Annualized Futures Basis, 120 day expiration

Definition

The annualized percent difference between the price of a theoretical futures contract that expires in 120 days and the price of its underlying spot market.
Name
MetricID
Category
Subcategory
Type
Unit
Frequency
Annualized Futures Basis, 120 day expiration
basis_annualized_120d_exp
Basis
Future
Percentage
Dimensionless
1h, 1d

Details

We calculate the basis using the price of a theoretical futures contract with a fixed number of days to expiration. A futures contract with the exact number of days to expiration may not exist in the market. Therefore, we calculate the price of a theoretical futures contract using a combination of the soonest to expire quarterly contract and and the subsequent quarterly contract.

Release History

  • Release Version. Market Data Feed 2.5 (October 2021)