Crypto Basis and Calendar Spreads: Returns, Execution, and Leg Risk
Summary
The document introduces two market-neutral spread strategies in crypto. Basis trading takes positions in spot and futures to trade the difference between their prices; a cash-and-carry example shorts the basis by buying spot and shorting futures, then holding both legs to expiry. Calendar spreads pair futures contracts on the same asset with different expiries, and can also be used to roll a futures position.
It emphasizes that a spread’s intended market neutrality depends on executing both legs together. Poor liquidity can increase slippage, while delayed or incomplete execution can leave the trader exposed to outright price movements. The article presents OKX Nitro Spreads as an order-book tool designed to execute both legs together and reduce this leg risk. It gives no performance data, detailed fee comparison, or independent evaluation of the product’s execution claims. The discussion is informational; it does not specify entry signals, sizing, hedging adjustments, or a complete risk-management plan.
Key ideas
- Basis trading pairs a spot position with an opposing futures position to trade the difference between their prices.
- Calendar spreads pair futures contracts on the same underlying asset with different expiry dates.
- Spread positions aim for market-neutral exposure, but one-sided or delayed execution can create directional risk.
- Liquidity and fees affect slippage and the economics of executing both legs.
- The document describes Nitro Spreads as a tool intended to execute the two legs together, without providing performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.