The numerical difference between the futures price and the current spot price of an asset, calculated as futures price minus spot price. A positive basis indicates that futures are trading above the spot price (a condition known as contango), while a negative basis means futures are below the spot price (known as backwardation). Basis is a critical concept for hedgers and arbitrageurs, as changes in basis over time affect the profitability of hedging strategies and futures roll costs.
Example
“The basis on Bitcoin quarterly futures narrowed from +8% to +2% as the contract approached expiration and the futures price converged toward the spot price.”