All lessons
Dated futures: follow both sides of the hedge
A spot holding and a short future may offset at expiry, yet fail along the way.
Calculate a simplified basis hedge while identifying its assumptions.
Basis here means dated-futures price minus spot price. State that sign convention because other displays may reverse it. Futures can trade above or below spot, and the gap changes before expiry.
A matched short future can offset a spot holding's directional move in a simplified model. The arithmetic assumes equal underlying quantity and a settlement reference matching the spot valuation. Contract multipliers and settlement currencies matter.
Offsetting final exposure does not eliminate cash needs. A rising market may require extra derivative collateral even while spot gains remain inaccessible elsewhere. Basis can widen before convergence, forcing an early exit.
Check dated-contract expiry and settlement specifications. A perpetual has no fixed expiry convergence promise. Execution costs, borrow costs, custody, venue failure and mismatched indices can consume an apparent basis opportunity.
Let’s work through it
- State the basis sign and contract specifications.
- Match quantities and identify the settlement reference.
- Stress interim margin, access to funds and net costs.
Let’s use numbers · hypothetical example
Hold one fictional coin bought at 100 and short one linear dated future at 103. At expiry, both use reference 90. Spot loses 10; the short future gains 13. Combined gross gain is 3. This assumes both positions survive and excludes every cost.
Easy mistakes to watch for
- Replacing dated futures with perpetuals without changing assumptions.
- Counting spot gains as immediately available derivative collateral.
- Calling the gross basis a guaranteed net profit.
Keep in mind
This is an accounting exercise, not a risk-free return. Cross-venue transfers can be delayed precisely when margin is needed.
Your turn
Use expiry reference 120. Verify the two gross results still add to 3, then subtract hypothetical total costs of 4.
A quick check before we move on
What is the gross combined result at reference 90?
- A loss of 10
- A gain of 13
- A gain of 3
Check answer
A gain of 3 Spot changes by −10 and the matched short future by +13, giving +3 before costs.
Sources and further reading
- www.bis.org/publications/working-paper-1087-crypto-carry
- www.cmegroup.com/articles/faqs/frequently-asked-questions-cryptocurrency-futures.html
Content reviewed: 29 October 2026
Educational material with hypothetical examples. Trading can cause substantial losses. A course, pattern, stop order or past result cannot guarantee a profit or limit every loss. Practise in simulation and check current rules and product terms in your jurisdiction.