Using Deribit Futures Spreads to Trade Basis and Roll Positions
Summary
The article explains futures spreads as paired exposure to two futures contracts with different expiries, traded together through a dedicated order book. The spread reflects the changing price difference between maturities. It describes how traders can use these instruments to speculate on the basis or move an existing position from one expiry to another, including option hedges and cash-and-carry positions.
To illustrate liquidity, it reports two snapshots from August 2023 for BTC and ETH spread books. Most observed books had the smallest possible tick spread, and resting bid sizes were described as typically above $100,000 on both sides. These are limited snapshots rather than a broad or independently validated liquidity study. Trading both legs in one order can reduce leg risk, provide a known combined price, and avoid managing two separate orders, though actual execution quality can vary with market conditions.
Key ideas
- A futures spread pairs opposite positions in contracts with different expiries through one order book.
- Traders can use spreads to speculate on changes in the price difference between maturities.
- A spread order can roll an existing futures position without opening a lasting two-contract position.
- The article cites two snapshots showing tight quoted spreads in many BTC and ETH books.
- Executing both legs together reduces leg risk and simplifies order management.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.