Measure each coin's perpetual basis against its index and place its annualized funding carry in its funding band
Answers where each tracked coin's perpetual futures price sits against its index price, and what holding the perpetual costs in funding. It compares the latest traded price on the coin's perpetual market with the most open interest, among those reporting a price, with the index price, and publishes the spread and basis percent with a contango, backwardation or flat label, or unavailable when no index price was read. That price is not a mark price, which the data feed does not carry, and the time of the trade is not delivered, so the basis compares two prices that need not be from the same moment. The annualized carry it reports is the eight-hour funding rate carried over a year, not the basis annualized, so its regime is that rate's funding band: the same five bands the funding rate regime analysis uses, so one figure is never given two regime names. Who pays funding follows the sign of funding, not the basis, and the two can point opposite ways. A 0-100 score rates how notable the carry is.
Two related but genuinely different mechanisms, and conflating them is the error to avoid.
FOR A DATED FUTURE, theory gives the frictionless forward relationship F = S * e^((r - q) * T): the futures price equals spot compounded at the financing rate less any yield from holding the asset, over the time remaining to expiry. Futures and forwards coincide cleanly when interest-rate effects are deterministic or negligible. CONTANGO and BACKWARDATION describe the configuration of futures against spot, or the shape of the curve - futures above spot is contango, below is backwardation. That is a separate question from whether a contract is RICH or CHEAP against carry-adjusted fair value: a market can be in contango and still trade below fair value. Keeping the two apart is the distinction most often lost.
CASH-AND-CARRY is what enforces it: if the future is rich relative to CARRY-ADJUSTED fair value - not merely relative to spot, which is the common misstatement - buy spot, sell the future, hold to expiry. The convergence at expiry is what makes the trade close. Understanding this explains why a persistently wide basis usually points to a constraint rather than free money: financing cost, borrow, custody, exchange and counterparty risk, margin and fees all sit between the theoretical spread and an executable one. In crypto those frictions are large, which is why the basis is wider and more volatile than in mature futures markets.
PERPETUAL FUTURES HAVE NO EXPIRY, so none of the above applies directly: there is no T and no terminal convergence to force. They are tethered instead by a FUNDING RATE paid periodically between longs and shorts - positive funding means longs pay shorts, which pulls the perpetual back toward the index. Venues set that rate from the premium AVERAGED over the funding interval plus an interest component, so the sign of the spread at one moment does not say who pays: a perpetual can sit below its index while funding is positive and longs pay. Who pays is read from the sign of funding alone, and contango or backwardation never settles it. Reading a perpetual's premium through a dated-forward formula is a category error.
What this analysis actually reads is the spread between the LAST TRADED PRICE on the coin's perpetual market with the most open interest, among those reporting a price, and an INDEX PRICE, a composite of spot venues. It is not the MARK PRICE, the exchange's fair-value figure used for margin and liquidation, because the data feed carries no mark price. A last trade can sit at the bid or the ask, and the time it printed is not delivered, so the spread carries noise that a mark price is built to smooth, and it can differ from the premium a venue uses to set funding. The pair does not by itself constitute two executable legs, so the spread is an indication of pricing pressure rather than a measured arbitrage. Annualisation needs a period to annualise over, and which period depends on the instrument: a DATED basis is annualised using time to expiry, and periodic FUNDING using its payment interval. A raw perpetual premium has neither, so annualising it directly is not meaningful. The annualised carry this analysis reports is the funding rate annualised over its payment interval, not the spread annualised. Where annualisation is legitimate it makes short and longer spreads comparable, and it amplifies both the figure and any error in it.
The annualised carry has no regime scale of its own: it takes the band of the funding rate it annualises, from the same bands and cut-offs the funding analysis publishes with each run, so one figure never carries two regime names. The bands are our own convention. Mean reversion in the basis is a well-supported empirical regularity, not a guarantee, and stretched readings can persist longer than the capital betting against them survives.
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