Funding Arbitrage Calculator

A perpetual futures contract has no expiry, so the exchange uses a periodic funding payment between longs and shorts to keep the perp price tethered to spot. When the perp trades above spot, longs pay shorts (funding is positive). When it trades below, shorts pay longs (funding is negative).

A market-neutral trader can collect those payments without taking directional risk by combining a spot position with an offsetting perp position. The two classic forms:

Long-basis  (funding > 0): long spot, short perp
Short-basis (funding < 0): short spot, long perp

The carry math reduces to: income = funding_rate × notional × intervals_held, minus four taker fees (two legs, entry + exit) and an optional borrow rate on the short leg of the short-basis trade.

What this calculator does. It annualizes the funding yield, projects net P&L over your hold, and computes the break-even funding rate that just covers your fees and borrow cost. The sensitivity table lets you see how the trade behaves if funding drifts or you hold longer than planned.

What it doesn't model. Funding rates change every interval and can flip sign; the calculator assumes a constant rate. It also assumes both legs are filled at the quoted prices (no slippage), basis stays put through the hold (no mark-to-market on the perp leg), and that the spot leg can be exited at the same price. Real cash-and-carry P&L tracks basis convergence — a meaningful contribution if you enter at a wide basis.