DERIV Derivatives · Updated March 2026 · ~4 min · For TradingView desktop 3.2.1
Crypto Cash-and-Carry Arbitrage and Annualized Basis
When futures/perps trade at a premium (dearer than spot), you can buy spot + short an equal amount of futures, locking that spread (the basis). Close at expiry or when the spread converges, earning the basis without betting direction — that's cash-and-carry.
Annualized basis
Convert the basis to an annual rate to compare: annual ≈ (basis / spot) × (365 / days to expiry). Perps have no expiry and accrue via funding — when funding is persistently positive, short perp + hold spot collects funding continuously.
Real risks (not "risk-free")
- Funding flips negative: a perp-neutral strategy then pays funding;
- Liquidation risk: if the futures leg runs low on margin, a violent one-way move can blow the short leg first;
- Exchange risk: funds sit on an exchange, and a platform blow-up is crypto's biggest tail risk;
- Non-convergence: in extremes the basis can keep widening.
Tip: the yield comes from structure, the risk from execution and the platform. Verify small first, keep ample margin buffer. Same family as the funding-neutral strategy.