perp-funding-basis

Identify crypto carry trade opportunities by analyzing perpetual futures funding rate regimes and annualized spot-futures basis to detect sustainable yields and generate delta-neutral cash-carry execution signals.

A funding rate regime classifies the persistent cost of holding perpetual futures positions, signaling cross-exchange arbitrage opportunities when funding rates diverge significantly across different crypto derivatives markets.

Calculate annualized basis for a delta-neutral cash-carry strategy by measuring the spot-futures price spread, projecting it over a one-year horizon, and modeling the execution to capture the premium.

You can compare cross-exchange funding rates for BTC-USDT to detect divergences, which generates structured arbitrage signals and identifies crowded-position risks across crypto derivatives markets.

Yes, this approach detects crowded-position risks in crypto derivatives markets by analyzing funding rate regimes and basis anomalies that indicate over-concentration in carry trades.