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Quant lab · Futures basis

Cash‑futures spread for Taiwan index futures / 富台期

Express spot reference, nearby and next‑month futures quotes at the same timestamp in a common unit to decompose basis, term structure and simplify nominal P&L. Adjust the multiplier according to actual exchange contract specifications.

Please enter three prices at the same time for the same instrument.
Formula:Basis = near‑month futures − spot; Basis% = Basis ÷ spot; simplified annualized Basis = Basis% × 365 ÷ days to expiry; Calendar spread = next‑month − near‑month. These are analytical decompositions, not guarantees of convergence or arbitrage returns.
Basis decomposition

Futures vs spot and term structure

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Awaiting valid input
Basis %—
Annualized basis—
Roll spread—
Nominal Basis amount—

Spread structure (points)

Spot 0BasisCalendar spread
Contract and data limitations:Contract size and trading hours for Taiwan index futures (TX) should be based on TAIFEX official specificationsVerify; the multipliers, currency, expiry and trading hours of 富台期 and other index futures are not directly interchangeable. The tool does not fetch real‑time quotes—avoid matching different times or different contracts into a tradable spread.

How to use this finance tool

This page turns a finance concept into checkable inputs, formulas, and scenarios. Read the variable definitions first, then compare conservative, base, and stress cases; one result is not a promise of return.

Suggested workflow: confirm units and time periods, enter your own assumptions, then review sensitivity, costs, and downside cases.

Limitations: the model does not forecast markets and may not include every tax, slippage, liquidity, credit, regulatory, or contract term. Verify important decisions with current primary information and a qualified professional.

Financial risk disclaimer

This page, its calculators, and examples are for education, research, and scenario estimation only. They are not personalized investment, trading, betting, tax, legal, or financial advice. Markets and local rules can change quickly; verify current primary information and take responsibility for your decisions. Past performance, model outputs, and simulations do not guarantee future results.