Calculator
Futures fair value & basis calculator
A futures price should equal spot plus the cost of carrying the asset to delivery, minus any income it pays. Comparing that fair value with the market price shows whether the future is rich or cheap.
Fair value
5234.30
- Basis (fair value − spot)
- 34.30
- Market vs fair value
- +1.70
- Future trades rich
- Implied repo rate
- 4.758%
Formula
Fair value = S × e^((r − q + c) × T)
Implied repo = ln(F ÷ S) ÷ T + q − c
How to use it
Enter spot, the financing rate, the income yield (dividends or coupons), any storage cost and days to expiry.
Optionally enter the market futures price to see the implied repo rate.
Assumptions and limits
- Continuous compounding and a constant income yield. Index futures with lumpy dividends are better valued with discrete dividend amounts.
- Ignores margin funding and the cheapest-to-deliver option in bond futures.
Common questions
What does a negative basis mean?
The future trades below spot, usually because the asset’s income yield exceeds the financing rate (backwardation).
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.