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Spot and futures prices for the same underlying can differ. Before interpreting that difference, identify the contract and the spot reference.
Our sign convention
This article defines basis as futures price minus spot price. With hypothetical spot at 100 and futures at 102, basis is +2, or 2%. Futures at 98 produces −2, or −2%.
Basis percentage = (futures − spot) ÷ spot × 100. Under this convention, positive means a futures premium and negative means a discount. Neither predicts the next price direction.
Conventions differ: CME grain education uses cash minus futures, while its FX education describes futures minus spot. Align the sign before combining sources.
Maturity changes the comparison
A 2% spread with 30 days remaining is different from the same spread with 180 days remaining. A simple annualization example is 2% × 365 ÷ 30 = approximately 24.3%. This assumes a 365-day year, simple annualization, and 30 remaining days. It is not a guaranteed return.
Financing, dividends or storage, execution costs, and settlement terms can matter. Assess convergence against the contract’s delivery or settlement reference.
Keep perpetuals separate
Perpetuals have no expiry, so the remaining-days formula does not apply. Store the current premium to spot or index separately from the funding rate. Funding helps align prices but does not guarantee that temporary deviations disappear.
Check before joining data
Match timestamps, identify traded spot versus an index, preserve contract maturity and multiplier, and align currencies and quantity units. Record contract codes and roll dates so switching maturities is not mistaken for a market signal.
Sources and documentation
www.cmegroup.com — learn-about-basis-grains
www.cmegroup.com — importance-of-fx-futures-pricing-and-basis
Continue with common foundations
Open interest · Funding rates · Trading P&L Calculator · Research 005
Research methods and reporting standards
For education and research. Numerical examples are teaching assumptions unless explicitly identified otherwise. Historical results do not guarantee future performance.