Cash-Futures Arbitrage Strategy

Trade the basis between spot exposure and futures fair value

Cash-Futures Arbitrage Strategy is a systematic arbitrage template that estimates cash-futures basis net of carry, validates executable edge with basis exceeds financing, storage, borrow, and execution costs, hedges exposure through long cheap leg and short rich leg with matched notional exposure, and exits through basis converges toward fair value or the futures contract approaches expiry. - CME Group

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⚠️ 策略适用性

风险: HIGH

✅ 适用于

❌ 避免使用于

🕒 时间周期

IntradayDailyContract expiry

🌍 市场

FuturesCommoditiesCrypto

📢 Arbitrage is not risk-free in live execution; basis-widening stop, margin buffer, and delivery or roll-date cutoff must be explicit and stress-tested.

问: What is the core idea behind Cash-Futures Arbitrage Strategy?

The strategy measures cash-futures basis net of carry, enters only when basis exceeds financing, storage, borrow, and execution costs, hedges with long cheap leg and short rich leg with matched notional exposure, and exits when basis converges toward fair value or the futures contract approaches expiry.

问: When does Cash-Futures Arbitrage Strategy usually fail?

It usually fails when the apparent spread is smaller than real execution costs, one leg cannot be filled, or the relationship stops converging.

问: How should Cash-Futures Arbitrage Strategy be backtested?

Backtest it with leg-level fills, latency, order-book depth, financing, borrow or funding costs, settlement timing, margin, and failed-execution scenarios.

该策略的工作方式

从市场解读到交易管理的 5 阶段决策流程

Mispricing Scan

Measure the spread

Track cash-futures basis net of carry continuously across the legs being compared

Normalize quotes for fees, financing, borrow, funding, FX conversion, and settlement timing

Ignore apparent spreads that cannot be executed at displayed size

Edge Validation

Confirm executable profit

Trigger only when basis exceeds financing, storage, borrow, and execution costs

Validate the hedge with long cheap leg and short rich leg with matched notional exposure

Require expected edge to exceed full round-trip costs and slippage buffer

Hedge Check

Keep legs aligned

Confirm all legs are tradable before submitting any partial order sequence

Reject signals when one leg has stale quotes, short-sale constraints, or thin depth

Check whether the spread can converge inside the planned holding period

Paired Execution

Enter and unwind legs

Enter only when Basis = Futures Price - Spot Price - Carry Cost shows a positive net arbitrage edge

Execute with simultaneous spot and futures orders or staged hedge-first execution

Exit when basis converges toward fair value or the futures contract approaches expiry

Break Control

Cap basis and leg risk

Define basis-widening stop, margin buffer, and delivery or roll-date cutoff before entering the spread

Model failed fills, settlement mismatch, borrow recall, and margin calls in the backtest

Stop the strategy when convergence assumptions no longer match observed market structure

策略组件参考

Cash-Futures Arbitrage Strategy

Trade the basis between spot exposure and futures fair value

Cash
Futures
Basis

SC StratCraft

SSpread Measure

cash-futures basis net of carry—Mispricing estimate

Fair Value Anchor—Reference price

Cost Adjustment—Net edge filter

HHedge Design

long cheap leg and short rich leg with matched notional exposure—Directional hedge

Leg Ratio—Position balance

Liquidity Gate—Execution filter

EEntry Rules

basis exceeds financing, storage, borrow, and execution costs—Entry trigger

simultaneous spot and futures orders or staged hedge-first execution—Order method

Minimum Edge—Trade filter

XExit Rules

Convergence Exit—Primary unwind

Time Stop—Stale spread exit

Partial Fill Cleanup—Execution exit

RRisk Control

basis-widening stop, margin buffer, and delivery or roll-date cutoff—Hard stop

Basis Risk—Relationship risk

Margin and Funding—Carry risk

← 所有策略

Cash-Futures Arbitrage Strategy: Cash-Futures Arbitrage Strategy is a systematic arbitrage template that estimates cash-futures basis net of carry, validates executable edge with basis exceeds financing, storage, borrow, and execution costs, hedges exposure through long cheap leg and short rich leg with matched notional exposure, and exits through basis converges toward fair value or the futures contract approaches expiry.
Cash-Futures Arbitrage Strategy Market Suitability: The Cash-Futures Arbitrage Strategy strategy works best in Markets where cash-futures basis net of carry can be observed, traded, and hedged with reliable quotes.. Liquid instruments where all legs can be entered and exited close to the tested prices.. Temporary dislocations where long cheap leg and short rich leg with matched notional exposure keeps directional exposure controlled until convergence.. Traders should avoid using this strategy in Markets where the quoted edge disappears after fees, slippage, financing, borrow, or settlement costs.. Fast markets where one leg fills and the hedge leg moves before execution completes.. Structural breaks where the spread is not a temporary mispricing and does not converge.. The risk level is categorized as HIGH. Arbitrage is not risk-free in live execution; basis-widening stop, margin buffer, and delivery or roll-date cutoff must be explicit and stress-tested.
What is the core idea behind Cash-Futures Arbitrage Strategy?: The strategy measures cash-futures basis net of carry, enters only when basis exceeds financing, storage, borrow, and execution costs, hedges with long cheap leg and short rich leg with matched notional exposure, and exits when basis converges toward fair value or the futures contract approaches expiry.
When does Cash-Futures Arbitrage Strategy usually fail?: It usually fails when the apparent spread is smaller than real execution costs, one leg cannot be filled, or the relationship stops converging.
How should Cash-Futures Arbitrage Strategy be backtested?: Backtest it with leg-level fills, latency, order-book depth, financing, borrow or funding costs, settlement timing, margin, and failed-execution scenarios.
cash-futures basis net of carry: cash-futures basis net of carry defines the price relationship being tested for temporary divergence after normalizing for costs and timing. Formula: Basis = Futures Price - Spot Price - Carry Cost
Fair Value Anchor: The fair value anchor sets the baseline for deciding whether the observed spread is a tradable dislocation or normal market noise. Formula: Theoretical value or parity
Cost Adjustment: Cost adjustment prevents the strategy from treating a gross price difference as profit when trading frictions consume the edge. Formula: Fees + financing + slippage
long cheap leg and short rich leg with matched notional exposure: long cheap leg and short rich leg with matched notional exposure defines how the strategy offsets market exposure so the result depends mainly on spread convergence. Formula: Offset exposure by leg
Leg Ratio: The leg ratio converts a spread signal into balanced order sizes and reduces accidental outright exposure. Formula: Hedge units per signal unit
Liquidity Gate: The liquidity gate requires each leg to have enough depth to support the planned trade without destroying the expected edge. Formula: Depth >= required size
basis exceeds financing, storage, borrow, and execution costs: basis exceeds financing, storage, borrow, and execution costs converts a measured spread into an actionable setup only after costs and execution constraints are included. Formula: Net spread exceeds threshold
simultaneous spot and futures orders or staged hedge-first execution: simultaneous spot and futures orders or staged hedge-first execution defines how the strategy enters related legs while reducing the chance of unhedged partial fills. Formula: Submit paired legs
Minimum Edge: Minimum edge sets a buffer above estimated costs so small quote flickers do not become low-quality trades. Formula: Expected profit > buffer
Convergence Exit: The convergence exit unwinds the position when basis converges toward fair value or the futures contract approaches expiry, turning spread normalization into realized profit or controlled loss. Formula: basis converges toward fair value or the futures contract approaches expiry
Time Stop: The time stop closes spreads that do not converge fast enough, because capital, financing, and margin costs rise with holding time. Formula: Close after max holding period
Partial Fill Cleanup: Partial fill cleanup exits or hedges leftover exposure created when one leg fills more completely than another. Formula: Flatten unhedged residue
basis-widening stop, margin buffer, and delivery or roll-date cutoff: basis-widening stop, margin buffer, and delivery or roll-date cutoff defines when the expected convergence relationship has become unsafe or economically invalid. Formula: Invalidation threshold
Basis Risk: Basis risk measures the chance that related instruments stop moving together during the holding period. Formula: Legs diverge after entry
Margin and Funding: Margin and funding rules test whether the strategy can survive adverse spread movement before convergence occurs. Formula: Capital cost under stress