Futures Basis Calculator

Calculate the basis between spot and futures, whether the market is in contango or backwardation, and the annualised carry.

The basis is one subtraction: the futures price minus the cash price of the same asset, both taken at the same moment. Everything separating ownership now from a claim on ownership later is compressed into that single figure — financing, storage, dividends, coupons, scarcity, and how willing anybody is to hold the position between the two dates. It is the smallest complete summary of a carry market that exists, which is what this futures basis calculator is built to measure.

Formula: basis = futures price - spot price; annualised = basis / spot x (365 / days)

Your figures

Underlying price

The cash price of the underlying today — the market the contract settles against.

Futures price

The contract's price now, quoted in the same units as the underlying.

Days to expiry

Calendar days from today to the contract's expiry.

Day count basis

The year length your financing is quoted on. US money-market rates and most commodity carry use 360; sterling and most index screens use 365.

Results

Basis

+43.00 pts

contango · +0.8600% of spot

Basis as a percentage of spot: +0.8600%
Annualised basisScaled to a full year on a 365-day count. This is what makes contracts of different lengths comparable — a short-dated and a long-dated basis only stand next to each other annualised.: +3.488%
Curve shapeA description of the two prices entered. Neither shape says anything about which way either price moves next.: Contango — the futures price is above spot
Daily convergenceThe straight-line change per day if the basis closes evenly. Signed against the basis, because it has to reach zero.: -0.4778 pts · -0.0096%
Period measured: 90 days on a 365-day year

What this means

The futures price sits +43.00 pts from spot, which is +0.8600% of the cash price. Over 90 days that is +3.488% a year on a 365-day count, or -0.4778 pts a day spread evenly across the days remaining. The contract settles against the cash market at expiry, so the basis ends at zero; dividing that distance by the days left gives a reference rate rather than a path the price has to follow. Contango describes the two prices entered — the further-dated price is the higher one — and not a direction either price will take.

Take both prices at the same moment. A spot price from one time against a futures price from another measures the gap between the two timestamps as much as the basis.
Contango and backwardation are descriptions of two prices, not forecasts. A market can stay in either shape for years, and either shape can flatten by the cash price moving rather than the futures price.
Convergence is certain in its destination only. Settlement against the cash market forces the basis to zero at expiry, but nothing forces the route, and the basis can widen a long way first.
This measures the gap. What should be inside it — financing, storage and the yield given up — is priced by the fair value calculator.

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About the Futures Basis calculation

It reports the spot futures spread in points and as a percentage of spot, annualises it over the days remaining on a 360- or 365-day year, and derives the straight-line convergence per day that settlement implies. It doubles as a contango and backwardation calculator, because the sign of the basis names the shape of the curve on its own. Both prices are typed in. Nothing is fetched here or anywhere on this site, which is what lets the page work on a contract no data provider covers and on a date that has already gone.

The annualised figure is the one that travels between contracts, and it is what makes this a basis trading calculator rather than a subtraction. A basis of 0.4% over thirty days and one of 1.2% over ninety are the same rate of carry, and only annualising makes them say so. It is also the number that can sit beside a financing rate, which is how a basis stops being a curiosity about two prices and becomes a figure with something to be compared against.

Futures Basis formula

basis            = futures price − spot price
basis %          = basis ÷ spot × 100

annualised %     = basis % × (day count ÷ days to expiry)

daily convergence   = −basis ÷ days to expiry
daily convergence % = −basis % ÷ days to expiry

shape:
  contango        when futures > spot   (basis positive)
  backwardation   when futures < spot   (basis negative)
  flat            when the two are equal

basis: Futures minus spot, in the points the contract is quoted in. Signed, so the sign alone names the shape of the curve.
spot: The cash price of the underlying at the same instant the futures price was taken. Two prices from two different times measure the interval as much as the basis.
day count: 360 or 365, matching the convention your financing is quoted on. It affects only the annualised figure, never the basis itself.
contango: A description of two prices in which the deferred one is dearer. The ordinary shape when carrying the asset costs money.
backwardation: The reverse: the deferred price is the cheaper one, which says the market is paying up for the asset now rather than later.
daily convergence: The straight-line change per day that would take the basis to zero exactly at expiry. Signed against the basis, because it has to arrive at zero from wherever it is.

The subtraction is the whole measurement, and the sign carries the meaning. A positive basis is contango, the ordinary shape when holding the asset costs more than it pays: the deferred price includes financing and storage that the cash price does not. A negative basis is backwardation, which says something is making immediate possession worth paying for — a shortage, a stretched inventory, a convenience yield, or on a financial contract a dividend or coupon stream that exceeds the cost of funding. Reading the sign is reading which of those two situations the market is in today.

Annualising divides the basis percentage by the fraction of a year remaining, and it exists because raw basis figures are not comparable with anything. Twenty-seven points of gold basis over ninety-one days and eleven points over thirty days are not two different markets; they may well be the same rate of carry expressed over different lengths of time. Once annualised, both stand next to a financing quote, next to each other, and next to the basis on a completely different commodity, which is the only form in which the number can be used to decide anything.

Convergence is the one part of this that is structurally certain, and only in its destination. At expiry the contract settles against the cash market, which is what settlement means, so the basis must be zero on that day. Nothing whatsoever forces the route. The daily figure divides the current distance by the days left and is therefore a reference rate rather than a path: it is the drag a long carrying a contango position has to overcome for doing nothing, the corresponding gain a short in the same market collects for doing nothing, and the same arithmetic that causes a commodity index fund to bleed in a market that is flat but contangoed.

What the two words never are is forecasts, and they are reported as though they were almost every day. Contango does not mean the cash price will rise to meet the future, and backwardation does not mean it will fall. Both are statements about two prices quoted now. A market can sit in either shape for years, either shape can flatten by the cash price moving rather than the futures price, and a curve that inverts has told you about present inventories rather than about future ones. This calculator measures the gap; the fair value page prices what ought to be inside it.

Futures Basis: a worked example

Gold quoted at 2,410.50 in the cash market against a December contract at 2,438.00, with 91 days left to expiry and financing quoted on a 365-day year.

Basis2,438.00 − 2,410.50 = +27.50 pts
Basis as a percentage of spot27.50 ÷ 2,410.50 × 100 = +1.1408%
Annualised basis1.1408% × (365 ÷ 91) = +4.576% a year
The same figure on a 360-day count1.1408% × (360 ÷ 91) = +4.513% a year
Curve shapeContango — the futures price is above spot
Daily convergence−27.50 ÷ 91 = −0.3022 pts a day (−0.0125%)

The curve is paying 4.576% a year to be the one holding metal rather than a claim on it. That is the figure to put beside the all-in cost of doing exactly that — funding plus vaulting plus insurance — because the difference between the two is what the position is worth, not the 27.50 points. Settlement drags the basis to zero across the 91 days, which is 0.3022 points a day in a straight line, and nothing in the market is obliged to travel in a straight line.

How to use the Futures Basis calculator

Take both prices at the same instant. A spot price from this morning against a futures price from this afternoon measures the interval between the two timestamps as well as the basis, and on a fast-moving day the interval can be larger than what you are trying to measure.
Enter the cash market price in Underlying price, not the front-month contract. The difference between two contract months is a calendar spread and is calculated on its own page.
Put the calendar days to expiry in Days to expiry — actual days, not business days, since the financing being measured accrues at weekends too.
Match the day count to the convention your financing is quoted on. It leaves the basis in points untouched and moves the annualised figure by about 1.4%, which matters only when you are comparing it with a rate.
Read the annualised basis rather than the raw points whenever you are comparing anything with anything. The points figure is specific to one contract on one day and cannot be set beside a second contract of a different length.
Treat the daily convergence as a reference rate and not a schedule. It is the average pace required, not a path the price has agreed to follow.

Limitations of the Futures Basis calculator

Every calculation makes assumptions. These are the ones that matter here.

The basis widens and narrows for reasons this calculator cannot see, including inventory changes, delivery-location differentials and simple illiquidity in the contract month being quoted. It reports the gap without attributing it.
Convergence is guaranteed only at expiry. Between now and then the basis can move a long way in the wrong direction, and a position financed against the average daily figure can be closed out well before that average has a chance to hold.
A cash price for a physical commodity is rarely a single number. Grade, location and delivery terms all move it, and a basis computed against a benchmark cash quote may not describe the material any particular participant actually holds.
Nothing here is annualised on a compound basis. The figure scales the period basis linearly, which matches market convention for short-dated contracts and understates the rate slightly for very long-dated ones.
At zero days the annualised basis and the daily convergence are reported as undefined rather than as zero, because a rate over no time does not exist. Any gap left between the two prices at that point is basis risk rather than carry.
The calculator says nothing about whether the basis is fair. The fair value page prices what financing, storage and yield ought to put inside the gap; this page only measures how wide the gap is.

Frequently asked questions about Futures Basis

What is the difference between the basis and a calendar spread?

The basis compares a futures contract with the cash market it settles against. A calendar spread compares two futures contracts with each other. They are related — the spread between two months is roughly the difference between their two bases — but the basis involves the physical or cash market, and a spread never does. The calendar spread page handles the second case.

Does contango mean the price is expected to rise?

No, and the misreading is common enough to be worth stating plainly. Contango describes the relationship between two prices quoted at this moment: the deferred contract is dearer than the cash market, usually because carrying the asset costs money. It contains no information about which way either price moves next, and a contangoed market can fall for a year without the shape changing at all.

Why is my annualised basis so large on a contract expiring next week?

Because dividing a small percentage by a very short fraction of a year magnifies it enormously. A basis of 0.1% over five days annualises to about 7.3%, and the same 0.1% over ninety days annualises to 0.4%. Near expiry the annualised figure becomes unstable and is dominated by the bid-offer spread and by the exact timing of the two prices, so it stops being a useful comparison.

Can the basis be negative on an equity index future?

Yes, and it frequently is. When the dividend yield of the index exceeds the cost of funding a position in the shares, the net carry is negative and the contract trades below the cash index. That is backwardation on a financial contract, and it arises from arithmetic rather than from any shortage of anything.

How is the basis related to the roll cost?

They are the same idea measured between different pairs of prices. The basis is spot against one contract; the roll cost is one contract against the next, paid when an expiring position is moved forward. A market in persistent contango produces both a positive basis and a recurring roll cost, and the roll calculator turns that into an annual figure across however many rolls a year the contract cycle requires.

Why is the daily convergence shown as a negative number?

Because it is signed against the basis. The basis must reach zero at expiry, so a positive basis has to fall and a negative one has to rise. A contango basis of 27.50 over 91 days therefore decays at −0.3022 a day, and a backwardated basis of the same size would be shown climbing at +0.3022. The sign says which way the gap is closing, not which way any price is moving.

Last reviewed 29 August 2026. See our methodology and editorial policy.

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