Measuring Delivery–Perpetual Futures Spreads Across Crypto Assets
Summary
This tutorial introduces cross-period hedging by pairing a long position in one futures contract with a short position in another. It derives how the combined result depends on the spread changing between entry and exit, then notes that fees and slippage affect realized outcomes. The example focuses on comparing dated delivery futures with perpetual contracts for several crypto assets.
Rather than implementing the full hedge, it builds a live monitoring tool. It retrieves bid and ask quotes for selected contracts, matches delivery and perpetual instruments by underlying asset, calculates two directional spread measures, and displays them in a table and time-series charts. The article shows how to configure the instruments and visualize the quotes, but it provides no systematic entry or exit rules, historical performance analysis, or evidence that the observed spreads are profitable after costs. It also acknowledges that adverse spread moves can leave the paired position at a floating loss and mentions adding to positions as a possible response without developing the associated risk controls.
Key ideas
- A paired futures trade can profit when the spread at entry exceeds the spread at exit for the described short and long legs.
- Trading costs and slippage must be included when assessing whether a spread trade is profitable.
- The example compares selected delivery contracts with perpetual contracts across several crypto assets.
- Bid and ask quotes are matched by underlying asset to calculate directional spread measures.
- Live charts help inspect spreads, but the article does not provide tested trading rules or performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.