ETH: Deribit Quarterly Futures Basis (Annualized)
Shown as its 2–31 Oct 2026 sample; the latest readings and full history are included with Plus.
The annualized premium of Deribit's ETH quarterly futures over Deribit's index at its daily settlement, for the current and the next quarterly contract, day by day from Deribit's first quarterly contracts.
Why use it. The basis is the yield a trader locks in by buying the coin and selling the future, the cash-and-carry trade. It runs high when leveraged buyers pay up for exposure and falls toward zero or below when the market is fearful. Deribit's settlement history is the longest of any venue we read, so it puts today's reading against the cycles since its first quarterlies. How to read it. Each line is one contract, in percent a year. A rising line means buyers pay more to hold the coin through a future; near zero or below, futures trade at or under the index. The two lines usually move together, and the gap between them is the slope of the futures curve. The summary value is the nearest contract with at least seven days to expiry.
Calculation. Each day at Deribit's 08:00 UTC settlement, for each contract: (its settlement mark price / the index price at the same settlement - 1) x 365 / days to expiry x 100, the rule of our cross-venue basis, kept only with at least seven days to expiry. Days to expiry run from the settlement to the contract's delivery: Deribit delivers its quarterlies on the last Friday of March, June, September and December at 08:00 UTC, so the current quarter is the first delivery after the settlement and the next quarter the one after it. Mark prices are Deribit's own fair prices for its contracts, not last trades, so a quiet contract leaves no stale reading. Daily only: one settlement a day; the open day's value is final from 08:00 UTC. Source: Deribit's public settlement history (each futures contract's mark price and the index price at its daily settlement), read by CryptoKeyhole every ten minutes, from Deribit's first quarterly contracts.