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Quantitative Finance · Glossary

What is Funding carry, basis carry?

Also known as: funding carry · basis carry

Definition 27.1 Strategies I: Equities and Futures · Chapter 27 — Crypto Medium-Frequency Strategies

Funding carry is the return of a position long spot and short a perpetual future of the same coin, which receives the perpetual’s funding payments when they are positive (longs pay shorts) and pays them when negative, with no net exposure to the price. Basis carry is the same trade with a dated future: long spot, short the future, earning the future’s premium over spot as it converges at expiry.

Binance BTCUSDT perpetual: the mean funding rate by calendar year, annualised, and the return on capital of a book long spot and short the perpetual (20% margin, 0.2% a year of costs, assumed); 2026 to 24 September. Data: Binance’s funding-rate endpoint via Book 3; s1_crypto.funding.
Figure 27.1. Binance BTCUSDT perpetual: the mean funding rate by calendar year, annualised, and the return on capital of a book long spot and short the perpetual (20% margin, 0.2% a year of costs, assumed); 2026 to 24 September. Data: Binance’s funding-rate endpoint via Book 3; s1_crypto.funding.
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