?
Until the basis returns to its norm. Sometimes minutes, sometimes days. If the deviation keeps growing, decide in advance at what level you close.
What leverage for the short?
Low, 1-2x. Spot gives the short no margin, and the short loses money on another account as the price rises. The lower the leverage, the further the liquidation.
Why is a deviation sometimes huge but untradeable?
Often it is bad data, an illiquid coin or closed withdrawals. The scanner discards prices far from the exchange index, but always check.
Is it risk-free?
No. Price direction barely matters, but the basis can stretch further, the short can be liquidated and funding can turn negative.
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