Annualized Futures Basis, 120 day expiration
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.
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 Version. Market Data Feed 2.5 (October 2021)