What is a basis trade (spot–futures basis)?

The basis trade and funding capture look like the same trade and are not. Both are delta-neutral; they run on different clocks and are paid by different mechanisms.

What “the basis” is

The basis is the gap between an asset’s spot price and the price of a dated future on that asset. Future above spot is contango (positive basis); below is backwardation. A future must equal spot on the day it expires, so a positive basis is a gap with a deadline: it must close.

The basis trade, or cash-and-carry, harvests that closure: buy the asset in spot, short an equal amount of the dated future. Price direction cancels (delta-neutral); what is left is the convergence as expiry approaches.

Basis trade vs funding capture: same shape, different clock

Both are long spot, short a derivative. The difference is what tethers the derivative to spot:

• A dated future is tethered by its expiry. No payment along the way; the price gap you entered at is the gross return, known at entry provided you hold to expiry.
• A perpetual is tethered by a payment — the funding rate, exchanged between longs and shorts every settlement (every eight hours on Binance). Nothing is locked in: the rate is re-quoted continuously and can flip sign.

Both share the same unglamorous killer: two-leg trading costs. The edge is thin per period, so how often you touch the position decides whether anything survives.

Why Fygga’s harness measures funding specifically

Measurability, not preference. Funding is published per symbol, every settlement — one public series anyone can re-derive. A basis record would need a modelled term structure and every roll.

What a basis trade does not remove

• Roll risk. The basis at the next roll is unknown, so a “fixed rate” is really a chain of unknown future rates.
• Margin and mark-to-market risk. Convergence is certain at expiry, not monotone on the way there; a short leg moving against you can require margin long before the trade is right.
• Cost risk. Two legs, opened and closed, plus every roll.
• Exchange and counterparty risk. The venue can fail, freeze withdrawals, change margin rules or auto-deleverage a position.

Educational only — not financial advice.