How to compute the bitcoin futures basis from CME and spot closes

What the basis is

The basis is the futures price minus the spot price. When the future is above spot the basis is positive and the market is said to be in contango; when the future is below spot the basis is negative and the market is in backwardation. The same words describe a whole row of contract months: if each later expiry is priced higher than the one before it, the curve is in contango.

A positive basis in bitcoin is usually read as the price of time. Someone who buys a future instead of the coin gets the same price exposure without paying for the coin up front, so the future tends to carry a premium that reflects interest rates and the demand to hold bitcoin exposure on leverage. That demand moves, so the basis changes from week to week.

To compare contracts with different expiries, the basis is turned into a percentage of spot and then annualised. The simple version is: basis ÷ spot × 365 ÷ days to expiry. It ignores compounding and is enough for setting the basis beside a money-market rate.

What a CME bitcoin future settles to

CME Group’s contract specifications describe the Bitcoin future as 5 bitcoin, priced in US dollars and cents, and financially settled: no coins change hands. CME lists monthly contracts for six consecutive months, quarterly contracts (March, June, September, December) for four further quarters, and a second December if only one is listed. Outright trading terminates at 4:00 p.m. London time on the last Friday of the contract month; if that day is not both a London and a US business day, trading ends on the prior business day.

The final settlement price is the CME CF Bitcoin Reference Rate (BRR). CME’s benchmarks page says its crypto futures are cash-settled to the reference rates published at 4:00 p.m. London time, calculated from prices on a named set of spot exchanges. Because the expiring future settles to a spot benchmark, the basis on that contract converges toward zero as the last trading day approaches.

CME’s calendar shows how the business-day rule plays out. The October 2026 contract (BTCV26) has its last trade on 30 October 2026 and November (BTCX26) on 27 November. The last Friday of December 2026 is Christmas Day, so the December contract (BTCZ26) ends on Thursday 24 December. March 2027 (BTCH27) ends on Thursday 25 March 2027, the day before Good Friday. The days-to-expiry counts below use these dates.

A worked example: 19 October 2026

Bitcoin spot (Yahoo Finance BTC-USD) closed at 81,853.54 for the UTC day of 19 October 2026. The CME December 2026 future closed at 82,555 (Yahoo Finance daily close, BTCZ26.CME). The arithmetic:

Basis in dollars: 82,555 − 81,853.54 = 701.46 per bitcoin, or 5 × 701.46 = $3,507.30 per 5-bitcoin contract.

Basis in percent: 701.46 ÷ 81,853.54 = 0.857%.

Days to expiry: 12 days left in October after the 19th (31 − 19), plus 30 in November, plus 24 in December, gives 66 days to 24 December.

Annualised: 0.857% × 365 ÷ 66 = 4.74% a year.

The table repeats the calculation for each month Yahoo Finance carries. From November onward each contract is further above spot than the one before, so the curve was in contango on 19 October. The October contract, 11 days from expiry, closed 23.54 below spot. That is a gap of 0.03%, too small to read as backwardation given how the two prices are timed.

The timing matters. Yahoo’s BTC-USD close is the end of the UTC day, midnight UTC, which is 8:00 p.m. New York time in October. CME’s trading day breaks at 4:00 p.m. Central time (5:00 p.m. New York, 21:00 UTC), and Yahoo does not document exactly which moment its futures close reflects. The two closes can be about three hours apart, and bitcoin can move several hundred dollars in three hours. A cleaner comparison would use the BRR or a spot price taken at the same minute as the futures settlement; we used what is published free as daily closes, so every figure here is approximate.

Setting the basis beside interest rates

An annualised basis is a rate, so the natural comparison is a dollar money-market rate for a similar period. On 19 October 2026 FRED showed the 3-month Treasury bill secondary-market rate (DTB3) at 4.10% and the Secured Overnight Financing Rate (SOFR) at 3.87%. The December contract’s 4.74% was 0.64 percentage points above the bill rate (4.74 − 4.10) and 0.87 above SOFR (4.74 − 3.87). The March 2027 contract’s 5.19% was 1.32 points above SOFR.

These comparisons are rough. DTB3 is quoted on a discount basis rather than as a yield, SOFR is an overnight rate while the contracts run for weeks or months, and our annualisation is simple rather than compounded. They show the order of magnitude: on these numbers the December premium was a little above dollar money-market rates.

How the basis moved, July to October 2026

Running the same calculation on three earlier dates shows how much the basis can change. On 20 July 2026 the December contract annualised at 4.63%. By 19 August it had dropped to 1.76%, and by 21 September it was 5.57%, before easing to 4.74% on 19 October.

Part of the 19 August reading is the timing problem above. Bitcoin’s UTC-day close went from 64,680.71 on 18 August to 69,266.19 on 19 August, a rise of 7.09% (69,266.19 ÷ 64,680.71 − 1). On a day like that, a spot close taken some hours after the futures close can sit well above where spot was when the futures closed, which shrinks the measured basis. The October contract that day closed 136.19 below spot, which points the same way. On 21 September spot rose 6.73% in the UTC day (from 81,142.61 to 86,602.91), so that reading carries the same caveat in the other direction. A run of daily readings is more informative than any single date.

Cash-and-carry, and why perpetual funding differs

The mechanism that ties the basis to interest rates is the cash-and-carry trade. A trader buys bitcoin (or an instrument that tracks it) and sells the same amount of a dated future. If both legs are held to expiry, the future settles to the BRR and the spot holding is worth roughly the BRR too, so the price change on one leg offsets the other and what is left is the basis locked in at the start. On 19 October that was 0.86% to 24 December on the December contract, before costs. The costs are real: financing the spot purchase, exchange and custody fees, margin posted on the futures leg, and the gap between where spot was bought and the 4:00 p.m. London fixing. When the basis is well above funding rates, this trade tends to attract capital, and the selling of futures it involves can push the basis back down. We describe it to explain the basis, not as a suggestion.

Offshore perpetual swaps work differently. A perpetual has no expiry, so there is no settlement date for the price to converge to. Instead, longs and shorts exchange periodic funding payments set by each exchange’s formula, which pull the perpetual price toward an index. A CME basis is a fixed gap to a known date on a regulated US exchange; a funding rate is a running payment that can change every few hours on a venue with its own margin rules and participants. The two often move together but need not match. Our piece at /articles/crypto-perpetual-funding-rates-open-interest-and-24-7-atr-sizing covers funding rates in detail, and /articles/cme-bitcoin-futures-positioning-cftc-tff-report shows which trader groups hold CME bitcoin futures, including the leveraged-fund shorts often linked to basis trades.

Checking the numbers yourself

Each figure here can be rebuilt from free daily data. On Yahoo Finance, BTC-USD gives the spot close for each UTC day, and individual CME months appear as BTC plus the month code and year, for example BTCZ26.CME for December 2026 and BTCH27.CME for March 2027. BTC=F is a continuous front-month series that switches contracts at expiry: its closes match the October 2026 contract from 28 September, while on 25 September it closed at 83,672 against 84,420 for October, so a basis series built on BTC=F jumps when the contract changes. CME Group’s Bitcoin futures calendar page lists the last trade date for every listed month, and its contract specifications page gives the termination and settlement rules quoted above. DTB3 and SOFR are on FRED. Our /rates page shows current Treasury and SOFR readings with their dates, and the method on this page, basis ÷ spot × 365 ÷ days, needs nothing more than those inputs.